BDX Options History — February 2013

In February 2013, BDX traded between $65.31 and $67.93. ATM implied volatility averaged 14.3%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.8% (HV 20d: 12.5%). Max pain ranged from $61.36 to $61.36. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2013-02-06: Highest Volume — 2,530 contracts
  • 2013-02-05: Largest IV drop — 53.6% change
  • 2013-02-04: Highest IV Rank — 82.6%
  • 2013-02-25: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.21$65.31$67.93$65.31$67.54
Max Pain$61.36$61.36$61.36$61.36$61.36
ATM IV14.3%9.8%21.2%17.9%13.5%
Expected Move4.0%3.3%4.9%4.1%3.9%
HV 20d12.5%8.1%15.0%8.2%15.0%
HV 60d11.8%11.2%14.0%14.0%12.0%
IV Rank49.0%20.7%82.6%64.7%45.4%
IV Percentile51.4%3.6%98.4%92.1%46.0%
Term Structure0.6%-1.9%2.2%0.0%0.0%
VWIV14.2%11.3%17.7%14.5%15.0%
Skew 25d2.7%0.2%7.6%7.6%2.0%
Skew 10d4.6%-3.7%12.8%11.6%3.6%
Call IV 25d12.1%8.9%14.9%8.9%13.4%
Put IV 25d14.8%12.6%17.3%16.5%15.4%
Bid-Ask Spread %20.1312.2433.5733.5723.49
Gamma HHI0.440.290.720.320.45
Net GEX2.0M-134.8K2.9M-134.8K2.9M
Net DEX-49.2M-62.0M-30.1M-30.3M-48.2M
Net VEX-140.9K-157.1K-130.7K-153.1K-133.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.021.461.140.44
Total Volume704.474972,530273288
Total OI24,221.52621,84328,20722,75822,690

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$65.31$61.3617.9%4.1%8.2%64.7%14.5%7.6%0.0%-134.8K-30.3M-153.1K1.1433.57N/AN/A12714610,72612,032
2013-02-04$65.32$61.3621.2%4.3%8.1%82.6%15.1%7.4%-0.4%-67.0K-30.1M-157.1K0.8233.46N/AN/A1,08489010,75512,057
2013-02-05$67.24$61.369.8%3.4%12.3%20.7%13.5%1.4%2.1%428.1K-53.3M-130.7K0.4918.41N/AN/A75437011,31212,700
2013-02-06$67.40$61.3614.0%3.3%12.2%43.5%11.3%2.4%2.2%303.3K-50.9M-138.1K0.1412.24N/AN/A2,21831211,32712,866
2013-02-07$67.42$61.3612.5%3.6%12.3%35.2%12.8%2.4%1.6%1.2M-53.9M-144.2K0.5715.05N/AN/A58533612,99512,866
2013-02-08$67.69$61.3611.8%3.4%12.3%35.3%12.7%2.7%2.1%1.6M-56.5M-145.9K0.2516.84N/AN/A2395913,53012,888
2013-02-11$67.73$61.3612.3%3.5%12.3%38.0%13.9%2.2%1.8%2.2M-57.8M-139.7K0.4720.04N/AN/A22910713,69912,921
2013-02-12$67.92$61.3613.1%3.8%12.2%42.9%13.7%1.2%1.2%2.5M-61.4M-135.9K0.0213.73N/AN/A1,2832713,82912,986
2013-02-13$67.86$61.3613.0%3.7%12.3%42.6%13.1%2.3%1.4%2.9M-61.9M-141.7K0.1519.29N/AN/A3264814,82912,987
2013-02-14$67.79$61.3616.1%4.6%12.4%61.3%14.9%2.5%1.7%2.8M-60.3M-141.0K0.9424.65N/AN/A67863614,67312,946
2013-02-15$67.87$61.3613.6%3.9%12.3%46.2%12.6%2.3%1.7%2.8M-62.0M-141.1K0.1720.96N/AN/A3085114,92913,278
2013-02-19$67.93$61.3613.3%3.8%11.8%44.1%13.0%3.8%0.8%2.7M-50.4M-137.6K0.8513.82N/AN/A524512,7099,134
2013-02-20$67.05$61.3614.9%4.3%13.0%53.9%15.9%2.7%-0.2%2.6M-43.6M-136.9K0.1716.76N/AN/A3475712,7259,153
2013-02-21$66.60$61.3615.2%4.4%13.3%55.9%15.7%0.2%-1.1%2.5M-40.0M-142.5K0.3420.62N/AN/A2548612,8419,197
2013-02-22$67.43$61.3613.3%3.8%13.8%44.1%13.4%2.6%0.5%2.7M-45.6M-139.1K0.2815.74N/AN/A2206112,8269,212
2013-02-25$66.61$61.3617.1%4.9%14.5%67.4%17.7%1.0%-1.9%2.5M-40.5M-144.0K1.4620.57N/AN/A466612,8829,254
2013-02-26$66.62$61.3616.5%4.7%14.2%63.9%16.9%1.3%-1.6%2.5M-40.5M-140.9K0.9717.82N/AN/A14213912,8969,305
2013-02-27$67.63$61.3613.2%3.8%15.0%43.5%13.6%2.6%0.4%2.8M-47.0M-134.4K0.1325.46N/AN/A6838612,8969,358
2013-02-28$67.54$61.3613.5%3.9%15.0%45.4%15.0%2.0%0.0%2.9M-48.2M-133.1K0.4423.49N/AN/A2008813,3319,359