BDX Options History — March 2013

In March 2013, BDX traded between $67.59 and $73.33. ATM implied volatility averaged 12.2%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 1.0% (HV 20d: 13.2%). Max pain ranged from $61.36 to $69.03. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2013-03-05: Highest Volume — 15,183 contracts
  • 2013-03-07: Largest IV drop — 24.1% change
  • 2013-03-25: Highest IV Rank — 50.4%
  • 2013-03-25: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.02$67.59$73.33$68.07$73.33
Max Pain$67.88$61.36$69.03$61.36$69.03
ATM IV12.2%9.4%14.3%11.8%12.6%
Expected Move3.6%3.4%4.1%3.4%3.6%
HV 20d13.2%11.6%15.0%15.0%13.1%
HV 60d12.3%11.9%12.8%12.0%12.5%
IV Rank37.8%20.5%50.4%35.2%39.8%
IV Percentile25.7%2.8%59.1%13.5%28.6%
Term Structure2.2%0.3%2.9%0.3%2.8%
VWIV12.7%11.4%14.5%13.6%12.4%
Skew 25d2.5%0.7%4.2%2.5%2.4%
Skew 10d6.0%-0.3%9.8%8.2%4.4%
Call IV 25d11.5%10.0%12.6%12.1%12.3%
Put IV 25d14.0%13.0%14.7%14.6%14.7%
Bid-Ask Spread %23.1912.6563.7421.3127.53
Gamma HHI0.490.360.710.490.37
Net GEX3.3M2.5M5.2M3.2M2.7M
Net DEX-44.4M-58.3M-24.3M-51.2M-58.3M
Net VEX-156.7K-176.8K-128.2K-131.8K-152.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.003.080.470.98
Total Volume1,722.56315,183916549
Total OI20,50618,17524,33422,83418,294

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$68.07$61.3611.8%3.4%15.0%35.2%13.6%2.5%0.3%3.2M-51.2M-131.8K0.4721.31N/AN/A62529113,4429,392
2013-03-04$68.00$69.0312.6%3.6%14.6%40.1%13.2%3.7%1.7%3.3M-50.5M-129.4K0.2420.50N/AN/A99624313,5899,278
2013-03-05$68.41$69.0311.8%3.5%14.6%35.3%12.3%4.2%2.1%3.6M-54.2M-128.2K0.0022.95N/AN/A15,1384513,4689,464
2013-03-06$67.59$69.0312.4%3.5%11.6%38.7%12.3%3.8%1.4%2.5M-24.5M-137.5K0.7063.74N/AN/A29620710,0869,454
2013-03-07$67.68$65.199.4%3.5%11.6%20.5%14.5%3.5%1.9%2.5M-24.3M-140.6K3.0814.22N/AN/A154810,2419,606
2013-03-08$68.14$65.1910.9%3.4%11.8%29.4%11.4%4.1%2.0%3.4M-26.7M-134.9K0.9812.65N/AN/A626110,2439,604
2013-03-11$68.73$65.1912.3%3.5%12.1%37.9%12.4%2.3%2.0%4.6M-32.1M-131.4K0.0229.20N/AN/A3,5777610,2839,581
2013-03-12$69.14$65.1912.5%3.5%12.3%39.3%11.9%2.0%2.8%5.2M-40.4M-157.5K0.1025.65N/AN/A4,34641611,9539,628
2013-03-13$69.85$69.0310.4%3.4%12.7%26.6%11.6%2.0%2.9%3.9M-44.8M-171.5K0.5927.24N/AN/A67939914,3899,861
2013-03-14$70.95$69.0312.8%3.7%13.6%41.1%11.9%1.6%2.2%3.6M-51.1M-175.6K0.1722.57N/AN/A94616514,2369,883
2013-03-15$70.79$69.0313.1%3.7%13.6%42.9%12.9%2.0%1.9%3.6M-49.8M-172.7K0.8418.54N/AN/A21017714,33210,002
2013-03-18$70.45$69.0313.3%3.8%13.9%44.0%13.0%1.8%1.9%3.3M-43.5M-171.9K0.7816.53N/AN/A705513,1115,064
2013-03-19$70.36$69.0313.1%3.8%13.9%43.2%13.1%1.8%2.6%3.3M-43.0M-170.8K1.5518.12N/AN/A12519513,1135,101
2013-03-20$71.32$69.0311.8%3.4%13.3%34.9%13.1%2.7%2.6%3.4M-49.4M-172.9K1.5321.59N/AN/A62895913,1385,236
2013-03-21$70.51$69.0313.6%3.9%13.9%46.0%13.2%0.7%2.2%2.9M-43.3M-176.8K0.7518.60N/AN/A13910413,3055,973
2013-03-22$71.12$69.0312.1%3.5%13.6%37.0%12.5%1.6%2.1%2.9M-46.7M-176.7K0.0421.03N/AN/A7502813,0816,052
2013-03-25$70.89$69.0314.3%4.1%12.7%50.4%12.9%2.0%1.9%2.8M-45.3M-174.8K0.1816.71N/AN/A3215713,1586,061
2013-03-26$72.03$69.0311.9%3.4%13.4%35.7%12.4%3.7%2.8%2.7M-51.2M-167.7K0.1220.20N/AN/A1061312,5616,113
2013-03-27$72.99$69.0312.3%3.5%13.2%38.1%12.4%1.6%2.8%2.9M-57.6M-158.4K0.0225.01N/AN/A1,3102312,6216,123
2013-03-28$73.33$69.0312.6%3.6%13.1%39.8%12.4%2.4%2.8%2.7M-58.3M-152.2K0.9827.53N/AN/A27727212,1606,134