BDX Options History — April 2013

In April 2013, BDX traded between $71.83 and $74.13. ATM implied volatility averaged 17.0%, placing in the 67.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.1% (HV 20d: 12.9%). Max pain ranged from $69.03 to $72.86. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2013-04-02: Highest Volume — 2,951 contracts
  • 2013-04-11: Largest IV spike — 21.5% change
  • 2013-04-30: Highest IV Rank — 85.0%
  • 2013-04-30: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.26$71.83$74.13$73.41$72.33
Max Pain$72.17$69.03$72.86$69.03$72.86
ATM IV17.0%13.3%20.0%13.3%20.0%
Expected Move5.0%3.8%5.7%3.8%5.7%
HV 20d12.9%11.6%14.2%13.0%13.8%
HV 60d12.9%12.1%14.2%12.2%14.1%
IV Rank67.0%44.2%85.0%44.2%85.0%
IV Percentile81.2%44.8%98.4%44.8%98.4%
Term Structure-0.2%-2.0%2.8%2.6%-1.9%
VWIV17.5%12.6%20.2%12.6%20.1%
Skew 25d2.6%-1.6%3.8%-1.6%3.1%
Skew 10d6.5%-3.1%12.2%-3.1%-0.0%
Call IV 25d16.8%13.3%19.9%13.3%19.9%
Put IV 25d19.4%11.7%23.0%11.7%23.0%
Bid-Ask Spread %64.2618.4688.7823.0388.78
Gamma HHI0.370.350.460.360.37
Net GEX2.7M2.2M3.2M2.6M2.2M
Net DEX-55.3M-67.8M-41.0M-59.7M-42.4M
Net VEX-166.6K-191.6K-136.2K-140.2K-154.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.0413.580.540.22
Total Volume564.227742,951290503
Total OI20,919.18218,53422,82018,53419,757

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$73.41$69.0313.3%3.8%13.0%44.2%12.6%-1.6%2.6%2.6M-59.7M-140.2K0.5423.03N/AN/A18810212,1826,352
2013-04-02$74.08$69.0313.5%3.9%13.0%45.2%13.4%-0.3%2.8%2.6M-63.3M-136.2K0.3221.64N/AN/A2,23571612,2146,382
2013-04-03$73.95$69.0313.8%3.9%13.2%47.1%13.3%1.4%2.5%3.1M-66.5M-172.4K0.4929.36N/AN/A86642414,0527,080
2013-04-04$74.06$69.0313.8%4.0%11.8%47.3%13.7%1.1%2.3%3.2M-67.8M-180.0K2.3525.62N/AN/A5613214,6657,456
2013-04-05$73.72$72.8613.7%4.7%12.2%46.7%16.4%2.8%0.2%3.2M-64.4M-187.8K1.1918.46N/AN/A18321614,6927,509
2013-04-08$73.22$72.8614.4%4.9%12.8%51.0%17.3%3.1%-0.0%3.1M-60.2M-191.6K13.5828.87N/AN/A5979614,7737,612
2013-04-09$73.66$72.8614.5%4.9%12.7%51.4%16.8%2.7%0.1%3.1M-63.8M-187.7K2.0765.16N/AN/A9319214,7827,890
2013-04-10$73.95$72.8614.8%5.2%12.7%53.3%17.7%3.5%-0.4%3.1M-65.9M-182.4K0.2773.80N/AN/A87923714,7937,911
2013-04-11$74.13$72.8618.0%5.2%12.4%72.7%16.8%2.9%-0.5%3.1M-67.4M-181.1K0.0674.24N/AN/A5373214,7778,043
2013-04-12$73.91$72.8618.1%5.2%11.6%73.2%17.4%3.3%-0.6%2.9M-64.3M-175.6K0.4379.79N/AN/A56124214,3438,062
2013-04-15$72.74$72.8618.9%5.4%13.2%78.0%20.2%3.2%-0.7%2.6M-54.1M-179.4K0.0477.92N/AN/A8923313,9958,176
2013-04-16$73.19$72.8618.6%5.3%13.1%76.4%18.9%3.8%-0.6%2.6M-52.6M-170.7K0.4179.34N/AN/A2188913,2408,199
2013-04-17$72.52$72.8618.6%5.3%13.6%76.7%18.7%3.6%-0.7%2.5M-47.3M-172.7K2.3578.75N/AN/A276113,2488,229
2013-04-18$71.83$72.8618.8%5.4%13.4%77.7%18.8%3.2%-0.7%2.2M-41.0M-167.7K0.8280.44N/AN/A24219812,9608,190
2013-04-19$72.53$72.8618.3%5.3%13.0%74.9%18.7%3.4%-0.6%2.8M-45.2M-165.0K0.4278.26N/AN/A1566612,8898,165
2013-04-22$72.99$72.8618.7%5.4%12.9%77.3%18.8%3.1%-1.0%2.3M-45.9M-159.5K0.3378.28N/AN/A33511212,1437,085
2013-04-23$73.51$72.8618.5%5.3%12.9%75.9%17.9%3.4%-0.7%2.4M-51.2M-153.0K0.4484.55N/AN/A1647312,3747,180
2013-04-24$72.83$72.8618.5%5.3%12.3%75.9%18.3%3.2%-0.8%2.3M-46.8M-157.7K1.8778.54N/AN/A417512,4577,214
2013-04-25$73.93$72.8619.0%5.5%12.6%79.0%19.2%3.4%-1.2%2.4M-54.6M-148.8K0.4879.75N/AN/A1205712,4697,271
2013-04-26$72.57$72.8619.4%5.6%14.2%81.6%19.5%2.0%-1.7%2.3M-45.4M-152.6K0.1283.41N/AN/A1171412,3997,285
2013-04-29$72.72$72.8619.8%5.7%14.2%83.6%19.7%2.8%-2.0%2.4M-46.1M-147.9K0.5685.83N/AN/A472712,4317,296
2013-04-30$72.33$72.8620.0%5.7%13.8%85.0%20.1%3.1%-1.9%2.2M-42.4M-154.9K0.2288.78N/AN/A4139012,4487,309