BDX Options History — May 2013

In May 2013, BDX traded between $71.77 and $78.17. ATM implied volatility averaged 14.7%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 2.7% (HV 20d: 17.3%). Max pain ranged from $61.36 to $72.86. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.66.

Notable Days

  • 2013-05-23: Highest Volume — 2,840 contracts
  • 2013-05-10: Largest IV spike — 41.9% change
  • 2013-05-01: Highest IV Rank — 91.5%
  • 2013-05-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.26$71.77$78.17$71.77$75.64
Max Pain$64.50$61.36$72.86$72.86$65.19
ATM IV14.7%8.5%21.1%21.1%15.8%
Expected Move4.5%4.2%6.0%6.0%4.5%
HV 20d17.3%14.0%18.8%14.0%16.2%
HV 60d14.6%14.0%15.4%14.2%15.4%
IV Rank52.5%14.9%91.5%91.5%59.6%
IV Percentile60.8%1.6%99.2%99.2%80.2%
Term Structure1.0%-2.9%2.2%-2.9%0.5%
VWIV17.2%14.5%24.6%21.1%22.8%
Skew 25d2.5%-1.7%3.5%2.3%2.4%
Skew 10d5.2%-5.0%9.0%-5.0%5.3%
Call IV 25d15.0%13.8%21.7%21.7%16.2%
Put IV 25d17.5%13.9%24.0%24.0%18.6%
Bid-Ask Spread %61.4445.2095.9183.6552.75
Gamma HHI0.340.270.470.380.31
Net GEX2.3M1.6M3.3M2.2M2.2M
Net DEX-68.4M-84.4M-39.4M-39.4M-62.2M
Net VEX-131.7K-150.9K-112.0K-150.9K-144.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.660.1259.500.282.45
Total Volume720.9551922,840426778
Total OI21,579.18219,57923,37420,00723,374

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$71.77$72.8621.1%6.0%14.0%91.5%21.1%2.3%-2.9%2.2M-39.4M-150.9K0.2883.65N/AN/A3329412,6617,346
2013-05-02$73.75$72.8614.7%4.2%17.3%52.8%14.5%-1.7%2.2%2.7M-55.2M-139.7K0.5395.91N/AN/A22511812,8427,406
2013-05-03$74.73$72.8614.8%4.3%17.9%53.5%15.0%1.2%2.2%2.8M-62.5M-130.6K2.3682.74N/AN/A17240712,8617,451
2013-05-06$74.33$61.3614.8%4.9%17.8%53.6%16.2%2.6%1.2%2.8M-58.5M-137.3K0.7553.57N/AN/A36327112,8907,753
2013-05-07$74.76$61.3614.4%4.8%17.8%50.8%15.2%2.5%0.8%2.9M-62.2M-135.2K0.9553.04N/AN/A27926613,1317,738
2013-05-08$74.84$61.3612.3%4.4%17.8%38.2%16.6%2.9%1.9%3.0M-63.2M-133.9K2.7545.20N/AN/A7320113,3137,830
2013-05-09$74.97$61.368.5%4.4%17.7%14.9%17.8%2.6%1.7%3.0M-64.0M-132.0K3.9755.84N/AN/A9437313,3477,959
2013-05-10$76.40$61.3612.0%4.3%18.8%36.5%16.3%1.8%2.0%3.1M-74.4M-123.1K0.1466.04N/AN/A5087313,4158,169
2013-05-13$76.95$61.3614.9%4.5%17.7%54.3%17.3%2.5%2.0%2.9M-79.0M-112.0K0.4948.16N/AN/A1,21759513,4278,195
2013-05-14$78.06$61.3613.1%4.6%18.2%42.8%16.1%2.7%1.5%2.1M-84.4M-112.7K0.4364.45N/AN/A52322313,5628,722
2013-05-15$77.73$61.3613.4%4.6%17.8%44.6%15.9%3.0%1.2%2.5M-82.2M-123.6K0.9668.50N/AN/A15815113,7478,898
2013-05-16$77.08$61.3615.8%4.5%17.7%59.2%16.6%2.8%1.8%3.3M-77.2M-130.5K0.5262.41N/AN/A21110913,6668,859
2013-05-17$78.06$61.3615.7%4.5%17.8%58.9%15.9%3.1%1.7%1.8M-84.1M-117.6K0.6869.18N/AN/A24816913,7408,882
2013-05-20$77.56$65.1915.5%4.4%18.2%57.4%15.2%2.6%0.4%1.6M-66.8M-121.6K0.6253.21N/AN/A64039711,7337,846
2013-05-21$77.47$65.1915.0%4.3%18.2%54.6%18.1%2.5%0.6%1.6M-68.0M-121.9K0.1350.42N/AN/A76110212,1488,229
2013-05-22$76.71$65.1914.8%4.2%18.2%53.0%15.1%2.4%1.1%2.0M-66.1M-142.8K1.5647.99N/AN/A12720012,8287,946
2013-05-23$76.83$65.1914.9%4.3%17.6%54.0%16.0%3.1%0.8%1.9M-66.8M-139.4K59.5054.47N/AN/A472,79312,8298,115
2013-05-24$77.34$65.1914.8%4.2%15.9%53.0%15.3%2.7%0.8%1.7M-70.5M-131.7K0.2459.94N/AN/A76617912,8349,699
2013-05-28$78.17$65.1915.7%4.5%16.1%58.6%20.3%3.5%0.2%1.8M-76.1M-134.8K0.4664.36N/AN/A40819013,2579,780
2013-05-29$77.32$65.1915.5%4.4%16.7%57.5%17.2%3.1%0.4%1.9M-70.5M-141.0K0.1263.80N/AN/A1722013,1869,909
2013-05-30$77.33$65.1915.2%4.4%16.2%55.9%24.6%3.3%0.6%1.9M-71.4M-139.9K0.7056.01N/AN/A48634213,2969,923
2013-05-31$75.64$65.1915.8%4.5%16.2%59.6%22.8%2.4%0.5%2.2M-62.2M-144.9K2.4552.75N/AN/A22555313,4499,925