BSX Options History — January 2007

In January 2007, BSX traded between $16.91 and $18.59. ATM implied volatility averaged 32.7%. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.9% (HV 20d: 23.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2007-01-09: Highest Volume — 111,959 contracts
  • 2007-01-11: Largest IV spike — 35.7% change
  • 2007-01-05: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.84$16.91$18.59$16.91$18.45
Max Pain$17.25$15.00$17.50$17.50$17.50
ATM IV32.7%24.9%36.2%30.7%34.0%
Expected Move9.7%8.4%10.8%8.8%9.7%
HV 20d23.7%22.0%25.6%22.2%25.3%
Term Structure-1.0%-3.8%4.2%3.4%-1.2%
VWIV34.1%29.2%37.5%30.0%36.3%
Skew 25d2.1%-6.3%5.8%-6.3%-4.7%
Skew 10d8.5%-7.8%17.8%-6.1%-3.5%
Call IV 25d34.3%27.3%39.4%29.4%39.4%
Put IV 25d36.5%23.1%41.7%23.1%34.7%
Bid-Ask Spread %8.753.7318.115.198.25
Gamma HHI0.340.200.570.500.26
Net GEX10.2M5.3M18.7M11.9M6.2M
Net DEX-360.0M-512.9M-220.9M-229.9M-321.6M
Net VEX-3.1M-3.4M-2.7M-2.7M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.040.900.560.45
Total Volume27,041.4932111,95916,22915,981
Total OI896,483.2685,5161,076,103972,542699,233

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$16.91$17.5030.7%8.8%0.0%0.0%30.0%-6.3%3.4%11.9M-229.9M-2.7M0.565.19N/AN/A10,4125,817741,106231,436
2007-01-04$17.06$17.5029.2%8.4%0.0%0.0%29.2%-2.4%4.2%13.6M-262.8M-2.7M0.513.73N/AN/A7,7273,920742,143233,113
2007-01-05$17.10$15.0034.1%10.8%0.0%0.0%37.5%5.2%-3.8%12.6M-271.3M-2.8M0.049.49N/AN/A63,2402,233745,815235,421
2007-01-08$17.81$15.0032.6%10.4%0.0%0.0%36.1%5.8%-3.7%16.0M-426.7M-3.1M0.3010.06N/AN/A28,9048,641782,331236,493
2007-01-09$17.60$17.5027.4%10.0%0.0%0.0%34.8%4.2%-1.6%18.4M-398.3M-3.1M0.5013.83N/AN/A74,67737,282791,418240,376
2007-01-10$17.83$17.5024.9%9.3%0.0%0.0%33.4%3.0%0.5%18.7M-461.6M-3.2M0.2215.49N/AN/A55,05312,143808,894256,156
2007-01-11$18.04$17.5033.8%9.7%0.0%0.0%33.9%3.8%-0.7%15.0M-486.5M-3.2M0.9018.11N/AN/A33,02129,650791,459262,808
2007-01-12$18.21$17.5035.6%10.2%0.0%0.0%36.6%3.6%-0.9%12.9M-492.3M-3.4M0.505.55N/AN/A23,53211,668796,284279,819
2007-01-16$18.12$17.5036.1%10.3%0.0%0.0%35.5%4.8%-2.3%11.5M-479.9M-3.3M0.267.53N/AN/A8,6232,230780,890284,465
2007-01-17$18.20$17.5036.2%10.4%0.0%0.0%36.3%4.1%-2.5%7.5M-512.9M-3.2M0.089.14N/AN/A9,665802777,578276,658
2007-01-18$18.09$17.5034.9%10.0%0.0%0.0%34.8%3.9%-1.5%11.9M-480.2M-3.2M0.167.23N/AN/A10,1861,591776,028277,955
2007-01-19$18.19$17.5035.0%10.0%0.0%0.0%34.8%4.5%-1.9%6.3M-502.0M-3.2M0.076.76N/AN/A12,243892772,407274,094
2007-01-22$18.07$17.5034.2%9.8%0.0%0.0%34.6%4.3%-1.0%6.1M-288.7M-3.1M0.898.02N/AN/A2,5252,254486,955201,208
2007-01-23$17.70$17.5032.7%9.4%0.0%0.0%32.9%3.0%-0.3%5.6M-250.6M-3.0M0.8414.60N/AN/A4,1363,485483,885201,631
2007-01-24$17.69$17.5032.2%9.2%0.0%0.0%32.5%4.4%-0.8%5.5M-244.0M-3.0M0.185.01N/AN/A5,508977485,402204,096
2007-01-25$17.64$17.5030.9%8.8%22.2%0.0%31.0%3.7%0.4%5.6M-245.2M-3.0M0.236.41N/AN/A760172487,359204,269
2007-01-26$17.47$17.5031.4%9.0%22.0%0.0%33.7%2.7%-1.4%5.3M-220.9M-2.9M0.324.74N/AN/A3,3301,082487,560204,259
2007-01-29$17.97$17.5032.2%9.2%23.6%0.0%32.3%-4.0%-2.3%6.1M-281.1M-3.0M0.666.92N/AN/A5,4233,592488,293204,395
2007-01-30$18.59$17.5035.5%10.2%25.6%0.0%35.7%-1.5%-3.6%6.9M-343.4M-3.1M0.368.96N/AN/A27,6079,844489,772206,200
2007-01-31$18.45$17.5034.0%9.7%25.3%0.0%36.3%-4.7%-1.2%6.2M-321.6M-3.1M0.458.25N/AN/A10,9914,990487,692211,541