BSX Options History — March 2007

In March 2007, BSX traded between $14.22 and $16.21. ATM implied volatility averaged 33.3%. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.4% (HV 20d: 30.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2007-03-26: Highest Volume — 89,479 contracts
  • 2007-03-08: Largest IV spike — 94.1% change
  • 2007-03-26: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.19$14.22$16.21$16.21$14.54
Max Pain$15.23$15.00$17.50$17.50$15.00
ATM IV33.3%19.6%43.2%22.0%32.9%
Expected Move9.3%6.3%10.9%6.3%9.4%
HV 20d30.9%23.4%40.0%23.4%37.1%
HV 60d28.2%26.9%30.4%26.9%29.6%
Term Structure2.2%-1.0%4.9%0.7%4.8%
VWIV32.4%20.4%38.1%27.4%32.9%
Skew 25d-1.7%-9.7%8.5%-1.7%-4.7%
Skew 10d-0.9%-15.7%15.4%-2.5%-3.8%
Call IV 25d32.1%19.6%38.1%19.6%30.3%
Put IV 25d30.4%17.3%40.0%17.9%25.6%
Bid-Ask Spread %6.934.0110.044.016.65
Gamma HHI0.200.170.320.200.19
Net GEX2.4M-1.6M4.1M4.1M2.9M
Net DEX-55.6M-97.1M5.3M-97.1M-53.8M
Net VEX-2.5M-2.7M-2.2M-2.6M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.108.340.340.56
Total Volume20,1782,31389,4792,3138,177
Total OI718,638.318672,757768,582678,005768,582

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$16.21$17.5022.0%6.3%23.4%0.0%27.4%-1.7%0.7%4.1M-97.1M-2.6M0.344.01N/AN/A1,728585483,598194,407
2007-03-02$15.99$17.5023.9%6.9%23.5%0.0%20.4%-2.3%0.4%3.8M-80.6M-2.6M0.435.01N/AN/A2,5301,079484,035194,559
2007-03-05$15.51$15.0030.3%9.2%24.9%0.0%32.1%-3.6%1.9%3.1M-50.8M-2.5M0.237.34N/AN/A15,6103,534482,394193,012
2007-03-06$15.70$15.0031.7%8.9%25.9%0.0%31.1%-1.9%3.0%3.5M-70.6M-2.5M0.6010.04N/AN/A4,7212,838484,387188,370
2007-03-07$15.95$15.0019.6%9.2%25.3%0.0%30.0%3.5%2.5%4.1M-87.7M-2.6M8.349.22N/AN/A2,08717,412486,588187,371
2007-03-08$15.47$15.0038.1%9.4%26.9%0.0%31.5%-1.6%2.2%3.0M-60.2M-2.5M1.249.84N/AN/A27,01333,574487,010201,148
2007-03-09$15.77$15.0039.6%10.0%28.0%0.0%32.8%1.2%0.7%3.2M-91.3M-2.7M1.417.41N/AN/A3,4414,865509,174208,828
2007-03-12$15.16$15.0041.7%10.0%30.5%0.0%34.8%2.9%0.4%1.4M-41.0M-2.5M2.657.86N/AN/A2,4906,608508,880211,990
2007-03-13$15.08$15.0043.2%10.2%30.2%0.0%35.6%1.8%-0.4%729.4K-34.9M-2.4M3.968.10N/AN/A1,7416,896509,980212,259
2007-03-14$15.24$15.0041.6%10.2%30.5%0.0%35.5%3.2%0.5%668.0K-47.4M-2.4M1.279.57N/AN/A2,1432,720510,254211,235
2007-03-15$14.98$15.0034.1%9.8%30.5%0.0%34.1%-9.7%4.4%-1.6M-26.6M-2.4M0.138.20N/AN/A33,9284,527511,393213,041
2007-03-16$14.83$15.0034.6%9.9%30.5%0.0%34.8%2.5%2.9%380.5K-18.8M-2.4M1.896.40N/AN/A6,41612,109524,357210,827
2007-03-19$15.05$15.0031.0%8.9%31.4%0.0%31.0%-7.8%4.9%2.8M-53.2M-2.4M0.325.52N/AN/A22,8997,303503,112198,535
2007-03-20$15.12$15.0030.8%8.8%31.6%0.0%30.9%-7.7%4.1%3.1M-61.9M-2.5M0.634.64N/AN/A5,2423,280514,812200,992
2007-03-21$15.38$15.0030.8%8.8%32.5%0.0%30.9%-3.8%2.4%3.5M-82.1M-2.5M0.507.52N/AN/A3,7591,872517,499202,663
2007-03-22$15.59$15.0030.8%8.8%33.0%0.0%30.7%-1.1%4.1%3.7M-94.0M-2.5M6.525.40N/AN/A2,54716,617518,818203,725
2007-03-23$15.22$15.0031.8%9.1%33.6%0.0%31.9%-6.8%4.1%3.0M-65.0M-2.5M2.894.74N/AN/A3,97411,496519,376218,736
2007-03-26$14.22$15.0038.0%10.9%40.0%0.0%38.1%5.3%1.7%1.5M5.3M-2.2M0.527.23N/AN/A58,76330,716520,056224,975
2007-03-27$14.31$15.0034.4%9.9%37.5%0.0%34.7%8.5%1.5%2.0M-22.7M-2.3M0.846.63N/AN/A16,95414,206537,893221,675
2007-03-28$14.38$15.0037.6%10.8%36.6%0.0%37.0%-7.7%-1.0%2.2M-35.9M-2.4M0.385.91N/AN/A7,9153,006546,018217,596
2007-03-29$14.54$15.0035.1%10.1%37.2%0.0%35.2%-4.9%3.4%2.8M-52.4M-2.4M0.105.22N/AN/A22,3322,263549,691216,192
2007-03-30$14.54$15.0032.9%9.4%37.1%0.0%32.9%-4.7%4.8%2.9M-53.8M-2.4M0.566.65N/AN/A5,2252,952553,527215,055