BSX Options History — April 2007

In April 2007, BSX traded between $14.59 and $16.10. ATM implied volatility averaged 33.8%. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 0.1% (HV 20d: 33.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2007-04-23: Highest Volume — 68,943 contracts
  • 2007-04-24: Largest IV drop — 26.0% change
  • 2007-04-23: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.45$14.59$16.10$14.59$15.44
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV33.8%25.9%44.0%34.3%32.9%
Expected Move10.0%7.4%12.6%9.8%9.4%
HV 20d33.9%29.0%39.5%35.9%30.5%
HV 60d30.3%28.1%32.4%29.6%31.1%
Term Structure-0.2%-5.0%8.3%4.1%-1.2%
VWIV35.3%25.9%43.9%34.2%32.3%
Skew 25d-0.3%-6.3%9.2%-3.1%9.2%
Skew 10d-2.0%-19.5%12.0%-2.3%11.4%
Call IV 25d35.6%23.1%43.8%31.1%23.1%
Put IV 25d35.3%27.5%44.0%27.9%32.4%
Bid-Ask Spread %8.015.2115.037.666.47
Gamma HHI0.200.170.250.180.20
Net GEX4.6M2.9M6.3M2.9M3.6M
Net DEX-140.8M-225.5M-55.6M-55.6M-110.3M
Net VEX-2.6M-2.8M-2.4M-2.4M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.041.450.230.71
Total Volume20,831.454,61368,94319,85752,635
Total OI809,171.35768,120849,059768,120843,892

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$14.59$15.0034.3%9.8%35.9%0.0%34.2%-3.1%4.1%2.9M-55.6M-2.4M0.237.66N/AN/A16,1123,745551,328216,792
2007-04-03$14.79$15.0030.7%8.8%36.0%0.0%30.7%0.2%7.2%3.7M-74.4M-2.5M0.307.21N/AN/A3,5521,061558,562217,385
2007-04-04$14.85$15.0029.8%8.6%35.4%0.0%29.9%0.9%6.6%3.8M-81.2M-2.5M0.446.73N/AN/A5,4372,370559,056217,705
2007-04-05$14.97$15.0025.9%7.4%34.1%0.0%25.9%2.3%8.3%4.2M-94.6M-2.4M0.236.67N/AN/A3,812871562,801219,031
2007-04-09$14.94$15.0026.5%10.0%33.2%0.0%34.9%3.2%-0.9%4.2M-85.2M-2.4M0.099.70N/AN/A20,6011,783562,280219,344
2007-04-10$15.00$15.0026.5%10.1%30.3%0.0%35.2%4.0%-0.8%4.4M-98.5M-2.4M0.119.61N/AN/A5,018532562,446220,222
2007-04-11$15.30$15.0028.9%9.6%31.1%0.0%34.7%3.8%-0.3%4.3M-123.4M-2.5M1.016.87N/AN/A5,1205,146558,968220,006
2007-04-12$15.35$15.0035.0%10.0%30.9%0.0%37.9%0.4%-0.4%4.6M-134.4M-2.5M0.045.25N/AN/A33,5231,502560,404223,847
2007-04-13$15.01$15.0035.7%10.2%31.3%0.0%38.2%-2.7%-0.3%5.2M-110.4M-2.5M0.245.61N/AN/A6,5571,580586,075224,025
2007-04-16$16.00$15.0038.1%10.9%38.4%0.0%39.8%-3.7%-2.2%6.1M-215.0M-2.7M0.127.23N/AN/A27,3513,305587,744224,873
2007-04-17$16.10$15.0038.1%10.9%38.1%0.0%38.9%-2.3%-2.7%6.3M-225.5M-2.7M0.155.61N/AN/A19,9352,929597,999226,477
2007-04-18$15.73$15.0037.9%10.9%39.3%0.0%40.6%-6.3%-4.0%5.0M-196.4M-2.7M1.457.21N/AN/A4,9817,203601,559228,073
2007-04-19$15.62$15.0038.8%11.1%39.0%0.0%39.3%-4.4%-3.9%5.0M-186.4M-2.7M0.176.41N/AN/A15,3262,584603,158232,536
2007-04-20$15.98$15.0041.1%11.8%39.5%0.0%41.4%-2.4%-5.0%5.3M-217.0M-2.8M1.345.21N/AN/A7,51410,042606,275232,445
2007-04-23$16.09$15.0044.0%12.6%38.4%0.0%43.9%0.1%-4.2%5.3M-184.0M-2.8M0.587.15N/AN/A43,60025,343568,371226,606
2007-04-24$15.84$15.0032.6%9.3%29.0%0.0%30.0%-0.8%-0.9%4.8M-155.1M-2.7M0.7615.03N/AN/A27,58321,044588,866242,468
2007-04-25$15.81$15.0034.3%9.8%29.1%0.0%34.3%-0.3%-1.3%4.8M-155.2M-2.8M0.6713.03N/AN/A7,6905,184600,007243,103
2007-04-26$15.89$15.0032.9%9.4%29.1%0.0%32.2%-1.4%-0.8%5.1M-168.7M-2.8M0.5313.80N/AN/A3,2441,704604,560244,499
2007-04-27$15.72$15.0032.2%9.2%29.5%0.0%32.2%-1.9%-0.3%4.4M-145.3M-2.7M0.887.72N/AN/A4,8354,275595,874243,765
2007-04-30$15.44$15.0032.9%9.4%30.5%0.0%32.3%9.2%-1.2%3.6M-110.3M-2.6M0.716.47N/AN/A30,75321,882598,437245,455