BSX Options History — May 2007

In May 2007, BSX traded between $15.43 and $16.67. ATM implied volatility averaged 33.1%. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.7% (HV 20d: 29.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2007-05-02: Highest Volume — 80,171 contracts
  • 2007-05-10: Largest IV spike — 59.6% change
  • 2007-05-02: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.87$15.43$16.67$16.05$15.67
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV33.1%21.3%42.8%35.6%29.7%
Expected Move9.6%8.1%12.3%10.2%8.5%
HV 20d29.4%21.0%36.4%33.0%21.0%
HV 60d32.2%30.7%33.2%32.2%30.8%
Term Structure-0.1%-5.8%2.7%-1.7%1.5%
VWIV33.6%28.8%41.9%32.8%29.8%
Skew 25d-0.1%-6.8%10.4%2.4%7.8%
Skew 10d-0.4%-12.1%13.9%4.0%13.1%
Call IV 25d32.7%18.6%42.5%32.8%21.6%
Put IV 25d32.6%27.9%41.4%35.2%29.5%
Bid-Ask Spread %8.884.0316.446.259.14
Gamma HHI0.240.200.310.220.25
Net GEX5.4M3.0M8.8M5.4M4.9M
Net DEX-170.2M-276.2M-118.5M-181.9M-139.6M
Net VEX-2.7M-3.0M-2.5M-2.8M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.055.040.080.51
Total Volume12,005.4091,02280,17132,8514,044
Total OI827,680.864705,073900,085860,707729,341

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$16.05$15.0035.6%10.2%33.0%0.0%32.8%2.4%-1.7%5.4M-181.9M-2.8M0.086.25N/AN/A30,3452,506604,242256,465
2007-05-02$16.33$15.0042.8%12.3%33.2%0.0%41.9%-5.4%-5.8%6.7M-227.9M-3.0M0.084.03N/AN/A73,9466,225613,441255,483
2007-05-03$16.29$15.0040.6%11.6%33.3%0.0%41.0%-0.1%-4.3%7.4M-225.3M-3.0M0.069.00N/AN/A17,6881,104639,338259,435
2007-05-04$16.16$15.0036.3%10.6%33.6%0.0%38.3%-1.6%-1.8%7.0M-218.0M-3.0M0.247.07N/AN/A2,318567640,461259,624
2007-05-07$16.67$15.0039.3%10.2%34.8%0.0%35.9%-1.4%-1.5%8.8M-276.2M-3.0M0.1416.44N/AN/A20,0612,779633,331259,792
2007-05-08$16.58$15.0039.4%9.9%35.0%0.0%34.4%-0.7%-0.9%8.7M-263.7M-3.0M0.127.94N/AN/A2,424291635,266261,794
2007-05-09$16.24$15.0021.3%9.9%35.7%0.0%33.9%2.0%0.1%7.0M-213.8M-2.9M2.758.92N/AN/A1,3523,718629,039261,850
2007-05-10$15.96$15.0034.0%9.7%36.4%0.0%34.3%-1.3%-1.0%5.5M-178.6M-2.7M1.0510.23N/AN/A2,5362,672628,154264,446
2007-05-11$15.85$15.0033.8%9.7%35.5%0.0%33.0%0.0%-0.2%5.1M-166.2M-2.7M0.088.39N/AN/A7,056542627,624262,431
2007-05-14$15.59$15.0033.9%9.7%27.7%0.0%34.4%-3.2%-0.1%3.5M-137.3M-2.6M2.2210.94N/AN/A1,0152,249631,546262,704
2007-05-15$15.59$15.0033.9%9.7%27.6%0.0%34.3%-3.6%0.6%3.5M-135.2M-2.6M0.2410.34N/AN/A821201631,636263,171
2007-05-16$15.81$15.0033.9%9.7%26.9%0.0%35.3%-1.3%0.9%4.6M-163.0M-2.6M5.048.24N/AN/A1,6898,506631,691260,100
2007-05-17$15.45$15.0032.4%9.3%28.0%0.0%33.9%-6.8%2.0%3.0M-138.8M-2.5M1.8110.82N/AN/A1,3812,494631,637263,975
2007-05-18$15.44$15.0031.9%9.2%26.6%0.0%31.9%-2.8%0.5%4.1M-142.4M-2.5M0.395.45N/AN/A2,516993631,951263,075
2007-05-21$15.53$15.0031.4%9.0%26.6%0.0%32.1%-3.1%1.8%4.6M-127.1M-2.5M0.676.19N/AN/A6,4704,343526,916178,157
2007-05-22$15.61$15.0031.1%8.9%26.2%0.0%32.5%-1.9%0.5%4.8M-134.5M-2.5M0.376.42N/AN/A7,3152,674529,099180,702
2007-05-23$15.71$15.0029.3%8.4%26.3%0.0%30.2%-2.8%2.2%4.9M-141.7M-2.6M0.287.28N/AN/A2,764777529,975181,616
2007-05-24$15.77$15.0028.3%8.1%26.3%0.0%28.8%-4.0%2.7%5.1M-142.7M-2.5M0.9212.82N/AN/A4,5034,139532,127181,821
2007-05-25$15.75$15.0028.9%8.3%26.0%0.0%29.2%10.4%0.8%5.1M-141.9M-2.6M0.0511.97N/AN/A3,535194534,255184,656
2007-05-29$15.61$15.0031.1%8.9%25.3%0.0%31.1%9.4%-0.5%4.8M-131.0M-2.5M0.897.07N/AN/A10,3809,254535,897184,675
2007-05-30$15.43$15.0029.2%8.4%21.2%0.0%29.2%6.4%2.5%4.4M-118.5M-2.5M1.0010.47N/AN/A1,8661,866544,139191,901
2007-05-31$15.67$15.0029.7%8.5%21.0%0.0%29.8%7.8%1.5%4.9M-139.6M-2.6M0.519.14N/AN/A2,6761,368540,803188,538