BSX Options History — June 2007

In June 2007, BSX traded between $15.34 and $16.49. ATM implied volatility averaged 28.5%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 10.9% (HV 20d: 17.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2007-06-04: Highest Volume — 15,423 contracts
  • 2007-06-11: Largest IV spike — 40.9% change
  • 2007-06-12: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.94$15.34$16.49$15.69$15.34
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.5%17.9%33.9%30.3%30.0%
Expected Move8.7%8.1%9.0%8.7%8.6%
HV 20d17.5%14.8%22.1%21.0%17.5%
HV 60d27.4%24.4%30.6%30.6%24.9%
Term Structure2.0%-0.1%5.5%0.8%5.5%
VWIV30.0%28.8%31.1%30.2%29.8%
Skew 25d0.7%-5.1%7.3%7.3%4.7%
Skew 10d2.1%-8.3%13.0%13.0%5.6%
Call IV 25d29.7%22.5%35.1%22.5%24.6%
Put IV 25d30.4%28.7%32.0%29.8%29.3%
Bid-Ask Spread %9.725.1414.788.935.14
Gamma HHI0.260.240.380.250.25
Net GEX5.3M3.1M6.5M4.9M4.5M
Net DEX-157.1M-216.3M-113.3M-141.8M-114.7M
Net VEX-2.5M-2.7M-1.2M-2.6M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.083.843.840.18
Total Volume7,299.4761,36715,4234,9674,946
Total OI729,651.238285,077765,711731,126763,332

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$15.69$15.0030.3%8.7%21.0%0.0%30.2%7.3%0.8%4.9M-141.8M-2.6M3.848.93N/AN/A1,0263,941541,853189,273
2007-06-04$15.98$15.0033.9%8.8%22.1%0.0%30.1%0.7%1.9%5.5M-163.2M-2.6M0.577.81N/AN/A9,7965,627541,919190,003
2007-06-05$15.91$15.0025.5%8.8%18.7%0.0%30.1%1.3%1.1%5.4M-153.9M-2.6M0.098.72N/AN/A5,665514549,889195,040
2007-06-06$16.09$15.0019.6%8.9%19.2%0.0%29.8%1.2%-0.1%5.6M-174.1M-2.6M0.208.43N/AN/A4,827981552,641195,052
2007-06-07$15.97$15.0017.9%8.6%18.0%0.0%29.1%1.1%1.9%5.3M-164.3M-2.6M0.1810.99N/AN/A1,163204551,832195,265
2007-06-08$16.15$15.0019.6%8.9%17.4%0.0%29.8%1.7%0.7%5.7M-176.1M-2.6M2.478.12N/AN/A1,0202,516552,055195,148
2007-06-11$16.17$15.0027.6%9.0%17.1%0.0%30.7%0.5%1.1%3.1M-122.3M-1.2M0.8010.91N/AN/A6,2805,039214,81970,258
2007-06-12$16.05$15.0030.1%9.0%16.2%0.0%30.3%1.5%1.7%5.5M-170.2M-2.6M0.1311.80N/AN/A6,571834555,357199,436
2007-06-13$16.14$15.0033.6%8.9%16.2%0.0%30.4%1.0%2.1%5.7M-179.9M-2.6M0.0814.78N/AN/A7,635598558,487199,173
2007-06-14$16.49$15.0029.0%8.3%17.2%0.0%29.3%4.5%1.8%6.5M-216.3M-2.7M0.6712.88N/AN/A4,8063,223559,258199,126
2007-06-15$16.38$15.0030.9%8.9%14.8%0.0%30.7%1.8%0.2%6.2M-202.8M-2.7M0.2612.52N/AN/A8,7652,322560,388201,069
2007-06-18$16.35$15.0029.2%8.4%14.9%0.0%29.3%1.4%1.3%6.4M-193.5M-2.6M0.7213.22N/AN/A1,5771,129547,717194,896
2007-06-19$16.32$15.0028.3%8.1%14.9%0.0%28.8%2.3%0.8%6.3M-188.0M-2.6M3.4610.67N/AN/A1,0153,516549,176195,658
2007-06-20$16.01$15.0031.0%8.9%16.7%0.0%30.3%0.5%0.8%5.7M-162.9M-2.6M0.8410.52N/AN/A2,8942,427548,489198,538
2007-06-21$16.01$15.0031.0%8.9%16.6%0.0%30.6%1.1%2.4%5.7M-161.5M-2.6M0.1410.88N/AN/A4,591642549,659199,927
2007-06-22$15.78$15.0029.8%8.5%17.4%0.0%29.7%0.6%2.6%5.3M-144.5M-2.5M0.7010.23N/AN/A8,5786,039554,339200,062
2007-06-25$15.48$15.0030.4%8.7%18.7%0.0%30.4%-4.2%2.8%4.7M-119.6M-2.5M2.956.74N/AN/A2,5467,511559,412203,230
2007-06-26$15.47$15.0029.2%8.4%18.5%0.0%29.4%-5.1%3.7%4.5M-116.1M-2.5M0.578.20N/AN/A4,2952,458554,348207,008
2007-06-27$15.46$15.0031.1%8.9%18.0%0.0%31.1%-5.0%3.8%4.5M-113.3M-2.5M3.085.96N/AN/A2,6568,182556,184207,649
2007-06-28$15.50$15.0029.8%8.5%17.1%0.0%30.4%-5.0%4.8%4.6M-120.4M-2.5M1.946.74N/AN/A1,6793,255557,213208,498
2007-06-29$15.34$15.0030.0%8.6%17.5%0.0%29.8%4.7%5.5%4.5M-114.7M-2.5M0.185.14N/AN/A4,194752557,092206,240