BSX Options History — July 2007

In July 2007, BSX traded between $13.15 and $15.72. ATM implied volatility averaged 32.5%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 13.9% (HV 20d: 18.6%). 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 15 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2007-07-31: Highest Volume — 46,484 contracts
  • 2007-07-26: Largest IV spike — 18.6% change
  • 2007-07-19: Highest IV Rank — 71.3%
  • 2007-07-19: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.87$13.15$15.72$15.48$13.15
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV32.5%28.1%36.5%32.9%32.6%
Expected Move9.4%8.0%10.5%9.4%9.3%
HV 20d18.6%16.4%22.1%16.4%21.3%
HV 60d22.0%20.3%25.1%24.9%20.5%
IV Rank55.9%38.8%71.3%43.5%56.2%
IV Percentile58.7%22.1%87.5%33.3%57.6%
Term Structure1.5%-1.1%6.2%3.3%3.6%
VWIV32.9%24.2%39.5%32.9%32.4%
Skew 25d-0.9%-11.2%9.8%9.1%-9.7%
Skew 10d1.3%-17.9%16.5%11.3%-8.4%
Call IV 25d32.1%20.1%42.2%23.2%42.2%
Put IV 25d31.3%20.6%38.5%32.4%32.5%
Bid-Ask Spread %8.625.6315.099.129.42
Gamma HHI0.240.190.260.260.22
Net GEX3.6M1.0M5.3M4.7M1.3M
Net DEX-73.3M-139.5M36.9M-120.6M35.8M
Net VEX-2.3M-2.5M-1.8M-2.5M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.034.100.640.12
Total Volume13,4352,58746,4844,53546,484
Total OI785,727.333766,673804,340766,673804,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$15.48$15.0032.9%9.4%16.4%0.0%32.9%9.1%3.3%4.7M-120.6M-2.5M0.649.12N/AN/A2,7711,764560,319206,354
2007-07-03$15.68$15.0030.9%8.9%17.1%0.0%30.9%9.7%6.2%5.1M-139.5M-2.5M1.1912.87N/AN/A1,5621,852560,649206,810
2007-07-05$15.57$15.0029.3%8.4%16.6%43.5%29.3%6.7%5.4%4.9M-123.4M-2.5M0.0312.66N/AN/A12,396397561,279207,527
2007-07-06$15.51$15.0029.0%10.0%16.5%42.3%34.5%3.6%-0.4%4.6M-118.1M-2.4M2.177.08N/AN/A3,8058,238560,642207,478
2007-07-09$15.72$15.0031.5%10.1%16.8%52.1%33.6%-1.0%-0.6%5.0M-137.5M-2.5M0.657.41N/AN/A1,9511,272559,827211,660
2007-07-10$15.32$15.0032.9%9.6%18.8%57.5%33.9%3.8%1.5%4.4M-108.2M-2.4M1.008.48N/AN/A5,5835,561561,648211,181
2007-07-11$15.47$15.0033.9%9.7%19.2%61.2%33.8%4.5%0.4%4.6M-118.9M-2.4M0.118.36N/AN/A4,810520566,419213,909
2007-07-12$15.46$15.0033.7%9.7%19.0%60.5%33.6%4.2%1.1%4.9M-122.4M-2.4M0.178.11N/AN/A2,219368570,543212,175
2007-07-13$15.41$15.0034.3%9.8%16.9%62.5%38.5%-7.6%-0.2%4.9M-125.3M-2.4M0.087.18N/AN/A11,813918571,119212,275
2007-07-16$15.50$15.0035.9%10.3%17.1%68.6%38.9%-6.6%-1.1%5.3M-134.0M-2.4M0.718.90N/AN/A4,8613,441577,268209,564
2007-07-17$15.38$15.0035.4%10.1%17.2%66.8%39.5%-9.8%-0.2%4.8M-118.4M-2.4M0.697.31N/AN/A9,5286,549577,150210,847
2007-07-18$15.12$15.0036.1%10.4%17.9%69.7%36.2%-8.9%0.1%4.3M-96.2M-2.4M2.668.50N/AN/A1,8004,781583,513215,594
2007-07-19$15.17$15.0036.5%10.5%17.1%71.3%36.9%-8.3%-0.0%4.3M-98.7M-2.4M1.907.94N/AN/A2,8175,340581,749217,987
2007-07-20$14.79$15.0031.8%9.1%18.9%53.0%37.0%-11.2%3.4%3.5M-56.7M-2.3M0.325.63N/AN/A14,5254,607582,490220,784
2007-07-23$14.70$15.0028.4%8.1%18.5%40.0%28.4%-1.3%2.3%2.8M-49.4M-2.2M4.106.35N/AN/A2,85011,682565,715213,875
2007-07-24$14.37$15.0029.5%8.5%18.9%44.3%29.5%-5.3%0.7%2.0M-18.0M-2.1M0.757.49N/AN/A4,2043,138566,649222,266
2007-07-25$14.07$15.0028.1%8.0%19.8%38.8%28.3%-7.3%2.0%1.6M2.8M-2.0M0.138.61N/AN/A18,4182,340566,879221,168
2007-07-26$13.64$15.0033.3%9.5%21.8%58.9%28.9%-1.9%0.9%1.0M36.9M-1.8M1.065.76N/AN/A10,56711,215573,202221,658
2007-07-27$13.36$15.0031.0%8.9%22.1%50.1%24.2%9.8%1.4%1.1M35.8M-1.9M0.3515.09N/AN/A5,1881,839574,950227,932
2007-07-30$13.30$15.0035.0%10.0%22.1%65.2%30.3%9.0%1.4%1.2M34.4M-1.9M1.508.79N/AN/A15,25222,909575,876227,004
2007-07-31$13.15$15.0032.6%9.3%21.3%56.2%32.4%-9.7%3.6%1.3M35.8M-1.9M0.129.42N/AN/A41,5594,925581,216223,124