BSX Options History — September 2007

In September 2007, BSX traded between $13.10 and $14.20. ATM implied volatility averaged 36.2%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 10.5% (HV 20d: 25.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.77.

Notable Days

  • 2007-09-04: Highest Volume — 49,518 contracts
  • 2007-09-24: Largest IV spike — 42.1% change
  • 2007-09-25: Highest IV Rank — 77.6%
  • 2007-09-25: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.56$13.10$14.20$13.20$13.95
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV36.2%25.7%40.5%39.2%37.9%
Expected Move10.6%7.4%11.6%11.2%10.9%
HV 20d25.7%21.9%33.7%33.5%22.7%
HV 60d26.5%25.3%27.3%25.7%27.3%
IV Rank62.7%26.6%77.6%72.8%68.4%
IV Percentile74.7%11.6%93.4%89.9%83.9%
Term Structure3.7%0.1%23.5%0.5%4.0%
VWIV38.8%35.2%48.2%39.7%38.2%
Skew 25d0.4%-8.1%11.4%-4.8%6.3%
Skew 10d3.9%-9.0%20.0%-5.7%13.0%
Call IV 25d38.5%28.7%45.7%44.0%37.7%
Put IV 25d38.9%34.4%46.0%39.2%44.1%
Bid-Ask Spread %10.737.2716.698.3310.76
Gamma HHI0.200.190.220.200.20
Net GEX2.7M2.1M4.0M2.2M3.4M
Net DEX-69.1M-120.0M-40.5M-51.3M-91.1M
Net VEX-2.0M-2.2M-1.9M-2.0M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.1216.970.122.11
Total Volume11,460.15874749,51849,5186,837
Total OI882,164.368829,555912,577829,555883,421

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$13.20$12.5039.2%11.2%33.5%72.8%39.7%-4.8%0.5%2.2M-51.3M-2.0M0.128.33N/AN/A44,2875,231612,278217,277
2007-09-05$13.10$12.5037.5%10.8%33.7%67.2%48.2%-8.1%4.1%2.3M-49.8M-2.0M0.647.27N/AN/A8,0685,163625,087218,812
2007-09-06$13.23$12.5036.8%10.6%33.0%64.8%36.8%7.7%4.3%2.6M-57.7M-2.1M0.188.90N/AN/A20,7423,801641,206223,619
2007-09-07$13.21$12.5037.1%11.0%29.2%65.8%38.8%-5.3%1.6%2.7M-59.1M-2.1M1.079.21N/AN/A1,2861,370657,617227,088
2007-09-10$13.17$12.5036.2%11.1%22.9%62.8%38.9%-4.6%1.4%2.5M-53.6M-2.0M0.2412.16N/AN/A602145658,419226,866
2007-09-11$13.49$12.5030.5%11.2%24.3%43.1%39.1%0.3%3.1%2.9M-65.5M-2.0M1.077.52N/AN/A2,4372,610658,648226,332
2007-09-12$13.14$12.5038.1%11.2%26.3%69.1%41.0%-4.8%1.0%2.3M-45.5M-2.0M0.7711.59N/AN/A622480659,352228,068
2007-09-13$13.17$12.5038.1%10.9%26.0%69.1%40.7%-4.9%1.7%2.2M-40.5M-1.9M16.978.28N/AN/A4978,435659,525228,123
2007-09-14$13.50$12.5037.5%10.8%26.7%67.3%37.2%0.6%2.9%2.7M-60.8M-2.0M1.498.57N/AN/A3,0474,554659,847235,638
2007-09-17$13.43$12.5036.4%10.4%25.8%63.5%39.3%-3.2%1.4%2.3M-60.0M-2.0M0.3712.46N/AN/A4,8611,803661,421236,207
2007-09-18$13.51$12.5037.6%10.8%23.8%67.5%37.7%0.8%0.1%2.1M-50.8M-1.9M4.3616.69N/AN/A9194,006658,986236,806
2007-09-19$13.68$12.5034.8%10.0%23.6%58.1%35.2%-0.3%2.1%2.5M-66.3M-2.0M0.1215.59N/AN/A14,8151,788658,736238,979
2007-09-20$13.70$12.5034.9%10.0%22.5%58.4%36.7%-1.8%3.5%2.7M-71.9M-2.0M0.1611.06N/AN/A14,9322,331660,549238,970
2007-09-21$13.75$12.5025.7%7.4%21.9%26.6%37.9%-6.6%23.5%2.8M-76.5M-2.0M1.0111.06N/AN/A6,0416,076673,787238,790
2007-09-24$14.11$12.5036.5%10.5%23.1%63.8%37.5%8.9%6.6%3.5M-106.5M-2.2M0.3311.75N/AN/A14,6384,852644,608229,772
2007-09-25$14.20$12.5040.5%11.6%22.9%77.6%40.5%10.2%1.4%4.0M-120.0M-2.2M0.228.91N/AN/A3,422748650,554230,928
2007-09-26$14.20$12.5036.2%10.4%22.5%62.8%36.7%11.4%4.2%3.5M-105.9M-2.1M0.7812.49N/AN/A1,9861,554645,605231,021
2007-09-27$13.92$12.5036.4%10.4%23.5%63.5%37.5%5.0%3.7%3.0M-80.0M-2.0M1.5511.24N/AN/A5,0017,756646,065232,116
2007-09-28$13.95$12.5037.9%10.9%22.7%68.4%38.2%6.3%4.0%3.4M-91.1M-2.2M2.1110.76N/AN/A2,1964,641645,414238,007