BSX Options History — November 2007

In November 2007, BSX traded between $12.10 and $13.30. ATM implied volatility averaged 41.4%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 7.9% (HV 20d: 33.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2007-11-08: Highest Volume — 54,202 contracts
  • 2007-11-15: Largest IV spike — 86.5% change
  • 2007-11-05: Highest IV Rank — 100.0%
  • 2007-11-08: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.66$12.10$13.30$13.30$12.63
Max Pain$13.45$12.50$15.00$15.00$12.50
ATM IV41.4%21.9%51.1%41.9%37.4%
Expected Move12.0%10.5%13.7%12.0%10.7%
HV 20d33.5%29.5%37.9%37.9%30.3%
HV 60d29.9%28.2%31.2%31.2%30.4%
IV Rank71.4%11.8%100.0%79.0%58.7%
IV Percentile82.9%3.2%100.0%91.0%67.8%
Term Structure1.4%-2.9%4.7%-1.6%4.7%
VWIV43.1%38.4%48.4%45.6%38.4%
Skew 25d-4.7%-15.3%6.7%-2.9%-11.3%
Skew 10d-5.7%-24.3%18.1%-3.0%-17.6%
Call IV 25d45.6%40.4%49.2%44.9%46.2%
Put IV 25d40.9%32.3%49.4%41.9%34.9%
Bid-Ask Spread %7.665.3312.7312.736.88
Gamma HHI0.310.240.490.240.29
Net GEX35.4K-1.8M900.0K900.0K212.3K
Net DEX27.9M2.9M69.3M2.9M20.9M
Net VEX-1.6M-1.8M-1.5M-1.8M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.061.880.240.11
Total Volume10,376.7142,20554,2027,4824,645
Total OI910,938.714833,566991,594937,552849,928

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$13.30$15.0041.9%12.0%37.9%79.0%45.6%-2.9%-1.6%900.0K2.9M-1.8M0.2412.73N/AN/A6,0251,457675,547262,005
2007-11-02$13.24$15.0043.5%12.5%36.6%84.3%46.9%-4.4%-2.9%331.9K20.5M-1.8M0.299.06N/AN/A3,096910675,059263,111
2007-11-05$13.20$15.0051.1%12.5%36.6%100.0%46.6%-8.2%-0.2%376.7K22.1M-1.7M0.946.45N/AN/A1,7881,689675,806263,218
2007-11-06$13.12$15.0046.7%12.1%34.1%86.6%45.4%-6.8%1.0%108.3K27.9M-1.7M1.297.11N/AN/A2,6183,377675,941263,745
2007-11-07$12.52$15.0045.2%12.4%37.0%82.2%43.5%-1.0%-0.4%-375.3K56.6M-1.6M0.217.68N/AN/A13,5082,792667,601264,410
2007-11-08$12.49$15.0047.9%13.7%35.0%90.2%48.4%-0.4%0.6%-130.1K45.6M-1.7M0.128.34N/AN/A48,3785,824677,585262,999
2007-11-09$12.66$15.0040.1%12.8%35.8%66.8%44.9%1.6%1.4%30.1K31.0M-1.7M0.188.16N/AN/A11,9002,140709,493265,672
2007-11-12$12.66$15.0039.9%13.3%35.8%66.3%45.6%1.9%-1.3%-131.4K24.4M-1.7M1.188.62N/AN/A5,1446,053715,582263,304
2007-11-13$12.94$12.5048.2%11.9%33.8%91.1%40.6%6.7%0.6%-13.1K14.3M-1.7M0.669.10N/AN/A9,9516,551717,338263,901
2007-11-14$12.75$12.5021.9%11.3%33.9%11.8%42.1%3.2%2.6%-720.9K20.6M-1.7M0.0610.07N/AN/A7,458478723,419268,175
2007-11-15$12.53$12.5040.8%11.7%33.8%68.8%41.2%1.7%2.1%-1.8M33.3M-1.7M1.8810.57N/AN/A2,8905,435724,127261,447
2007-11-16$12.10$12.5041.1%11.8%30.8%69.8%44.5%-2.9%1.6%-377.1K69.3M-1.5M0.578.31N/AN/A7,4044,197720,391260,527
2007-11-19$12.21$12.5040.8%11.7%31.4%68.9%42.2%2.4%3.7%305.7K33.3M-1.5M0.586.13N/AN/A9,7275,672602,586230,980
2007-11-20$12.38$12.5041.6%11.9%31.1%71.3%41.7%-11.9%2.0%472.5K23.4M-1.6M0.635.33N/AN/A2,9511,862609,228234,357
2007-11-21$12.42$12.5040.6%11.6%29.5%68.2%40.7%-12.0%2.6%455.2K22.4M-1.6M0.595.82N/AN/A1,9421,138609,415235,852
2007-11-23$12.51$12.5040.8%11.7%29.6%69.0%41.4%-10.4%0.3%332.2K20.3M-1.6M0.166.91N/AN/A1,904301609,528235,717
2007-11-26$12.24$12.5044.0%12.6%30.2%78.6%42.1%-15.3%-0.0%298.1K32.7M-1.5M0.506.05N/AN/A1,677840609,862235,745
2007-11-27$12.69$12.5040.2%11.5%33.7%67.2%40.5%-8.6%2.5%125.3K20.3M-1.6M0.825.98N/AN/A8,7407,162609,955235,455
2007-11-28$12.73$12.5038.7%11.1%32.9%62.7%38.8%-8.4%4.4%162.8K17.9M-1.6M0.515.61N/AN/A2,9341,484613,147238,187
2007-11-29$12.55$12.5036.7%10.5%33.1%56.7%44.4%-11.7%4.7%163.5K26.4M-1.5M0.325.99N/AN/A2,935934613,165236,203
2007-11-30$12.63$12.5037.4%10.7%30.3%58.7%38.4%-11.3%4.7%212.3K20.9M-1.5M0.116.88N/AN/A4,179466615,155234,773