BSX Options History — December 2007

In December 2007, BSX traded between $11.47 and $13.04. ATM implied volatility averaged 40.0%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 5.2% (HV 20d: 34.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2007-12-17: Highest Volume — 35,334 contracts
  • 2007-12-10: Largest IV spike — 19.3% change
  • 2007-12-19: Highest IV Rank — 81.9%
  • 2007-12-19: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.17$11.47$13.04$13.00$11.63
Max Pain$14.50$12.50$15.00$12.50$15.00
ATM IV40.0%35.4%45.1%39.4%43.2%
Expected Move11.6%10.4%12.9%11.3%12.4%
HV 20d34.8%30.5%37.4%32.2%36.8%
HV 60d32.8%31.0%34.6%31.0%34.6%
IV Rank66.4%52.5%81.9%64.7%76.2%
IV Percentile78.3%54.9%95.9%77.9%91.2%
Term Structure4.6%2.2%8.4%2.4%4.8%
VWIV40.8%36.4%45.8%40.1%43.2%
Skew 25d3.3%-12.7%12.3%-7.2%-12.7%
Skew 10d5.7%-13.9%20.7%-10.6%-11.6%
Call IV 25d40.0%28.2%47.9%46.1%42.9%
Put IV 25d43.3%30.2%48.9%38.9%30.2%
Bid-Ask Spread %5.552.9910.919.325.09
Gamma HHI0.360.280.440.280.37
Net GEX-384.7K-977.0K315.0K256.8K-680.1K
Net DEX57.6M-4.2M107.2M-515.0K95.9M
Net VEX-1.4M-1.6M-1.2M-1.5M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.068.840.060.15
Total Volume13,680.352,89635,33414,33925,660
Total OI874,491.35849,810896,496849,810894,834

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$13.00$12.5039.4%11.3%32.2%64.7%40.1%-7.2%2.4%256.8K-515.0K-1.5M0.069.32N/AN/A13,490849616,551233,259
2007-12-04$12.63$12.5037.8%10.8%33.7%59.7%37.7%5.8%4.6%170.8K15.2M-1.5M8.848.41N/AN/A9017,961619,761233,798
2007-12-05$12.95$12.5038.3%11.0%35.0%61.5%38.5%10.2%2.2%183.9K4.5M-1.6M3.027.92N/AN/A1,9035,748619,788238,940
2007-12-06$12.99$12.5037.6%10.8%30.5%59.3%37.2%9.7%4.7%315.0K-3.5M-1.6M5.6810.91N/AN/A6633,765619,563240,990
2007-12-07$12.73$15.0035.4%11.7%31.5%52.5%44.0%1.0%3.7%92.6K13.2M-1.5M0.885.26N/AN/A5,9025,169619,589240,390
2007-12-10$13.04$15.0042.2%11.6%32.2%73.0%41.7%3.2%5.0%10.1K-4.2M-1.5M0.574.26N/AN/A7,2824,172617,943243,153
2007-12-11$12.70$15.0039.0%11.6%33.7%63.6%40.6%3.4%3.3%-364.2K23.8M-1.5M1.886.84N/AN/A2,0273,813616,909247,082
2007-12-12$12.63$15.0038.4%12.3%32.8%61.7%43.3%3.5%2.7%-334.4K27.9M-1.5M1.695.80N/AN/A1,9143,240614,627249,423
2007-12-13$12.22$15.0040.9%11.7%34.4%69.2%42.3%1.8%4.6%-586.4K59.1M-1.4M0.692.99N/AN/A1,7131,183614,896250,942
2007-12-14$11.95$15.0041.3%11.8%34.7%70.3%41.2%-0.8%3.2%-596.9K72.5M-1.3M0.913.55N/AN/A3,3343,031614,985251,095
2007-12-17$11.47$15.0045.0%12.9%35.5%81.6%45.8%4.6%3.5%-487.4K93.9M-1.3M0.695.88N/AN/A20,87514,459615,395250,072
2007-12-18$11.67$15.0041.3%11.8%36.0%70.5%41.9%-2.4%8.4%-414.8K87.6M-1.3M0.793.91N/AN/A13,35110,589631,811259,916
2007-12-19$11.51$15.0045.1%12.9%35.7%81.9%44.4%-5.3%3.3%-483.5K92.3M-1.3M1.313.65N/AN/A9,07311,892629,907253,885
2007-12-20$11.59$15.0041.0%11.8%35.8%69.6%40.9%2.5%5.2%-700.3K101.6M-1.3M0.393.83N/AN/A15,3965,950627,714261,784
2007-12-21$11.83$15.0038.6%11.1%36.6%62.2%38.6%10.0%6.7%-977.0K89.2M-1.3M0.784.73N/AN/A11,0248,617632,900263,596
2007-12-24$11.47$15.0040.7%11.7%37.4%68.6%40.6%3.1%4.8%-616.4K107.2M-1.2M1.794.57N/AN/A1,8843,375625,703264,242
2007-12-26$11.86$15.0039.4%11.3%37.0%64.6%39.8%12.3%5.6%-817.4K85.8M-1.3M0.365.50N/AN/A12,3354,400625,884263,465
2007-12-27$11.71$15.0036.3%10.4%37.1%55.5%36.4%11.9%8.0%-846.4K96.4M-1.3M0.554.34N/AN/A8,1674,471625,815265,557
2007-12-28$11.72$15.0038.2%10.9%36.9%61.1%38.2%11.1%5.6%-817.4K94.7M-1.3M0.534.16N/AN/A9,1664,863629,087264,576
2007-12-31$11.63$15.0043.2%12.4%36.8%76.2%43.2%-12.7%4.8%-680.1K95.9M-1.2M0.155.09N/AN/A22,2613,399629,171265,663