BSX Options History — January 2008 In January 2008, BSX traded between $10.98 and $12.35. ATM implied volatility averaged 57.5%, placing in the 89.7% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 17.9% (HV 20d: 39.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.74.
Notable Days 2008-01-09 : Highest Volume — 43,866 contracts2008-01-09 : Largest IV spike — 26.9% change2008-01-08 : Highest IV Rank — 100.0%2008-01-15 : Largest Expected Move — 18.5%Monthly Statistics Metric Avg Min Max Open Close Price $11.76 $10.98 $12.35 $11.41 $12.15 Max Pain $12.74 $12.50 $15.00 $15.00 $12.50 ATM IV 57.5% 43.2% 65.5% 46.7% 58.1% Expected Move 16.9% 13.4% 18.5% 13.4% 16.6% HV 20d 39.6% 32.1% 43.7% 35.0% 39.6% HV 60d 35.8% 33.4% 37.3% 34.2% 35.7% IV Rank 89.7% 76.2% 100.0% 86.7% 84.4% IV Percentile 97.7% 90.1% 100.0% 97.6% 95.2% Term Structure -8.9% -14.6% 4.9% 3.7% -9.5% VWIV 60.3% 46.6% 73.4% 46.6% 58.3% Skew 25d -1.3% -21.0% 5.8% 4.4% 2.1% Skew 10d -4.9% -33.3% 14.0% 10.1% 1.1% Call IV 25d 61.8% 47.2% 70.5% 47.2% 64.3% Put IV 25d 60.6% 43.5% 68.8% 51.5% 66.4% Bid-Ask Spread % 11.60 5.30 20.41 5.30 6.81 Gamma HHI 0.39 0.23 0.69 0.30 0.45 Net GEX -145.6K -4.1M 995.1K -359.7K 995.1K Net DEX 48.1M -21.4M 121.2M 100.3M -11.5M Net VEX -1.2M -1.4M -1.1M -1.2M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.07 4.05 1.18 0.35 Total Volume 11,065.667 2,112 43,866 4,245 2,112 Total OI 761,770.048 484,421 943,814 905,623 500,177
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-01-02 $11.41 $15.00 46.7% 13.4% 35.0% 86.7% 46.6% 4.4% 3.7% -359.7K 100.3M -1.2M 1.18 5.30 N/A N/A 1,947 2,298 639,957 265,666 2008-01-03 $11.39 $15.00 47.9% 13.7% 34.0% 90.4% 47.9% 4.7% 4.9% -438.9K 106.4M -1.2M 0.78 5.30 N/A N/A 1,572 1,221 637,355 266,975 2008-01-04 $11.31 $12.50 43.2% 16.1% 32.1% 76.2% 55.9% -3.2% -8.2% -355.2K 106.6M -1.2M 0.18 17.31 N/A N/A 13,920 2,527 640,080 266,920 2008-01-07 $11.53 $12.50 50.0% 15.8% 33.2% 96.5% 57.5% 1.1% -7.8% -545.4K 94.9M -1.2M 0.62 10.59 N/A N/A 6,948 4,316 640,227 266,643 2008-01-08 $10.98 $12.50 51.6% 17.7% 36.3% 100.0% 61.2% -4.4% -11.8% -79.8K 121.2M -1.1M 0.84 9.86 N/A N/A 4,541 3,810 643,088 269,721 2008-01-09 $10.98 $12.50 65.5% 18.2% 34.5% 100.0% 65.2% -7.3% -9.1% -176.9K 115.8M -1.2M 0.32 10.72 N/A N/A 33,239 10,627 644,764 269,362 2008-01-10 $11.70 $12.50 61.4% 17.6% 42.2% 91.3% 61.6% 1.5% -13.0% -363.8K 64.3M -1.3M 0.25 12.26 N/A N/A 11,275 2,854 667,836 274,276 2008-01-11 $11.74 $12.50 63.3% 18.1% 42.3% 95.3% 61.8% 2.1% -14.0% -619.7K 66.8M -1.3M 0.32 13.32 N/A N/A 2,888 938 667,104 273,803 2008-01-14 $11.93 $12.50 59.8% 17.2% 41.3% 88.1% 60.6% 5.8% -12.1% -1.2M 60.2M -1.3M 0.20 10.87 N/A N/A 7,423 1,494 667,197 273,887 2008-01-15 $11.51 $12.50 64.4% 18.5% 42.5% 97.7% 65.4% -3.1% -14.6% 351.1K 89.2M -1.2M 0.33 11.75 N/A N/A 6,761 2,242 668,931 274,106 2008-01-16 $12.05 $12.50 62.1% 17.8% 43.1% 92.8% 62.0% -0.7% -11.0% -1.8M 47.6M -1.4M 4.05 10.83 N/A N/A 8,447 34,249 669,072 272,292 2008-01-17 $12.35 $12.50 63.3% 18.1% 43.5% 95.4% 62.8% 3.8% -13.0% -4.1M 26.8M -1.4M 1.79 13.56 N/A N/A 6,892 12,360 665,678 278,136 2008-01-18 $12.13 $12.50 57.8% 16.6% 43.7% 83.9% 57.9% -3.4% -9.0% -485.6K 60.4M -1.3M 0.29 18.38 N/A N/A 9,961 2,859 664,913 272,200 2008-01-22 $12.13 $12.50 59.3% 17.0% 43.7% 87.0% 60.1% -1.8% -6.3% 985.5K -21.4M -1.3M 1.68 15.79 N/A N/A 3,455 5,808 298,727 185,694 2008-01-23 $12.09 $12.50 58.3% 16.7% 43.2% 84.8% 62.7% 5.2% -7.5% 840.2K -12.0M -1.3M 0.81 12.32 N/A N/A 3,257 2,654 299,894 190,542 2008-01-24 $11.96 $12.50 57.7% 16.5% 41.8% 83.6% 58.8% -1.5% -7.3% 820.6K -4.4M -1.2M 0.21 11.69 N/A N/A 3,280 678 300,283 191,231 2008-01-25 $11.84 $12.50 56.7% 16.3% 40.3% 81.5% 73.4% -5.7% -7.6% 790.1K 2.8M -1.2M 0.07 20.41 N/A N/A 5,612 397 301,582 191,468 2008-01-28 $11.85 $12.50 62.5% 17.9% 40.0% 93.7% 66.2% -2.7% -12.5% 858.1K 915.2K -1.2M 0.51 12.50 N/A N/A 1,723 875 306,596 191,652 2008-01-29 $11.96 $12.50 60.4% 17.3% 40.1% 89.2% 62.1% -2.5% -10.4% 898.1K -1.7M -1.2M 0.16 5.53 N/A N/A 2,180 346 307,284 192,016 2008-01-30 $11.95 $12.50 58.6% 16.8% 40.0% 85.5% 59.3% -21.0% -10.8% 915.7K -2.1M -1.2M 0.64 8.59 N/A N/A 1,459 934 307,888 191,948 2008-01-31 $12.15 $12.50 58.1% 16.6% 39.6% 84.4% 58.3% 2.1% -9.5% 995.1K -11.5M -1.2M 0.35 6.81 N/A N/A 1,559 553 308,419 191,758
« Dec 2007 | All History | Feb 2008 » Home BSX History January 2008