BSX Options History — February 2008

In February 2008, BSX traded between $12.24 and $13.21. ATM implied volatility averaged 37.6%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 6.2% (HV 20d: 31.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2008-02-25: Highest Volume — 20,667 contracts
  • 2008-02-14: Largest IV spike — 35.9% change
  • 2008-02-04: Highest IV Rank — 86.5%
  • 2008-02-01: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.64$12.24$13.21$12.37$12.59
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV37.6%27.6%59.1%54.5%34.5%
Expected Move11.1%9.5%15.6%15.6%9.9%
HV 20d31.4%22.9%41.4%39.9%33.1%
HV 60d35.7%34.8%36.8%35.9%36.0%
IV Rank41.4%20.4%86.5%76.9%34.8%
IV Percentile48.1%10.3%96.0%93.7%36.1%
Term Structure3.2%-6.1%5.6%-6.1%3.9%
VWIV38.8%33.2%55.3%55.3%34.5%
Skew 25d9.8%-13.7%36.6%-13.7%36.6%
Skew 10d16.4%-22.0%61.4%-22.0%61.4%
Call IV 25d32.5%21.6%62.0%62.0%29.0%
Put IV 25d42.3%29.2%65.5%48.3%65.5%
Bid-Ask Spread %8.855.1821.937.148.56
Gamma HHI0.400.350.460.460.36
Net GEX1.3M739.3K1.9M1.1M1.6M
Net DEX-48.7M-90.9M2.4M-23.6M-54.1M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.097.420.432.07
Total Volume8,643.12,13720,6675,9238,970
Total OI449,448.9350,874524,518502,024396,094

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$12.37$12.5054.5%15.6%39.9%76.9%55.3%-13.7%-6.1%1.1M-23.6M-1.2M0.437.14N/AN/A4,1371,786309,630192,394
2008-02-04$12.85$12.5059.1%13.6%41.4%86.5%46.9%7.6%0.4%1.3M-57.5M-1.3M0.5313.62N/AN/A13,0526,958312,252192,394
2008-02-05$12.77$12.5043.5%12.7%41.3%53.7%44.6%6.5%1.6%1.0M-45.6M-1.3M0.8021.93N/AN/A2,6272,109308,862197,817
2008-02-06$12.63$12.5044.5%13.0%36.7%55.9%45.5%8.8%0.7%1.0M-35.6M-1.2M5.8513.02N/AN/A1,78610,456309,036198,180
2008-02-07$12.24$12.5039.8%12.2%39.1%45.9%42.8%6.3%2.3%799.7K2.4M-1.2M0.539.06N/AN/A6,5473,450308,897206,202
2008-02-08$12.33$12.5038.3%12.2%32.6%42.8%42.6%7.4%3.1%917.1K-9.9M-1.2M1.469.88N/AN/A1,0061,466312,155204,874
2008-02-11$12.41$12.5033.6%11.5%32.6%32.9%40.2%4.0%4.5%878.9K-10.9M-1.2M0.095.18N/AN/A11,074960313,298205,268
2008-02-12$12.52$12.5028.6%11.0%32.3%22.5%38.3%16.7%5.2%922.7K-27.6M-1.2M1.446.65N/AN/A3,1154,478317,757204,468
2008-02-13$12.59$12.5027.6%10.8%29.0%20.4%36.4%19.6%5.6%820.1K-44.4M-1.2M7.425.85N/AN/A6624,914317,380206,821
2008-02-14$12.57$12.5037.6%10.8%24.6%41.3%37.6%19.4%5.0%739.3K-40.6M-1.2M0.596.84N/AN/A1,345792317,465207,053
2008-02-15$12.81$12.5037.8%10.8%24.0%41.7%37.7%21.5%4.8%1.6M-82.9M-1.2M0.116.75N/AN/A15,3561,641317,655201,661
2008-02-19$12.75$12.5035.3%10.1%22.9%36.4%35.1%7.6%2.8%1.6M-66.5M-1.2M0.436.72N/AN/A3,0941,320224,176126,698
2008-02-20$12.61$12.5034.9%10.0%23.4%35.8%34.9%5.2%2.7%1.6M-60.7M-1.2M0.676.78N/AN/A4,1502,769225,766127,216
2008-02-21$12.43$12.5033.2%9.5%24.1%32.2%33.2%2.3%5.1%1.6M-53.7M-1.1M3.538.43N/AN/A4751,676227,908128,688
2008-02-22$12.31$12.5033.7%9.7%24.0%33.1%33.7%0.8%5.2%1.5M-48.3M-1.1M2.278.71N/AN/A1,9624,458228,032129,446
2008-02-25$13.05$12.5034.9%10.0%30.9%35.7%34.9%11.1%4.2%1.6M-79.0M-1.2M0.679.16N/AN/A12,3638,304228,482132,748
2008-02-26$13.21$12.5033.2%9.5%31.0%32.2%33.2%11.6%5.1%1.9M-90.9M-1.2M4.898.13N/AN/A1,6077,851236,905139,004
2008-02-27$13.00$12.5033.6%9.6%31.9%32.9%33.7%9.7%5.1%1.9M-79.6M-1.3M2.247.77N/AN/A3,0106,731237,201146,705
2008-02-28$12.72$12.5034.7%9.9%33.2%35.3%34.7%6.7%2.7%1.8M-64.7M-1.2M2.736.79N/AN/A1,1823,223239,736152,654
2008-02-29$12.59$12.5034.5%9.9%33.1%34.8%34.5%36.6%3.9%1.6M-54.1M-1.2M2.078.56N/AN/A2,9206,050240,516155,578