BSX Options History — March 2008

In March 2008, BSX traded between $12.20 and $12.97. ATM implied volatility averaged 41.8%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 11.1% (HV 20d: 30.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2008-03-07: Highest Volume — 30,521 contracts
  • 2008-03-13: Largest IV spike — 13.1% change
  • 2008-03-17: Highest IV Rank — 64.1%
  • 2008-03-17: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.65$12.20$12.97$12.65$12.87
Max Pain$12.75$12.50$15.00$12.50$12.50
ATM IV41.8%35.0%48.4%36.8%42.4%
Expected Move12.2%10.0%13.9%10.5%12.2%
HV 20d30.7%28.5%35.6%32.6%29.2%
HV 60d34.3%33.1%35.6%35.6%33.7%
IV Rank50.1%35.8%64.1%39.6%51.5%
IV Percentile70.8%38.5%91.7%48.8%75.8%
Term Structure4.2%2.0%6.9%3.5%5.9%
VWIV42.8%35.0%54.0%36.8%42.4%
Skew 25d7.4%4.0%22.6%5.5%5.4%
Skew 10d14.7%6.1%38.1%7.7%18.4%
Call IV 25d41.1%29.0%48.4%30.1%48.4%
Put IV 25d48.5%35.7%56.2%35.7%53.8%
Bid-Ask Spread %11.796.1324.648.827.32
Gamma HHI0.390.340.510.370.40
Net GEX1.6M1.0M2.5M1.6M1.2M
Net DEX-57.8M-73.7M-39.5M-58.1M-62.3M
Net VEX-1.3M-1.4M-1.2M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.052.650.140.08
Total Volume8,468.580130,52111,7875,348
Total OI418,408.5398,497432,672398,497432,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$12.65$12.5036.8%10.5%32.6%39.6%36.8%5.5%3.5%1.6M-58.1M-1.2M0.148.82N/AN/A10,3591,428241,899156,598
2008-03-04$12.75$12.5036.9%10.6%29.6%39.9%36.9%6.9%3.3%1.8M-66.7M-1.3M0.459.76N/AN/A1,349613250,809157,542
2008-03-05$12.79$12.5035.0%10.0%29.6%35.8%35.0%6.8%6.9%1.9M-69.2M-1.3M0.1411.21N/AN/A9,5501,364249,512157,681
2008-03-06$12.68$12.5037.2%10.7%29.5%40.5%37.1%6.2%2.7%1.9M-67.1M-1.3M0.9810.07N/AN/A2,2932,258257,742158,690
2008-03-07$12.35$15.0036.8%11.8%28.8%39.7%41.1%5.7%4.5%1.8M-49.0M-1.3M0.0517.39N/AN/A29,0291,492259,343158,807
2008-03-10$12.33$15.0041.1%12.2%28.7%48.8%42.6%8.2%4.0%1.8M-47.6M-1.2M0.2410.11N/AN/A2,720650258,215159,289
2008-03-11$12.56$12.5037.3%11.8%29.4%40.8%41.3%5.6%4.9%1.9M-55.7M-1.3M0.316.59N/AN/A612189254,566159,806
2008-03-12$12.75$12.5037.4%12.2%29.7%41.0%41.8%7.3%5.9%2.0M-73.7M-1.3M2.277.56N/AN/A3,6278,250254,773159,441
2008-03-13$12.86$12.5042.3%12.1%29.8%51.3%42.6%6.0%4.2%2.1M-71.8M-1.3M2.6010.65N/AN/A2,8047,280255,836165,049
2008-03-14$12.63$12.5047.3%13.6%30.5%61.8%47.4%4.6%5.0%1.8M-62.6M-1.3M0.2010.97N/AN/A15,9273,122256,921167,996
2008-03-17$12.20$12.5048.4%13.9%32.1%64.1%48.4%4.0%4.3%1.4M-39.5M-1.3M0.7617.39N/AN/A500379254,925168,761
2008-03-18$12.60$12.5047.1%13.5%34.3%61.4%44.3%7.4%2.0%1.4M-52.7M-1.3M0.547.55N/AN/A4,0852,194250,295168,824
2008-03-19$12.54$12.5048.0%13.8%34.1%63.2%54.0%7.2%2.4%1.5M-53.3M-1.3M2.4424.64N/AN/A3,6168,823250,951169,238
2008-03-20$12.43$12.5044.7%12.8%33.9%56.2%44.7%4.3%4.5%2.5M-42.0M-1.3M2.656.13N/AN/A2,6156,929252,251175,941
2008-03-24$12.85$12.5045.1%12.9%35.6%57.2%45.0%10.4%2.8%1.1M-57.2M-1.3M0.7118.39N/AN/A7,8695,613243,662167,526
2008-03-25$12.97$12.5043.8%12.5%29.0%54.3%44.5%8.5%3.9%1.2M-65.0M-1.4M1.256.53N/AN/A430538247,855172,801
2008-03-26$12.74$12.5043.8%12.6%29.3%54.5%45.4%8.9%4.5%1.1M-54.1M-1.3M0.8418.15N/AN/A855717247,954173,001
2008-03-27$12.83$12.5041.4%11.9%28.9%49.3%41.9%6.3%5.0%1.2M-59.9M-1.3M1.028.39N/AN/A4,1634,228248,643173,351
2008-03-28$12.61$12.5042.4%12.1%28.5%51.4%42.4%22.6%4.7%1.0M-49.1M-1.3M0.0918.22N/AN/A5,107445252,541176,463
2008-03-31$12.87$12.5042.4%12.2%29.2%51.5%42.4%5.4%5.9%1.2M-62.3M-1.4M0.087.32N/AN/A4,949399255,836176,836