BSX Options History — June 2008

In June 2008, BSX traded between $12.23 and $13.80. ATM implied volatility averaged 39.7%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 10.0% (HV 20d: 29.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2008-06-23: Highest Volume — 19,574 contracts
  • 2008-06-06: Largest IV spike — 41.5% change
  • 2008-06-09: Highest IV Rank — 53.1%
  • 2008-06-13: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.05$12.23$13.80$13.11$12.29
Max Pain$12.74$12.50$15.00$12.50$12.50
ATM IV39.7%28.1%43.9%37.3%40.4%
Expected Move11.4%8.1%12.2%10.7%11.6%
HV 20d29.7%26.3%34.0%28.6%33.9%
HV 60d31.2%29.6%32.5%31.4%29.6%
IV Rank42.3%21.4%53.1%40.7%42.6%
IV Percentile54.3%4.0%76.6%38.9%55.2%
Term Structure1.0%-3.2%3.4%2.4%3.1%
VWIV38.9%28.1%41.9%41.4%40.4%
Skew 25d3.1%-6.8%17.8%0.3%0.6%
Skew 10d8.5%-9.0%39.9%39.9%2.1%
Call IV 25d36.1%29.7%43.9%43.9%34.8%
Put IV 25d39.2%33.0%50.6%44.2%35.4%
Bid-Ask Spread %9.795.5713.6111.258.93
Gamma HHI0.380.330.510.390.33
Net GEX656.2K-345.7K1.7M910.6K-345.7K
Net DEX-25.3M-69.9M20.6M-31.5M19.1M
Net VEX-1.2M-1.3M-381.7K-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.186.062.084.76
Total Volume5,614.2861,07919,5745,3372,223
Total OI433,284.381165,760462,728430,513462,728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$13.11$12.5037.3%10.7%28.6%40.7%41.4%0.3%2.4%910.6K-31.5M-1.3M2.0811.25N/AN/A1,7323,605236,990193,523
2008-06-03$13.40$12.5036.9%10.6%29.5%39.9%38.5%-4.9%2.4%1.2M-45.4M-1.3M0.5511.40N/AN/A1,651906237,251194,438
2008-06-04$13.51$12.5036.1%10.4%27.2%38.2%36.4%-6.8%1.6%1.3M-53.8M-1.3M0.355.68N/AN/A2,589910237,963195,094
2008-06-05$13.80$12.5028.1%8.1%27.0%21.4%28.1%4.5%-3.2%1.7M-69.9M-1.3M0.345.57N/AN/A1,372470239,963195,160
2008-06-06$13.49$15.0039.8%11.4%27.4%45.9%38.5%4.9%0.4%1.3M-53.1M-1.3M0.9811.91N/AN/A2,9682,903238,739195,275
2008-06-09$13.33$15.0043.9%12.1%26.9%53.1%41.9%5.8%0.9%1.1M-44.6M-1.3M1.4011.80N/AN/A3,2544,559240,803198,029
2008-06-10$13.10$12.5038.5%11.4%27.5%38.1%37.8%-0.2%1.9%768.5K-32.9M-1.3M0.1811.92N/AN/A1,314242243,523201,157
2008-06-11$12.84$12.5038.2%11.5%26.3%37.4%35.8%9.1%1.2%463.3K-19.4M-1.2M4.756.19N/AN/A2,60912,386240,012200,754
2008-06-12$13.18$12.5041.5%11.9%26.9%45.0%38.6%6.0%1.3%747.0K-33.4M-1.3M1.087.06N/AN/A1,9932,159241,866207,919
2008-06-13$13.29$12.5042.6%12.2%26.8%47.6%40.8%2.3%-0.5%872.0K-40.3M-1.3M0.4013.53N/AN/A2,328929242,656208,209
2008-06-16$13.64$12.5042.0%12.0%28.4%46.2%40.9%7.3%-0.4%990.6K-24.1M-381.7K0.2311.18N/AN/A3,08770692,86972,891
2008-06-17$13.66$12.5039.9%11.5%28.4%41.4%36.5%3.8%3.4%1.4M-63.6M-1.3M0.9613.61N/AN/A1,0731,028244,719209,008
2008-06-18$13.57$12.5042.4%12.2%28.1%47.1%36.5%6.1%-2.2%1.1M-56.3M-1.3M0.5411.68N/AN/A699380243,083209,385
2008-06-19$13.27$12.5040.7%11.7%29.2%43.3%40.3%0.2%-0.3%814.7K-39.6M-1.3M1.9711.89N/AN/A8401,652245,266209,223
2008-06-20$12.68$12.5041.0%11.7%33.2%43.8%40.8%-5.2%1.1%49.8K-7.8M-1.2M6.068.98N/AN/A2,49615,137245,361210,700
2008-06-23$12.26$12.5040.2%11.5%33.7%42.0%40.3%17.8%1.7%-182.3K18.1M-1.2M1.686.84N/AN/A7,30912,265232,169215,135
2008-06-24$12.49$12.5041.2%11.8%33.2%44.2%41.1%4.2%1.1%-59.5K9.9M-1.2M0.308.08N/AN/A1,787533235,357219,987
2008-06-25$12.65$12.5040.6%11.6%33.0%42.9%40.6%6.4%1.5%34.0K816.4K-1.3M2.239.85N/AN/A9162,046232,504220,265
2008-06-26$12.31$12.5041.9%12.0%34.0%45.9%41.7%4.1%2.6%-159.1K15.6M-1.2M1.069.41N/AN/A1,4351,526232,945221,554
2008-06-27$12.23$12.5040.1%11.5%33.9%41.7%40.1%-1.7%1.4%-307.3K20.6M-1.2M2.388.81N/AN/A2,9276,956232,945221,554
2008-06-30$12.29$12.5040.4%11.6%33.9%42.6%40.4%0.6%3.1%-345.7K19.1M-1.2M4.768.93N/AN/A3861,837233,869228,859