BSX Options History — August 2008

In August 2008, BSX traded between $11.96 and $13.38. ATM implied volatility averaged 43.0%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 3.8% (HV 20d: 46.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.76.

Notable Days

  • 2008-08-14: Highest Volume — 23,001 contracts
  • 2008-08-12: Largest IV drop — 57.5% change
  • 2008-08-11: Highest IV Rank — 94.5%
  • 2008-08-18: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.82$11.96$13.38$11.96$12.56
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV43.0%26.8%63.1%41.3%37.6%
Expected Move12.5%10.8%13.2%11.9%10.8%
HV 20d46.9%33.3%58.6%55.0%35.4%
HV 60d41.2%39.3%41.9%39.4%41.6%
IV Rank48.5%11.3%94.5%44.6%36.0%
IV Percentile61.7%1.6%98.4%58.3%22.2%
Term Structure3.0%-0.3%6.2%1.7%5.6%
VWIV44.1%37.5%54.5%41.3%37.5%
Skew 25d13.3%-5.1%22.4%-5.1%4.5%
Skew 10d27.7%-4.6%40.2%-4.6%6.2%
Call IV 25d38.2%27.9%43.4%40.1%30.1%
Put IV 25d51.5%34.6%57.3%35.0%34.6%
Bid-Ask Spread %11.624.8119.2210.666.20
Gamma HHI0.310.290.340.340.30
Net GEX-432.8K-1.6M446.5K-1.5M-447.1K
Net DEX-6.1M-48.4M48.3M48.3M12.9M
Net VEX-1.3M-1.3M-1.2M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.0410.323.2410.32
Total Volume6,994.6671,50323,00116,9196,556
Total OI544,890.381501,217589,227553,208524,189

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$11.96$12.5041.3%11.9%55.0%44.6%41.3%-5.1%1.7%-1.5M48.3M-1.2M3.2410.66N/AN/A3,98812,931278,734274,474
2008-08-04$12.13$12.5046.1%12.9%55.0%55.4%45.8%12.1%2.3%-1.6M39.1M-1.2M2.608.42N/AN/A1,6774,354281,237283,554
2008-08-05$12.83$12.5042.6%12.8%57.9%47.5%43.7%12.4%2.2%-1.1M-6.5M-1.3M0.8214.86N/AN/A4,4873,693279,908283,236
2008-08-06$13.09$12.5046.9%12.9%57.7%57.4%50.7%12.0%2.6%-554.4K-24.1M-1.3M1.5014.17N/AN/A6,2449,387281,314282,280
2008-08-07$12.78$12.5044.8%13.0%57.5%52.5%43.8%14.0%3.1%-1.4M-6.0M-1.3M0.8811.66N/AN/A6,1685,448283,773287,349
2008-08-08$13.27$12.5042.0%12.6%58.6%46.1%43.2%10.5%4.9%-337.7K-36.8M-1.3M0.6613.71N/AN/A1,254822287,194292,550
2008-08-11$13.25$12.5063.1%13.0%57.9%94.5%41.1%13.4%2.2%-426.2K-35.2M-1.3M0.8916.18N/AN/A1,082967285,631290,540
2008-08-12$13.23$12.5026.8%13.0%56.9%11.3%44.9%14.5%2.6%54.2K-41.3M-1.3M4.9213.62N/AN/A8464,159285,707291,209
2008-08-13$13.38$12.5034.9%12.2%54.3%29.8%41.3%8.6%6.2%446.5K-48.4M-1.3M2.7519.17N/AN/A1,0312,838285,607292,915
2008-08-14$13.10$12.5044.9%12.9%54.5%52.9%45.6%13.2%4.0%-440.2K-34.1M-1.3M3.8113.11N/AN/A4,78018,221285,840294,714
2008-08-15$13.22$12.5044.1%12.6%54.2%51.0%44.3%14.0%5.4%21.1K-38.7M-1.3M2.4113.51N/AN/A1,1112,673289,003300,224
2008-08-18$12.90$12.5046.1%13.2%54.8%55.5%43.7%14.3%2.9%129.4K-11.1M-1.3M1.7319.22N/AN/A2,5044,328240,448260,769
2008-08-19$12.76$12.5045.5%13.0%35.1%54.1%45.3%15.6%0.9%-65.2K-941.1K-1.3M3.189.80N/AN/A1,4254,533241,798264,998
2008-08-20$12.76$12.5044.5%12.8%34.7%51.8%44.5%12.7%0.8%-77.1K940.4K-1.2M2.659.40N/AN/A8712,305242,904266,836
2008-08-21$13.00$12.5046.0%13.2%33.9%55.4%54.5%16.5%-0.3%63.9K-8.6M-1.3M1.2410.63N/AN/A8851,094242,965268,352
2008-08-22$12.76$12.5044.2%12.7%34.6%51.2%44.7%11.9%0.6%-114.4K610.2K-1.2M0.9210.73N/AN/A903831243,549268,524
2008-08-25$12.47$12.5043.2%12.4%34.6%48.9%44.7%21.1%1.1%-391.5K17.4M-1.2M4.164.81N/AN/A9243,846244,180268,850
2008-08-26$12.45$12.5040.3%11.5%34.4%42.2%40.3%20.3%4.6%-528.7K21.7M-1.2M9.117.40N/AN/A1,21411,057244,659270,917
2008-08-27$12.50$12.5039.1%11.2%33.3%39.6%39.1%20.9%4.7%-597.4K21.5M-1.2M0.047.89N/AN/A1,43964245,598279,747
2008-08-28$12.84$12.5039.9%11.4%34.2%41.2%45.1%22.4%3.8%-232.0K1.3M-1.2M0.168.92N/AN/A3,415533246,629279,793
2008-08-29$12.56$12.5037.6%10.8%35.4%36.0%37.5%4.5%5.6%-447.1K12.9M-1.2M10.326.20N/AN/A5795,977249,439274,750