BSX Options History — September 2008

In September 2008, BSX traded between $11.84 and $13.65. ATM implied volatility averaged 46.6%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 1.7% (HV 20d: 48.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.08.

Notable Days

  • 2008-09-08: Highest Volume — 16,545 contracts
  • 2008-09-29: Largest IV spike — 21.6% change
  • 2008-09-29: Highest IV Rank — 86.4%
  • 2008-09-29: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.69$11.84$13.65$12.69$12.27
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV46.6%39.7%59.6%40.9%57.5%
Expected Move13.4%11.3%17.1%11.7%16.5%
HV 20d48.3%28.0%74.0%35.3%74.0%
HV 60d47.2%41.4%56.1%41.4%56.1%
IV Rank56.8%40.8%86.4%43.7%81.7%
IV Percentile74.3%36.9%96.0%50.0%92.9%
Term Structure1.6%-3.9%6.4%2.9%-3.9%
VWIV45.4%36.7%60.2%40.9%57.4%
Skew 25d6.5%-8.0%17.0%6.7%3.4%
Skew 10d13.2%-14.8%52.4%8.8%4.6%
Call IV 25d43.8%31.9%65.7%31.9%61.4%
Put IV 25d50.3%36.6%67.6%38.6%64.8%
Bid-Ask Spread %14.406.0445.586.8313.08
Gamma HHI0.320.290.340.310.30
Net GEX-627.9K-1.5M359.3K-407.4K-936.1K
Net DEX12.2M-42.2M54.3M8.9M39.3M
Net VEX-1.2M-1.2M-1.1M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.080.2010.491.250.43
Total Volume6,228.85777416,5457742,576
Total OI544,596524,164564,678527,627544,719

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$12.69$12.5040.9%11.7%35.3%43.7%40.9%6.7%2.9%-407.4K8.9M-1.2M1.256.83N/AN/A344430249,539278,088
2008-09-03$12.72$12.5042.7%12.2%29.0%47.8%41.8%5.1%0.0%-319.6K6.2M-1.2M0.289.11N/AN/A4,4471,248249,711277,733
2008-09-04$12.26$12.5040.2%11.5%30.6%42.1%40.3%0.4%3.3%-761.3K31.9M-1.1M1.406.04N/AN/A2,1262,974252,835277,779
2008-09-05$12.57$12.5041.8%12.5%31.2%45.8%43.6%11.2%1.3%-427.8K14.5M-1.2M6.289.76N/AN/A1,1897,463254,012278,939
2008-09-08$12.38$12.5041.0%11.3%28.0%44.0%39.5%3.6%2.6%-1.1M35.8M-1.1M3.777.33N/AN/A3,47113,074254,198285,056
2008-09-09$12.40$12.5040.3%12.3%28.1%42.3%43.0%7.2%-0.1%-1.3M35.2M-1.1M7.3316.62N/AN/A1,1978,775254,488296,751
2008-09-10$12.65$12.5039.7%11.4%29.2%40.8%39.8%7.4%3.5%-1.2M20.8M-1.2M7.956.42N/AN/A4793,810254,927305,179
2008-09-11$13.39$12.5045.1%12.9%35.8%53.1%38.0%12.7%-0.0%47.3K-24.1M-1.2M0.209.78N/AN/A8,1511,644254,433303,714
2008-09-12$13.51$12.5042.8%12.3%35.0%48.1%41.9%8.6%2.2%359.3K-32.4M-1.2M0.6711.91N/AN/A815548258,536299,411
2008-09-15$13.20$12.5046.9%13.4%35.9%57.4%44.9%10.4%0.8%-202.6K-17.2M-1.2M1.1713.08N/AN/A1,5971,874256,377299,892
2008-09-16$12.23$12.5046.6%13.4%44.3%56.7%46.8%7.2%1.8%-1.4M46.5M-1.1M3.5812.74N/AN/A2,4308,692256,478299,707
2008-09-17$12.07$12.5050.5%14.5%44.4%65.6%50.1%7.0%-0.2%-1.5M54.3M-1.1M7.6416.08N/AN/A9577,312256,430303,323
2008-09-18$13.50$12.5048.4%13.9%60.3%60.8%43.9%16.0%4.2%-327.2K-38.7M-1.2M0.5845.58N/AN/A2,2431,291256,492308,186
2008-09-19$13.65$12.5051.4%14.7%60.1%67.7%36.7%17.0%-1.3%260.7K-42.2M-1.2M0.2913.60N/AN/A4,6341,353256,298308,242
2008-09-22$12.47$12.5048.9%14.0%68.3%61.9%48.9%8.0%2.2%-764.4K27.1M-1.1M1.8118.11N/AN/A1,7513,168243,990280,174
2008-09-23$12.45$12.5048.8%14.0%67.8%61.8%48.8%6.0%3.4%-713.7K23.0M-1.2M2.458.05N/AN/A350859246,497281,670
2008-09-24$12.61$12.5049.5%14.2%67.9%63.4%50.1%6.6%3.5%-695.2K23.7M-1.2M0.829.92N/AN/A8,7817,242246,580281,933
2008-09-25$12.98$12.5047.6%13.7%68.7%59.1%47.7%-2.9%6.4%-333.1K-6.5M-1.2M0.6919.33N/AN/A1,165809252,884287,633
2008-09-26$12.74$12.5049.0%14.0%68.4%62.2%49.2%-8.0%3.7%-591.5K9.3M-1.2M5.5510.00N/AN/A6423,563253,485288,119
2008-09-29$11.84$12.5059.6%17.1%72.8%86.4%60.2%1.8%-2.2%-861.1K40.3M-1.1M10.4939.06N/AN/A4644,868253,430288,648
2008-09-30$12.27$12.5057.5%16.5%74.0%81.7%57.4%3.4%-3.9%-936.1K39.3M-1.1M0.4313.08N/AN/A1,805771253,536291,183