BSX Options History — January 2009

In January 2009, BSX traded between $7.35 and $8.87. ATM implied volatility averaged 70.1%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded above realized volatility by 21.8% (HV 20d: 48.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 5.88.

Notable Days

  • 2009-01-16: Highest Volume — 56,126 contracts
  • 2009-01-15: Largest IV spike — 33.3% change
  • 2009-01-27: Highest IV Rank — 41.2%
  • 2009-01-27: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.90$7.35$8.87$7.88$8.87
Max Pain$10.13$10.00$12.50$12.50$10.00
ATM IV70.1%56.4%83.4%64.2%62.1%
Expected Move21.8%17.6%23.9%18.4%17.8%
HV 20d48.3%41.3%64.6%64.6%52.0%
HV 60d91.6%84.0%108.1%108.1%84.0%
IV Rank31.9%22.4%41.2%27.8%26.3%
IV Percentile75.5%65.9%81.7%75.8%69.4%
Term Structure-3.7%-10.8%11.7%11.7%1.2%
VWIV75.1%64.3%82.5%64.3%66.6%
Skew 25d11.2%-3.7%40.4%40.4%5.9%
Skew 10d29.1%-6.7%90.7%90.7%40.0%
Call IV 25d71.1%49.4%82.4%49.4%62.6%
Put IV 25d82.3%68.4%91.3%89.8%68.4%
Bid-Ask Spread %12.607.9620.048.3312.18
Gamma HHI0.640.460.940.550.50
Net GEX-1.4M-4.8M-524.5K-1.4M-728.0K
Net DEX109.1M35.7M164.0M156.3M35.7M
Net VEX-354.0K-420.8K-296.5K-324.5K-420.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.880.1567.900.610.21
Total Volume10,645.781756,1268172,119
Total OI442,541.15274,736609,387552,869292,156

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$7.88$12.5064.2%18.4%64.6%27.8%64.3%40.4%11.7%-1.4M156.3M-324.5K0.618.33N/AN/A508309250,014302,855
2009-01-05$7.56$10.0064.1%22.0%63.6%27.7%76.9%11.9%-3.6%-1.4M159.4M-296.5K4.4320.04N/AN/A3391,502250,234302,930
2009-01-06$7.99$10.0067.7%22.0%41.3%30.2%76.3%19.3%-5.0%-1.5M153.5M-322.8K0.6515.94N/AN/A7,4854,854250,205301,953
2009-01-07$7.76$10.0066.5%22.0%42.6%29.3%73.4%16.6%-4.2%-1.5M157.2M-311.4K0.8219.76N/AN/A7,6466,240260,461304,405
2009-01-08$7.80$10.0057.0%21.1%41.6%22.7%73.7%18.1%-1.2%-1.7M158.3M-309.5K1.0016.64N/AN/A1,1561,154264,412309,612
2009-01-09$7.65$10.0056.4%21.0%41.6%22.4%73.3%12.7%-2.2%-1.8M157.0M-309.0K1.178.64N/AN/A10,18211,916263,831308,157
2009-01-12$7.35$10.0062.3%22.6%44.3%26.5%76.1%5.4%-7.6%-2.0M164.0M-341.8K0.899.71N/AN/A6,0285,360270,360318,662
2009-01-13$7.43$10.0059.2%21.7%44.1%24.3%76.0%6.8%-4.3%-2.3M162.2M-342.0K20.678.26N/AN/A4018,288274,019317,691
2009-01-14$7.40$10.0058.7%22.4%44.1%23.9%75.3%10.5%-6.0%-2.6M163.2M-342.7K0.7115.26N/AN/A1,9581,383274,062319,692
2009-01-15$7.60$10.0078.2%22.4%44.1%37.5%78.4%11.8%-4.7%-4.8M152.0M-348.4K67.9019.94N/AN/A53035,987275,223316,579
2009-01-16$7.87$10.0079.3%22.7%42.9%38.3%74.4%11.5%-4.6%-1.5M148.3M-374.9K9.148.62N/AN/A5,53750,589275,374334,013
2009-01-20$7.52$10.0081.9%23.5%45.9%40.1%82.5%8.9%-8.4%-524.5K59.6M-355.9K3.457.96N/AN/A2921,006109,051165,924
2009-01-21$7.88$10.0080.5%23.1%49.0%39.1%78.8%22.3%-4.6%-605.5K55.1M-375.8K0.1514.59N/AN/A1,544236109,080165,687
2009-01-22$7.94$10.0079.6%22.8%47.4%38.5%79.5%1.2%-4.9%-617.3K55.3M-374.3K1.9710.16N/AN/A356703109,161165,575
2009-01-23$7.73$10.0079.7%22.8%47.8%38.5%79.1%-3.7%-6.2%-566.9K59.6M-358.3K1.2214.73N/AN/A1,1781,441109,408165,942
2009-01-26$7.96$10.0079.0%22.7%48.7%38.1%79.3%-1.8%-5.2%-636.1K56.5M-368.8K1.3110.44N/AN/A1,9642,582110,038167,035
2009-01-27$8.50$10.0083.4%23.9%53.3%41.2%73.3%12.8%-10.8%-727.7K45.4M-399.8K0.2410.38N/AN/A2,406569111,535165,238
2009-01-28$8.50$10.0080.8%23.2%53.2%39.3%77.8%4.5%-3.2%-734.1K42.9M-398.0K0.8210.52N/AN/A4,8133,959112,978165,177
2009-01-29$8.76$10.0061.4%17.6%53.8%25.9%67.3%9.1%-1.2%-775.4K40.6M-403.7K0.319.97N/AN/A14,0314,363116,133165,961
2009-01-30$8.87$10.0062.1%17.8%52.0%26.3%66.6%5.9%1.2%-728.0K35.7M-420.8K0.2112.18N/AN/A1,756363124,081168,075