BSX Options History — February 2009

In February 2009, BSX traded between $7.02 and $9.41. ATM implied volatility averaged 71.5%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 22.3% (HV 20d: 49.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2009-02-19: Highest Volume — 25,032 contracts
  • 2009-02-09: Largest IV spike — 23.2% change
  • 2009-02-20: Highest IV Rank — 44.9%
  • 2009-02-20: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.53$7.02$9.41$8.78$7.02
Max Pain$8.82$7.50$10.00$10.00$10.00
ATM IV71.5%52.7%88.8%61.2%74.4%
Expected Move20.6%17.3%25.5%17.5%21.3%
HV 20d49.2%45.4%54.0%52.1%54.0%
HV 60d72.2%58.7%84.0%84.0%62.2%
IV Rank32.9%19.8%44.9%25.7%34.9%
IV Percentile73.8%64.3%84.9%68.7%72.2%
Term Structure-3.9%-14.7%2.8%1.4%0.9%
VWIV73.3%61.9%88.5%65.0%83.7%
Skew 25d7.4%-21.0%26.5%8.3%-21.0%
Skew 10d13.0%-36.1%39.4%39.4%-36.1%
Call IV 25d67.4%45.2%86.9%62.4%85.6%
Put IV 25d74.8%64.6%86.6%70.8%64.6%
Bid-Ask Spread %11.077.7216.4911.827.99
Gamma HHI0.530.450.710.490.60
Net GEX-491.1K-981.1K19.6K-705.3K-234.2K
Net DEX35.9M20.3M50.8M38.4M31.8M
Net VEX-366.6K-428.9K-291.9K-410.7K-291.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.173.040.220.31
Total Volume7,755.31621525,0326796,550
Total OI273,157.105187,125312,084291,601217,876

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$8.78$10.0061.2%17.5%52.1%25.7%65.0%8.3%1.4%-705.3K38.4M-410.7K0.2211.82N/AN/A556123124,390167,211
2009-02-03$8.77$10.0060.3%17.3%49.2%25.1%74.6%8.5%-0.8%-710.1K39.4M-399.9K1.5411.96N/AN/A2,2323,448124,348167,266
2009-02-04$9.11$10.0061.8%17.7%47.3%26.1%62.5%9.9%-0.3%-805.8K30.9M-425.3K0.339.33N/AN/A1,596531126,119169,923
2009-02-05$9.31$10.0060.7%17.4%45.6%25.3%63.7%19.6%2.8%-861.1K24.2M-428.9K0.638.71N/AN/A699440126,301168,449
2009-02-06$9.41$7.5052.7%17.6%45.6%19.8%62.1%26.5%-0.4%-981.1K22.8M-420.6K0.789.16N/AN/A1,5711,226126,609168,530
2009-02-09$9.18$7.5064.9%17.8%46.1%28.3%61.9%24.1%-0.2%-850.5K29.6M-409.4K0.3311.76N/AN/A3,5791,177126,525168,681
2009-02-10$8.59$7.5071.7%21.4%50.6%33.0%71.8%13.9%-4.4%-519.9K46.5M-368.8K0.1712.74N/AN/A653110128,364169,061
2009-02-11$8.80$7.5063.6%17.9%50.9%27.3%73.4%16.9%-1.5%-659.2K42.5M-376.9K1.8312.48N/AN/A76139128,560168,582
2009-02-12$8.80$7.5063.2%18.1%50.8%27.1%72.1%17.1%-2.1%-660.4K42.9M-374.6K3.0412.80N/AN/A4931,498128,565168,649
2009-02-13$8.66$7.5072.9%20.9%51.0%33.8%68.5%9.2%-3.0%-521.1K46.9M-360.0K2.8513.33N/AN/A3871,102128,561169,753
2009-02-17$8.55$7.5084.2%24.1%50.3%41.7%81.5%12.7%-8.9%-435.4K47.4M-344.8K1.359.68N/AN/A1,6662,252128,669169,650
2009-02-18$8.46$7.5082.8%23.7%47.2%40.7%78.0%5.1%-8.7%-404.0K50.1M-338.8K0.268.09N/AN/A10,9982,804129,745170,990
2009-02-19$8.69$7.5087.4%25.1%45.4%43.9%78.3%12.1%-14.7%19.6K44.3M-349.5K1.7110.55N/AN/A9,24315,789137,210171,488
2009-02-20$8.18$10.0088.8%25.5%50.9%44.9%88.5%-2.9%-10.2%-45.8K50.8M-331.8K1.5012.31N/AN/A8,75613,101143,328168,756
2009-02-23$8.06$10.0081.6%23.4%50.2%39.9%79.1%0.1%-10.5%-176.4K20.3M-333.8K3.0310.97N/AN/A4,73814,36182,904104,221
2009-02-24$8.30$10.0075.4%21.6%50.2%35.5%74.1%1.1%-5.7%-234.8K21.4M-352.1K0.4716.49N/AN/A8,6594,02985,214111,689
2009-02-25$8.05$10.0076.2%21.8%45.5%36.1%75.9%-3.8%-6.0%-266.6K23.8M-335.3K0.2912.39N/AN/A6,4461,90191,928111,722
2009-02-26$7.44$10.0075.2%21.6%52.8%35.4%78.5%-16.2%-1.0%-278.4K28.9M-312.7K0.187.72N/AN/A12,2142,20898,095112,053
2009-02-27$7.02$10.0074.4%21.3%54.0%34.9%83.7%-21.0%0.9%-234.2K31.8M-291.9K0.317.99N/AN/A4,9901,560105,425112,451