BSX Options History — April 2009

In April 2009, BSX traded between $8.05 and $9.08. ATM implied volatility averaged 64.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 12.3% (HV 20d: 52.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2009-04-17: Highest Volume — 26,028 contracts
  • 2009-04-21: Largest IV drop — 28.6% change
  • 2009-04-20: Highest IV Rank — 40.5%
  • 2009-04-20: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.58$8.05$9.08$8.23$8.41
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV64.3%51.5%82.5%64.7%51.5%
Expected Move19.1%14.8%23.7%18.5%14.8%
HV 20d52.0%38.9%74.0%74.0%38.9%
HV 60d60.5%59.0%62.3%62.3%59.6%
IV Rank27.8%18.9%40.5%28.1%18.9%
IV Percentile58.1%41.7%79.4%61.5%41.7%
Term Structure-5.6%-15.2%10.0%10.0%0.7%
VWIV65.1%45.9%77.3%59.0%57.6%
Skew 25d5.8%-1.5%21.4%21.4%4.2%
Skew 10d26.3%-13.3%81.0%81.0%60.1%
Call IV 25d63.2%42.0%73.6%42.0%49.2%
Put IV 25d69.1%53.4%82.5%63.4%53.4%
Bid-Ask Spread %9.065.6515.307.7711.84
Gamma HHI0.490.430.690.480.51
Net GEX11.6K-499.6K207.8K144.9K-252.0K
Net DEX-2.3M-25.6M26.6M-2.2M17.7M
Net VEX-351.3K-375.1K-320.6K-353.0K-328.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.066.970.143.95
Total Volume7,498.1962726,0283,2792,465
Total OI246,646.095228,072260,835228,072259,029

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$8.23$7.5064.7%18.5%74.0%28.1%59.0%21.4%10.0%144.9K-2.2M-353.0K0.147.77N/AN/A2,867412115,974112,098
2009-04-02$8.50$7.5067.7%19.4%65.3%30.2%67.9%0.6%8.6%187.2K-11.4M-369.0K1.0912.37N/AN/A9821,071118,648112,165
2009-04-03$8.39$7.5066.1%21.8%64.8%29.1%71.7%11.8%-9.4%176.5K-8.3M-357.9K0.866.65N/AN/A2,0301,748117,902112,316
2009-04-06$8.46$7.5062.9%22.2%62.7%26.9%74.7%13.8%-9.8%170.1K-9.6M-353.2K0.405.65N/AN/A789313118,063112,900
2009-04-07$8.35$7.5062.7%21.7%57.5%26.7%77.3%13.2%-9.9%150.6K-8.5M-347.3K5.016.93N/AN/A2,71213,600118,037113,018
2009-04-08$8.66$7.5060.9%21.6%58.2%25.5%70.5%13.1%-9.3%146.3K-12.9M-368.4K0.436.88N/AN/A2,5581,089119,324122,467
2009-04-09$9.00$7.5069.0%19.8%56.6%31.1%69.6%7.5%-11.3%150.4K-21.7M-370.2K0.836.03N/AN/A1,5241,261119,032123,530
2009-04-13$8.98$7.5073.2%21.0%56.3%34.0%75.6%5.0%-12.8%97.8K-22.1M-360.7K1.008.13N/AN/A6,0846,103118,430124,235
2009-04-14$8.92$7.5071.8%20.6%56.3%33.0%74.7%4.0%-10.9%41.5K-21.9M-362.4K0.918.51N/AN/A5,9185,390121,684129,367
2009-04-15$9.08$7.5068.4%19.6%56.4%30.7%68.6%6.7%-10.1%174.8K-25.6M-375.1K0.065.88N/AN/A3,279189127,921130,704
2009-04-16$9.05$7.5068.5%19.6%51.4%30.8%70.9%1.1%-11.3%207.8K-24.4M-361.8K0.517.89N/AN/A1,902977126,649129,049
2009-04-17$9.02$7.5066.3%19.0%46.9%29.2%69.9%1.6%-10.1%183.8K-25.4M-358.5K1.167.54N/AN/A12,02514,003128,114129,613
2009-04-20$8.69$7.5082.5%23.7%48.0%40.5%75.6%10.2%-15.2%150.5K1.9M-356.9K1.3210.05N/AN/A6,3748,390112,049120,412
2009-04-21$8.45$7.5058.9%16.9%44.7%24.1%54.6%3.6%-3.3%-52.3K12.2M-324.6K0.2912.44N/AN/A8,6812,497116,889126,405
2009-04-22$8.66$7.5059.1%16.9%45.1%24.2%59.1%0.5%1.6%172.4K6.0M-337.5K2.7012.98N/AN/A4,80912,962124,085123,682
2009-04-23$8.30$7.5059.5%17.1%47.5%24.5%50.3%-1.5%-1.1%-256.3K21.1M-351.7K6.976.73N/AN/A5854,075121,793138,121
2009-04-24$8.39$7.5062.3%17.9%42.1%26.5%61.7%-1.1%-3.9%-244.7K18.1M-346.5K2.267.89N/AN/A1,8764,244121,084135,477
2009-04-27$8.23$7.5062.3%17.9%39.6%26.5%65.7%1.0%-4.8%-233.3K20.5M-344.8K6.368.72N/AN/A5433,453122,306136,970
2009-04-28$8.05$7.5058.1%16.7%38.9%23.6%46.7%2.9%-1.9%-499.6K26.6M-320.6K2.9915.30N/AN/A1,7705,285122,502136,689
2009-04-29$8.32$7.5053.6%15.4%40.5%20.4%45.9%3.0%-3.8%-372.2K21.4M-328.4K1.1813.95N/AN/A287340123,403137,432
2009-04-30$8.41$7.5051.5%14.8%38.9%18.9%57.6%4.2%0.7%-252.0K17.7M-328.2K3.9511.84N/AN/A4981,967123,552135,477