BSX Options History — May 2009

In May 2009, BSX traded between $8.32 and $9.40. ATM implied volatility averaged 49.6%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 8.8% (HV 20d: 40.8%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.18.

Notable Days

  • 2009-05-08: Highest Volume — 15,674 contracts
  • 2009-05-14: Largest IV drop — 16.4% change
  • 2009-05-11: Highest IV Rank — 24.6%
  • 2009-05-04: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.86$8.32$9.40$8.32$9.40
Max Pain$9.03$7.50$10.00$7.50$9.00
ATM IV49.6%42.0%61.5%52.3%42.0%
Expected Move13.7%12.0%15.0%15.0%12.0%
HV 20d40.8%36.0%45.7%37.2%37.3%
HV 60d57.5%52.1%59.8%59.0%52.1%
IV Rank16.6%10.7%24.6%19.5%10.7%
IV Percentile33.7%15.1%49.6%42.1%15.1%
Term Structure2.4%-2.3%4.9%-2.3%2.8%
VWIV47.8%39.0%53.4%52.5%39.0%
Skew 25d2.8%-6.9%6.1%0.2%4.2%
Skew 10d7.3%-8.9%25.7%13.1%8.5%
Call IV 25d46.2%34.8%52.5%52.4%34.8%
Put IV 25d49.1%34.2%55.4%52.7%39.0%
Bid-Ask Spread %10.727.5516.389.0213.73
Gamma HHI0.370.240.660.600.25
Net GEX53.4K-399.6K996.3K-399.6K95.7K
Net DEX10.0M-5.3M20.6M20.6M5.2M
Net VEX-332.3K-351.5K-317.5K-317.5K-351.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.028.631.875.68
Total Volume4,429.5512915,6741298,161
Total OI225,860.5162,714290,331260,888178,114

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$8.32$7.5052.3%15.0%37.2%19.5%52.5%0.2%-2.3%-399.6K20.6M-317.5K1.879.02N/AN/A4584123,661137,227
2009-05-04$8.67$10.0054.2%15.0%39.8%20.8%51.0%5.3%2.6%-40.1K12.6M-333.2K0.2311.62N/AN/A917215123,675137,042
2009-05-05$8.62$10.0050.5%14.8%39.8%18.3%53.4%5.7%1.9%-133.1K13.3M-322.1K0.388.99N/AN/A926350124,220136,948
2009-05-06$8.50$9.0055.4%14.7%39.9%21.6%53.1%2.8%2.5%-247.2K15.9M-319.1K2.4011.13N/AN/A5091,220124,296136,939
2009-05-07$8.79$9.0051.7%14.7%39.5%19.1%50.1%4.9%3.2%108.5K9.3M-325.6K0.4010.83N/AN/A1,841745124,377136,822
2009-05-08$9.31$9.0057.3%14.3%42.4%23.0%52.1%3.2%4.9%996.3K-5.3M-349.1K0.0911.02N/AN/A14,3271,347125,019137,319
2009-05-11$9.07$9.0061.5%14.7%43.5%24.6%51.3%3.7%4.4%681.3K1.2M-334.7K1.2811.23N/AN/A542696136,071137,934
2009-05-12$9.01$9.0056.3%15.0%43.5%20.9%51.5%5.5%2.2%438.3K4.2M-326.3K0.0411.21N/AN/A12,189488136,153138,283
2009-05-13$8.67$9.0060.2%14.4%45.1%23.6%50.5%5.6%3.6%-7.3K9.3M-321.8K8.6311.38N/AN/A6645,731142,455138,461
2009-05-14$8.82$9.0050.3%14.4%45.6%16.6%51.3%2.3%3.3%41.1K9.6M-339.8K1.589.66N/AN/A2,0233,188142,922143,176
2009-05-15$8.76$9.0048.6%13.9%45.7%15.5%48.0%5.4%2.9%-225.7K12.8M-335.0K7.0610.48N/AN/A6754,766144,342145,989
2009-05-18$8.83$9.0044.9%12.9%43.8%12.8%45.4%3.2%0.9%-85.1K14.0M-320.6K1.2714.56N/AN/A2,7663,50578,72983,985
2009-05-19$8.93$9.0043.6%12.5%42.5%11.9%43.5%4.6%2.3%-66.6K12.3M-339.8K0.579.70N/AN/A3,9782,26180,99287,165
2009-05-20$8.87$9.0043.0%12.3%41.9%11.4%44.3%2.1%3.4%-67.1K12.8M-333.6K0.948.22N/AN/A1,6371,53881,74587,948
2009-05-21$8.80$9.0043.5%12.5%38.8%11.8%43.5%6.0%2.1%-40.5K12.6M-331.2K0.168.98N/AN/A68111085,36986,274
2009-05-22$8.80$9.0044.2%12.7%38.7%12.3%44.5%6.1%1.5%-28.8K11.6M-331.8K0.138.37N/AN/A3955085,90386,303
2009-05-26$9.01$9.0043.9%12.6%38.5%12.1%42.1%-2.2%2.2%12.5K8.9M-334.9K4.677.55N/AN/A6302,94486,05686,115
2009-05-27$8.98$9.0044.8%12.9%37.3%12.8%44.1%-6.9%1.0%-20.4K10.8M-338.7K0.0210.24N/AN/A2,0204686,39488,766
2009-05-28$9.10$9.0043.9%12.6%36.0%12.1%43.9%-5.2%2.8%56.0K7.5M-339.8K6.1416.38N/AN/A6143,76787,71986,302
2009-05-29$9.40$9.0042.0%12.0%37.3%10.7%39.0%4.2%2.8%95.7K5.2M-351.5K5.6813.73N/AN/A1,2226,93988,19689,918