BSX Options History — July 2009

In July 2009, BSX traded between $9.63 and $10.94. ATM implied volatility averaged 41.7%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 8.8% (HV 20d: 32.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2009-07-14: Highest Volume — 24,118 contracts
  • 2009-07-16: Largest IV spike — 25.7% change
  • 2009-07-07: Highest IV Rank — 16.8%
  • 2009-07-07: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.21$9.63$10.94$10.11$10.74
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV41.7%36.0%50.5%43.0%38.8%
Expected Move12.4%10.3%14.5%12.3%11.1%
HV 20d32.9%26.9%37.1%35.7%26.9%
HV 60d36.4%34.4%38.5%38.2%34.6%
IV Rank10.6%6.5%16.8%11.5%8.5%
IV Percentile12.4%0.8%37.3%12.7%4.4%
Term Structure1.0%-1.6%5.5%4.4%-0.3%
VWIV43.0%37.3%50.0%43.0%38.8%
Skew 25d5.9%-2.5%13.9%6.8%10.2%
Skew 10d11.7%-8.1%28.9%14.3%6.1%
Call IV 25d39.6%27.0%49.0%40.0%31.1%
Put IV 25d45.6%35.8%52.6%46.8%41.3%
Bid-Ask Spread %9.126.6314.516.6313.47
Gamma HHI0.400.270.550.500.36
Net GEX1.0M591.0K2.1M1.1M1.0M
Net DEX-20.3M-45.2M4.8M-22.1M-37.2M
Net VEX-414.1K-432.0K-392.9K-425.0K-430.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.0710.690.420.21
Total Volume6,127.63655324,11855313,139
Total OI223,023.955203,845242,507217,425224,701

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$10.11$10.0043.0%12.3%35.7%11.5%43.0%6.8%4.4%1.1M-22.1M-425.0K0.426.63N/AN/A389164121,06096,365
2009-07-02$9.86$10.0042.9%12.3%34.9%11.4%43.1%-2.5%5.5%1.1M-12.8M-411.6K1.609.97N/AN/A3,3155,310121,04896,374
2009-07-06$9.80$10.0047.5%14.1%34.7%14.7%48.9%4.8%-1.6%773.5K-7.3M-404.0K0.2410.01N/AN/A590139118,385101,413
2009-07-07$9.95$10.0050.5%14.5%34.5%16.8%50.0%5.1%-1.4%789.1K-13.4M-406.2K0.828.45N/AN/A3,1212,550118,373101,478
2009-07-08$9.87$10.0041.3%14.1%34.7%10.3%49.7%4.0%-1.4%943.0K-9.4M-403.8K10.696.99N/AN/A6567,011119,804103,047
2009-07-09$9.66$10.0045.8%13.9%35.8%13.4%47.5%3.0%0.5%622.9K1.6M-396.2K1.878.09N/AN/A8151,524119,852108,825
2009-07-10$9.63$10.0046.8%13.4%35.7%14.1%47.3%5.1%0.8%591.0K4.8M-392.9K0.618.72N/AN/A447274120,140109,947
2009-07-13$9.92$10.0045.1%13.6%37.1%13.0%47.5%5.4%0.7%911.2K-6.3M-400.6K0.178.91N/AN/A8,4811,432120,247110,136
2009-07-14$10.13$10.0040.1%13.6%33.8%9.4%45.5%4.0%0.0%1.4M-17.2M-412.0K0.077.23N/AN/A22,4401,678125,238110,794
2009-07-15$10.18$10.0036.6%13.2%33.8%7.0%44.2%9.3%2.1%1.4M-21.4M-420.9K0.739.60N/AN/A2,2241,620131,765110,742
2009-07-16$10.24$10.0046.0%13.2%33.2%13.6%44.2%10.9%0.8%895.6K-25.2M-415.9K0.488.12N/AN/A3,0361,451128,630110,937
2009-07-17$10.04$10.0044.8%12.8%34.0%12.7%45.1%7.1%1.5%2.1M-14.8M-406.0K0.1910.67N/AN/A3,980767128,618109,951
2009-07-20$10.30$10.0046.1%13.2%34.9%13.6%46.8%1.3%-0.5%655.7K-21.9M-408.8K0.2510.32N/AN/A7,4701,896110,29693,549
2009-07-21$10.32$10.0038.2%11.0%33.7%8.1%38.3%3.5%2.2%914.7K-23.4M-408.6K0.487.50N/AN/A6,6003,165115,60294,792
2009-07-22$10.16$10.0038.0%10.9%33.4%7.9%38.5%1.2%1.5%752.0K-16.8M-407.3K0.6814.51N/AN/A4,0992,792115,36996,830
2009-07-23$10.43$10.0039.0%11.2%34.3%8.7%38.3%7.6%0.4%922.0K-25.9M-423.8K0.748.27N/AN/A2,8132,087118,13097,806
2009-07-24$10.57$10.0036.7%10.5%30.0%7.0%37.4%10.6%0.5%997.9K-30.9M-427.3K0.917.83N/AN/A1,8771,710118,74398,049
2009-07-27$10.49$10.0039.5%11.3%27.8%9.0%38.5%2.3%1.0%988.2K-28.7M-423.0K0.448.01N/AN/A1,461637119,45098,712
2009-07-28$10.70$10.0036.0%10.3%28.5%6.5%37.9%10.9%2.1%1.1M-36.1M-427.7K0.187.67N/AN/A2,239405120,19299,046
2009-07-29$10.94$10.0037.8%10.8%27.3%7.8%38.4%13.9%1.5%1.1M-45.2M-432.0K0.5010.05N/AN/A2,5281,256121,16499,310
2009-07-30$10.69$10.0037.5%10.8%28.9%7.6%37.3%5.5%2.3%1.1M-36.3M-426.0K2.089.71N/AN/A1,6963,524121,65999,958
2009-07-31$10.74$10.0038.8%11.1%26.9%8.5%38.8%10.2%-0.3%1.0M-37.2M-430.3K0.2113.47N/AN/A10,8382,301122,442102,259