BSX Options History — September 2009

In September 2009, BSX traded between $10.35 and $11.64. ATM implied volatility averaged 36.4%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 9.1% (HV 20d: 27.3%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2009-09-01: Highest Volume — 15,902 contracts
  • 2009-09-10: Largest IV drop — 16.6% change
  • 2009-09-09: Highest IV Rank — 5.6%
  • 2009-09-08: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.05$10.35$11.64$11.25$10.59
Max Pain$11.00$11.00$11.00$11.00$11.00
ATM IV36.4%33.3%39.9%37.6%36.2%
Expected Move10.5%9.6%11.0%10.8%10.4%
HV 20d27.3%26.1%32.5%26.7%27.1%
HV 60d28.1%25.6%29.7%29.4%27.2%
IV Rank2.9%0.7%5.6%3.8%2.8%
IV Percentile5.3%0.4%14.7%6.0%6.7%
Term Structure4.4%2.3%8.9%2.4%4.1%
VWIV35.7%30.0%37.4%36.9%36.8%
Skew 25d5.0%-6.5%10.5%-6.5%5.8%
Skew 10d5.7%-6.2%14.7%-6.2%6.4%
Call IV 25d33.1%27.1%37.1%37.1%32.8%
Put IV 25d38.1%30.6%42.3%30.6%38.6%
Bid-Ask Spread %12.538.8318.0212.4212.51
Gamma HHI0.310.240.420.240.35
Net GEX330.1K-772.4K785.9K446.4K311.3K
Net DEX-25.6M-47.3M-1.6M-34.4M-8.7M
Net VEX-434.4K-464.9K-408.0K-457.5K-413.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.343.650.401.77
Total Volume5,4721,12915,90215,9022,931
Total OI231,157218,869241,924226,477229,437

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$11.25$11.0037.6%10.8%26.7%3.8%36.9%-6.5%2.4%446.4K-34.4M-457.5K0.4012.42N/AN/A11,3394,563124,112102,365
2009-09-02$11.13$11.0037.6%10.8%26.4%3.9%37.3%6.6%2.3%374.9K-27.4M-464.9K1.158.83N/AN/A2,0892,409129,633103,696
2009-09-03$11.30$11.0036.9%10.6%26.9%3.3%33.9%-0.7%2.8%442.0K-33.4M-456.0K0.459.27N/AN/A1,739783128,718103,024
2009-09-04$11.36$11.0035.4%10.9%26.6%2.2%35.9%5.5%4.6%468.3K-35.7M-452.4K0.6412.83N/AN/A688441128,724102,799
2009-09-08$11.23$11.0036.6%11.0%26.7%3.1%36.9%6.7%4.3%371.4K-31.7M-437.9K3.659.61N/AN/A2,6499,673129,011102,625
2009-09-09$11.46$11.0039.9%10.8%26.8%5.6%37.4%5.9%5.9%666.3K-40.8M-441.5K0.8613.03N/AN/A5,7945,006130,092100,654
2009-09-10$11.64$11.0033.3%9.6%26.8%0.7%34.7%6.1%8.9%785.9K-47.3M-444.7K0.9415.80N/AN/A3,1052,912131,662102,399
2009-09-11$11.34$11.0037.2%10.7%28.1%3.6%37.0%5.1%5.4%492.6K-36.7M-442.2K0.4510.64N/AN/A3,3511,523132,987103,882
2009-09-14$11.35$11.0037.7%10.8%27.9%3.9%35.6%10.4%4.7%530.8K-36.5M-437.9K0.8210.90N/AN/A2,2171,824134,427104,162
2009-09-15$11.16$11.0036.9%10.6%27.5%3.3%35.0%6.8%4.4%242.9K-29.3M-432.7K0.9015.55N/AN/A3,7623,403135,173104,780
2009-09-16$11.03$11.0036.1%10.3%26.6%2.7%36.1%5.4%4.1%112.6K-23.6M-440.9K0.5314.69N/AN/A2,2331,194134,789106,856
2009-09-17$11.01$11.0036.7%10.5%26.4%3.2%36.6%3.7%4.5%-48.6K-23.8M-440.5K1.3812.64N/AN/A8951,234134,791107,133
2009-09-18$10.97$11.0035.4%10.1%26.3%2.2%35.1%4.2%5.1%-772.4K-20.3M-433.4K1.8418.02N/AN/A2,4024,409134,917106,887
2009-09-21$11.04$11.0036.1%10.4%26.3%2.8%36.0%6.2%3.9%393.4K-24.6M-425.1K1.2316.55N/AN/A2,4202,981117,533101,481
2009-09-22$10.99$11.0034.8%10.0%26.1%1.7%34.9%8.2%3.8%431.9K-22.9M-422.7K0.409.53N/AN/A2,066825118,295100,574
2009-09-23$10.82$11.0035.4%10.1%26.2%2.2%35.4%3.0%4.8%400.4K-18.5M-414.3K0.6810.44N/AN/A2,1891,480119,428100,712
2009-09-24$10.63$11.0034.5%9.9%26.5%1.5%34.5%6.7%5.7%339.9K-11.9M-409.4K2.4610.02N/AN/A2,5376,232121,050100,967
2009-09-25$10.35$11.0037.4%10.7%27.5%3.7%30.0%-4.4%5.6%215.2K-1.6M-408.0K1.8312.22N/AN/A2,1613,961121,990104,914
2009-09-28$10.81$11.0035.4%10.1%32.5%2.2%35.7%10.5%3.4%383.6K-16.6M-424.2K0.3416.95N/AN/A1,641555123,290105,213
2009-09-29$10.68$11.0036.8%10.6%30.7%3.3%37.1%10.3%2.4%343.4K-12.3M-423.9K0.4010.76N/AN/A927369123,674105,441
2009-09-30$10.59$11.0036.2%10.4%27.1%2.8%36.8%5.8%4.1%311.3K-8.7M-413.4K1.7712.51N/AN/A1,0581,873123,882105,555