BSX Options History — November 2009

In November 2009, BSX traded between $7.99 and $8.64. ATM implied volatility averaged 36.7%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 16.1% (HV 20d: 52.8%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2009-11-24: Highest Volume — 31,316 contracts
  • 2009-11-12: Largest IV spike — 58.7% change
  • 2009-11-27: Highest IV Rank — 15.3%
  • 2009-11-05: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.27$7.99$8.64$8.21$8.37
Max Pain$8.40$8.00$10.00$10.00$8.00
ATM IV36.7%23.3%45.2%42.8%36.4%
Expected Move10.9%9.2%12.9%12.3%10.4%
HV 20d52.8%28.6%70.4%69.6%29.8%
HV 60d46.3%45.9%47.3%45.9%46.6%
IV Rank9.9%0.0%15.3%10.6%13.0%
IV Percentile14.7%0.0%39.7%29.4%11.5%
Term Structure0.9%-4.7%4.5%-1.8%2.1%
VWIV37.7%32.6%44.9%42.6%36.1%
Skew 25d1.7%-8.8%16.8%1.6%0.1%
Skew 10d9.5%-11.3%84.1%7.8%0.2%
Call IV 25d34.8%25.7%41.4%41.4%35.8%
Put IV 25d36.5%28.1%44.6%42.9%35.9%
Bid-Ask Spread %15.826.7445.536.7414.18
Gamma HHI0.220.190.290.190.29
Net GEX66.4K-144.7K168.7K75.2K94.4K
Net DEX20.7M3.8M30.3M24.5M6.2M
Net VEX-408.1K-456.3K-364.8K-425.9K-450.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.032.780.921.25
Total Volume5,306.31,05931,3161,9481,842
Total OI346,093.6299,482356,227352,009343,513

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$8.21$10.0042.8%12.3%69.6%10.6%42.6%1.6%-1.8%75.2K24.5M-425.9K0.926.74N/AN/A1,012936222,139129,870
2009-11-03$7.99$10.0044.2%12.7%69.8%12.0%40.9%16.2%-4.1%73.5K30.3M-403.2K0.349.33N/AN/A4,5091,511221,669129,831
2009-11-04$8.05$10.0039.7%11.4%69.2%7.4%37.1%13.4%-0.0%91.1K26.9M-409.9K0.4245.53N/AN/A2,4041,005223,523128,498
2009-11-05$8.05$10.0045.2%12.9%68.9%12.9%44.9%16.8%-4.7%65.4K28.6M-406.6K0.5612.43N/AN/A3,8792,170221,900128,931
2009-11-06$8.08$8.0041.1%11.4%68.9%8.8%40.0%3.6%3.6%79.5K27.3M-408.4K1.3721.11N/AN/A575785223,902129,133
2009-11-09$8.31$8.0031.5%11.2%70.0%0.0%39.4%7.6%0.6%97.1K20.9M-424.6K1.5620.37N/AN/A1,2291,923223,784129,205
2009-11-10$8.27$8.0033.0%11.1%70.0%1.5%38.2%4.7%1.1%81.9K21.7M-413.8K0.4917.82N/AN/A1,757868223,983129,247
2009-11-11$8.38$8.0023.3%11.2%70.1%0.0%38.2%1.3%0.1%82.0K20.4M-414.9K0.4213.39N/AN/A758322224,273128,846
2009-11-12$8.19$8.0037.0%10.6%70.1%12.7%37.1%-6.8%2.7%34.5K24.5M-397.9K0.2713.76N/AN/A2,315618224,228128,867
2009-11-13$8.26$8.0036.4%10.4%70.4%12.2%35.4%-2.9%2.3%51.2K23.6M-399.5K0.3314.43N/AN/A1,076357225,587129,029
2009-11-16$8.38$8.0039.1%11.2%70.4%14.7%38.1%-1.1%-1.7%71.4K20.7M-404.7K1.4016.35N/AN/A9391,311226,303129,099
2009-11-17$8.27$8.0035.9%10.3%37.1%11.6%33.6%-6.5%4.5%48.8K23.1M-392.9K0.5013.33N/AN/A908451226,010128,780
2009-11-18$8.39$8.0037.2%10.7%34.1%12.8%37.3%-2.0%1.5%66.6K22.5M-395.3K0.3318.85N/AN/A795264226,592128,635
2009-11-19$8.21$8.0037.8%10.8%34.2%13.5%38.9%-8.8%1.8%81.5K22.2M-402.8K0.8415.34N/AN/A1,175986226,887128,527
2009-11-20$8.09$8.0035.7%10.2%30.3%11.4%36.7%-8.8%2.4%-47.7K29.5M-364.8K2.788.98N/AN/A2,0275,638227,266128,961
2009-11-23$8.16$8.0034.1%9.8%28.6%10.0%35.4%-7.1%2.8%-144.7K21.8M-366.8K0.109.67N/AN/A6,911691183,079116,403
2009-11-24$8.56$8.0032.1%9.2%33.3%8.1%32.9%6.1%2.6%138.4K8.8M-393.8K1.0914.70N/AN/A14,99916,317188,602116,493
2009-11-25$8.64$8.0033.2%9.5%31.2%9.8%32.6%2.5%3.0%120.0K7.1M-429.4K0.1315.05N/AN/A13,3381,796201,144130,804
2009-11-27$8.50$8.0038.8%11.1%30.8%15.3%37.5%3.5%-1.2%168.7K3.8M-456.3K0.0314.97N/AN/A5,570159211,941126,388
2009-11-30$8.37$8.0036.4%10.4%29.8%13.0%36.1%0.1%2.1%94.4K6.2M-450.0K1.2514.18N/AN/A8191,023217,094126,419