BSX Options History — December 2009

In December 2009, BSX traded between $8.44 and $9.05. ATM implied volatility averaged 35.1%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 8.8% (HV 20d: 26.4%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2009-12-15: Highest Volume — 37,431 contracts
  • 2009-12-02: Largest IV drop — 23.1% change
  • 2009-12-09: Highest IV Rank — 28.9%
  • 2009-12-16: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.73$8.44$9.05$8.44$9.00
Max Pain$9.73$8.00$10.00$8.00$10.00
ATM IV35.1%28.7%42.3%39.4%29.9%
Expected Move10.0%8.2%11.9%11.3%8.6%
HV 20d26.4%20.0%29.7%29.7%21.1%
HV 60d46.5%45.4%47.3%46.7%45.6%
IV Rank17.4%6.9%28.9%15.9%10.1%
IV Percentile12.7%0.4%38.1%29.4%0.8%
Term Structure4.2%-2.2%9.9%-2.2%9.2%
VWIV35.0%24.3%42.8%39.4%29.9%
Skew 25d4.1%-13.1%70.8%4.3%6.3%
Skew 10d8.0%-18.4%116.8%3.5%10.0%
Call IV 25d34.1%24.2%45.2%35.1%25.2%
Put IV 25d38.2%27.8%95.0%39.4%31.5%
Bid-Ask Spread %8.054.9413.6513.557.18
Gamma HHI0.310.240.390.280.31
Net GEX791.9K135.9K1.6M135.9K1.2M
Net DEX-6.3M-16.5M5.5M3.9M-13.9M
Net VEX-438.8K-466.0K-412.4K-449.7K-433.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.022.291.430.22
Total Volume6,756.22735137,4314,4466,334
Total OI351,966.455342,682375,225343,767355,845

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$8.44$8.0039.4%11.3%29.7%15.9%39.4%4.3%-2.2%135.9K3.9M-449.7K1.4313.55N/AN/A1,8332,613216,992126,775
2009-12-02$8.59$8.0030.3%8.7%28.2%6.9%34.9%4.3%6.1%218.4K331.3K-460.3K2.297.27N/AN/A1,1312,585218,241127,966
2009-12-03$8.47$8.0034.5%9.9%28.9%16.3%34.3%0.1%2.1%258.3K2.1M-450.0K0.799.53N/AN/A1,3851,093218,443125,163
2009-12-04$8.52$10.0033.5%10.0%28.9%14.8%39.7%3.6%4.0%298.2K1.3M-451.6K0.258.91N/AN/A1,230313218,576125,346
2009-12-07$8.50$10.0035.0%10.7%28.9%17.9%39.1%3.6%3.6%271.4K1.4M-443.1K0.277.34N/AN/A400106218,531125,595
2009-12-08$8.48$10.0040.3%11.0%27.3%25.8%39.1%2.8%3.6%206.5K4.4M-431.2K0.139.37N/AN/A1,258160218,633125,581
2009-12-09$8.48$10.0042.3%9.7%27.2%28.9%35.3%4.3%6.1%179.0K5.5M-417.1K0.556.94N/AN/A227124218,672124,072
2009-12-10$8.72$10.0035.3%10.1%28.6%18.3%36.5%3.6%3.1%514.7K-6.7M-442.4K2.126.03N/AN/A2,3885,060218,691123,991
2009-12-11$8.67$10.0034.4%9.8%27.2%16.8%30.6%17.1%4.4%640.5K-3.1M-424.5K0.0513.65N/AN/A3,125145219,630123,510
2009-12-14$8.93$10.0037.1%10.6%28.8%21.0%36.4%-3.9%2.2%1.0M-16.5M-452.1K0.026.20N/AN/A12,440266221,903124,722
2009-12-15$8.86$10.0041.2%11.8%28.8%27.2%42.8%2.6%2.9%1.0M-13.4M-445.0K0.028.80N/AN/A36,533898220,719124,666
2009-12-16$8.78$10.0041.7%11.9%28.5%28.0%41.4%-13.1%1.3%1.5M-16.3M-466.0K0.258.60N/AN/A9,1102,244248,443124,609
2009-12-17$8.70$10.0039.2%11.2%28.5%24.2%41.1%4.0%1.7%1.1M-10.3M-454.6K0.066.30N/AN/A14,783891248,889126,336
2009-12-18$8.90$10.0034.2%9.8%28.0%16.6%33.9%-9.4%6.2%1.6M-13.6M-448.6K0.675.87N/AN/A2,4201,630243,151126,829
2009-12-21$8.83$10.0033.2%9.5%27.5%15.0%33.2%-7.2%5.2%875.0K-7.5M-426.0K0.156.43N/AN/A4,049588233,252116,784
2009-12-22$8.80$10.0033.9%9.7%27.6%16.1%33.6%-11.1%4.9%908.3K-6.6M-430.5K0.128.22N/AN/A7,657885235,346116,937
2009-12-23$8.82$10.0033.4%9.6%22.1%15.3%24.3%1.7%2.7%984.7K-8.8M-442.0K1.606.96N/AN/A3,5075,617240,645117,259
2009-12-24$8.85$10.0032.9%9.4%21.9%14.6%32.7%2.3%5.3%1.0M-9.8M-433.0K0.214.94N/AN/A2,227467239,017115,582
2009-12-28$8.83$10.0031.1%8.9%21.0%11.9%31.0%1.9%5.8%1.0M-8.1M-416.8K0.228.60N/AN/A1,634359240,137115,615
2009-12-29$8.82$10.0032.0%9.2%20.0%13.2%32.0%1.9%4.9%1.1M-7.3M-412.4K0.047.78N/AN/A3,302140239,833115,826
2009-12-30$9.05$10.0028.7%8.2%21.5%8.2%28.7%70.8%9.9%1.3M-14.6M-424.2K0.438.60N/AN/A3,8191,661240,599115,910
2009-12-31$9.00$10.0029.9%8.6%21.1%10.1%29.9%6.3%9.2%1.2M-13.9M-433.2K0.227.18N/AN/A5,2111,123238,858116,987