BSX Options History — January 2010

In January 2010, BSX traded between $8.63 and $9.62. ATM implied volatility averaged 34.5%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 12.7% (HV 20d: 21.8%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.74.

Notable Days

  • 2010-01-20: Highest Volume — 95,634 contracts
  • 2010-01-14: Largest IV spike — 119.4% change
  • 2010-01-20: Highest IV Rank — 32.4%
  • 2010-01-20: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.12$8.63$9.62$9.01$8.63
Max Pain$9.95$9.00$10.00$10.00$9.00
ATM IV34.5%16.6%40.0%34.5%38.6%
Expected Move10.9%10.2%11.5%10.8%11.1%
HV 20d21.8%16.2%26.8%20.2%25.1%
HV 60d35.6%25.5%45.7%45.4%25.5%
IV Rank21.9%0.0%32.4%17.0%30.6%
IV Percentile20.3%0.0%42.9%10.3%36.1%
Term Structure0.8%-2.6%4.9%3.4%-2.6%
VWIV38.2%34.8%41.8%38.8%41.7%
Skew 25d3.8%-0.4%10.5%1.7%10.5%
Skew 10d6.8%-10.6%25.9%-10.6%13.0%
Call IV 25d36.4%29.1%40.9%38.7%33.3%
Put IV 25d40.2%37.7%43.7%40.4%43.7%
Bid-Ask Spread %10.656.9714.3313.0914.30
Gamma HHI0.420.240.640.310.51
Net GEX1.8M1.2M3.0M1.2M1.9M
Net DEX-36.8M-67.5M-14.6M-14.6M-30.3M
Net VEX-485.1K-563.1K-426.3K-428.6K-521.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0511.270.1511.27
Total Volume13,554.6322,14695,63414,1578,133
Total OI353,073.368246,169392,773357,270366,043

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$9.01$10.0034.5%10.8%20.2%17.0%38.8%1.7%3.4%1.2M-14.6M-428.6K0.1513.09N/AN/A12,3571,800239,319117,951
2010-01-05$9.04$10.0031.8%11.2%20.2%12.9%38.4%1.2%0.6%1.3M-19.9M-439.5K0.4210.23N/AN/A2,342975246,160119,265
2010-01-06$9.16$10.0031.7%10.9%20.4%12.8%36.9%3.7%2.3%1.4M-20.1M-433.6K0.5910.32N/AN/A2,5251,489242,710120,138
2010-01-07$9.09$10.0030.0%10.8%20.7%10.2%38.1%2.1%3.0%1.4M-17.6M-426.3K0.109.56N/AN/A15,0851,548243,370120,286
2010-01-08$9.00$10.0030.3%10.8%21.2%10.7%37.7%1.8%2.7%1.4M-22.0M-439.1K2.9114.22N/AN/A7,25321,114255,484120,803
2010-01-11$9.07$10.0031.7%10.8%19.2%12.7%39.7%0.9%3.1%1.4M-18.6M-464.7K0.369.78N/AN/A1,633588260,108130,935
2010-01-12$9.14$10.0029.9%10.8%19.0%10.1%37.8%-0.4%3.7%1.5M-22.0M-467.6K0.538.83N/AN/A4,9202,623259,963131,482
2010-01-13$9.15$10.0016.6%10.9%16.2%0.0%37.3%3.9%2.2%1.6M-21.9M-462.8K0.109.47N/AN/A3,351328260,175132,496
2010-01-14$9.51$10.0036.3%10.4%20.5%27.3%37.0%2.6%2.3%1.6M-40.6M-481.4K0.2410.77N/AN/A5,9961,439259,254132,609
2010-01-15$9.43$10.0035.6%10.2%20.5%26.4%36.3%6.5%4.9%1.3M-31.1M-464.5K0.627.58N/AN/A5,8663,610259,569133,204
2010-01-19$9.62$10.0036.3%10.4%20.7%27.3%37.7%8.8%-1.1%1.2M-63.3M-475.3K0.1811.32N/AN/A9,5671,681174,23371,936
2010-01-20$9.48$10.0040.0%11.5%20.7%32.4%38.0%9.7%-2.6%1.2M-59.2M-477.5K0.057.80N/AN/A90,7714,863178,55073,147
2010-01-21$9.20$10.0039.0%11.2%23.5%31.0%38.3%3.7%-1.1%3.0M-67.5M-563.1K1.0510.55N/AN/A1,4831,560261,07675,614
2010-01-22$9.00$10.0039.4%11.3%25.0%31.6%41.8%2.0%-2.5%2.7M-59.0M-541.1K3.1514.33N/AN/A1,3794,350260,38976,454
2010-01-25$9.01$10.0039.1%11.2%25.0%31.2%39.2%3.1%-2.0%2.6M-54.2M-534.0K4.206.97N/AN/A4131,733261,03479,001
2010-01-26$9.03$10.0037.1%10.6%25.0%28.4%37.4%4.3%0.1%2.7M-55.1M-533.0K5.4511.16N/AN/A1,8179,901261,02180,454
2010-01-27$8.93$10.0039.4%11.3%25.3%31.6%39.5%0.3%-1.5%2.4M-46.9M-543.3K0.9811.91N/AN/A3,1483,083261,88989,876
2010-01-28$8.72$10.0039.0%11.2%26.8%31.0%34.8%4.9%-0.5%1.9M-35.1M-519.0K0.6610.13N/AN/A10,1576,657262,91289,484
2010-01-29$8.63$9.0038.6%11.1%25.1%30.6%41.7%10.5%-2.6%1.9M-30.3M-521.6K11.2714.30N/AN/A6637,470271,72594,318