BSX Options History — February 2010

In February 2010, BSX traded between $7.39 and $8.42. ATM implied volatility averaged 41.4%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 5.2% (HV 20d: 36.2%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.42.

Notable Days

  • 2010-02-11: Highest Volume — 51,303 contracts
  • 2010-02-11: Largest IV drop — 29.0% change
  • 2010-02-10: Highest IV Rank — 54.2%
  • 2010-02-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.93$7.39$8.42$8.42$7.74
Max Pain$8.21$8.00$9.00$9.00$8.00
ATM IV41.4%30.0%55.7%50.1%30.7%
Expected Move11.3%8.6%14.4%14.4%8.8%
HV 20d36.2%26.0%44.7%26.3%44.3%
HV 60d29.6%24.7%33.7%25.4%32.0%
IV Rank34.8%20.4%54.2%46.4%21.4%
IV Percentile42.7%2.4%77.4%71.0%4.0%
Term Structure0.0%-7.7%5.1%-7.7%0.1%
VWIV39.0%29.2%49.0%49.0%30.3%
Skew 25d3.1%-7.1%15.6%3.0%-7.1%
Skew 10d7.7%-8.4%23.1%3.5%-7.3%
Call IV 25d35.5%27.3%47.1%43.2%29.1%
Put IV 25d38.6%22.0%47.4%46.2%22.0%
Bid-Ask Spread %15.519.7521.5414.1716.90
Gamma HHI0.320.220.500.500.25
Net GEX956.3K486.1K1.5M1.5M680.1K
Net DEX-849.0K-18.4M30.0M-18.4M-4.1M
Net VEX-485.5K-523.7K-410.5K-515.5K-497.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.1126.850.631.53
Total Volume11,218.78984451,30323,6851,777
Total OI383,209.158299,498437,261367,706323,950

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$8.42$9.0050.1%14.4%26.3%46.4%49.0%3.0%-7.7%1.5M-18.4M-515.5K0.6314.17N/AN/A14,5529,133267,579100,127
2010-02-02$8.40$9.0044.5%12.8%26.2%38.6%41.0%-0.8%-1.8%1.2M-15.1M-523.7K1.2512.45N/AN/A7,3199,150278,467106,555
2010-02-03$8.36$9.0046.6%13.4%26.1%41.6%46.4%-3.5%-7.7%1.5M-16.8M-517.7K0.9111.90N/AN/A5,0154,576283,171102,761
2010-02-04$8.18$9.0046.6%13.4%26.0%41.6%46.1%-6.4%-6.7%1.1M-8.4M-505.2K1.699.75N/AN/A1,2092,038285,440105,036
2010-02-05$8.21$8.0048.0%12.1%26.2%43.5%39.6%5.7%0.2%1.2M-9.3M-506.1K0.2316.34N/AN/A5,4081,254285,743104,963
2010-02-08$8.15$8.0052.1%12.3%26.2%49.2%42.7%4.1%0.1%1.1M-8.9M-501.5K6.4819.24N/AN/A7164,643288,910104,587
2010-02-09$8.23$8.0053.1%12.3%26.3%50.6%42.9%6.8%1.7%1.0M-8.5M-504.6K1.2719.87N/AN/A1,8572,358288,846108,963
2010-02-10$8.29$8.0055.7%12.9%26.3%54.2%44.3%10.3%-1.5%1.3M-13.7M-518.3K0.2021.54N/AN/A22,0614,374289,643107,809
2010-02-11$7.47$8.0039.6%11.3%43.8%31.8%39.0%3.1%2.7%784.9K20.5M-410.5K0.6616.04N/AN/A30,92720,376309,857110,119
2010-02-12$7.39$8.0038.7%11.1%39.9%30.6%38.4%-0.8%2.3%486.1K30.0M-439.3K0.6320.45N/AN/A2,5691,621312,551124,710
2010-02-16$7.41$8.0039.2%11.2%40.2%31.3%38.8%1.5%5.1%513.8K25.8M-423.1K0.5816.20N/AN/A2,7771,621310,428116,867
2010-02-17$7.75$8.0037.8%10.8%43.7%29.4%37.4%7.4%2.1%956.8K12.5M-470.4K0.1116.34N/AN/A8,9901,033311,845116,467
2010-02-18$7.79$8.0036.0%10.3%44.0%26.8%36.3%9.4%3.0%1.2M9.2M-476.7K0.5114.29N/AN/A1,174601318,077115,294
2010-02-19$7.69$8.0035.2%10.1%43.4%25.8%36.6%5.6%3.4%879.3K13.6M-462.2K0.9512.11N/AN/A932888317,591115,322
2010-02-22$7.87$8.0038.1%10.9%44.5%29.7%38.2%15.6%-1.3%777.2K-11.2M-472.1K0.4212.98N/AN/A12,4975,235211,38688,112
2010-02-23$7.75$8.0034.3%9.8%44.5%26.9%34.4%9.8%-0.2%760.3K-6.9M-477.8K26.8512.75N/AN/A51513,826219,90292,606
2010-02-24$7.80$8.0030.4%8.7%44.7%20.9%30.4%-1.6%2.6%634.3K-4.9M-500.9K0.7418.92N/AN/A5,3453,946219,936105,169
2010-02-25$7.73$8.0030.0%8.6%44.6%20.4%29.2%-3.1%3.8%569.8K-1.5M-502.1K0.2912.48N/AN/A654190224,824107,361
2010-02-26$7.74$8.0030.7%8.8%44.3%21.4%30.3%-7.1%0.1%680.1K-4.1M-497.4K1.5316.90N/AN/A7011,076219,944104,006