BSX Options History — April 2010

In April 2010, BSX traded between $6.88 and $7.35. ATM implied volatility averaged 42.9%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 9.0% (HV 20d: 33.9%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2010-04-09: Highest Volume — 56,171 contracts
  • 2010-04-15: Largest IV drop — 45.1% change
  • 2010-04-14: Highest IV Rank — 92.9%
  • 2010-04-26: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.12$6.88$7.35$7.23$6.88
Max Pain$7.95$7.00$8.00$7.00$8.00
ATM IV42.9%34.9%77.9%41.4%36.2%
Expected Move12.1%10.0%13.4%11.9%10.4%
HV 20d33.9%22.0%55.7%55.6%22.5%
HV 60d42.6%41.9%43.0%43.0%42.3%
IV Rank41.0%29.3%92.9%37.6%32.0%
IV Percentile56.6%17.1%99.6%58.7%26.6%
Term Structure0.9%-2.6%8.7%8.7%1.9%
VWIV42.8%35.6%49.1%43.0%36.1%
Skew 25d-2.9%-14.7%16.7%16.7%-1.0%
Skew 10d0.5%-24.5%19.6%11.9%-0.2%
Call IV 25d43.9%25.9%51.0%25.9%30.4%
Put IV 25d41.1%29.4%52.5%42.6%29.4%
Bid-Ask Spread %10.927.3516.9113.7611.99
Gamma HHI0.190.180.210.190.19
Net GEX1.3M596.8K2.0M1.9M596.8K
Net DEX-25.8M-51.0M-3.6M-36.5M-3.6M
Net VEX-1.0M-1.0M-953.7K-1.0M-954.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.173.080.261.05
Total Volume13,009.9052,35456,17113,7292,988
Total OI628,475.762605,238667,536606,806638,678

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$7.23$7.0041.4%11.9%55.6%37.6%43.0%16.7%8.7%1.9M-36.5M-1.0M0.2613.76N/AN/A10,8852,844414,320192,486
2010-04-05$7.21$8.0040.7%13.2%55.6%36.6%49.1%3.0%-1.3%1.9M-35.7M-1.0M0.279.51N/AN/A3,436929411,855194,003
2010-04-06$7.14$8.0042.0%12.8%55.6%38.5%44.5%6.1%0.0%1.9M-30.3M-990.7K0.4110.33N/AN/A4,3091,746413,164192,741
2010-04-07$7.15$8.0041.2%13.3%55.3%37.3%46.0%0.6%-1.3%2.0M-31.1M-996.8K3.088.84N/AN/A2,0306,250415,286193,426
2010-04-08$6.98$8.0039.9%12.6%55.7%35.3%45.9%-7.8%0.1%1.9M-24.1M-962.5K1.648.09N/AN/A1,4982,455415,286193,426
2010-04-09$6.97$8.0035.9%12.7%54.5%29.3%44.7%-0.3%-0.1%1.8M-18.3M-953.7K1.4316.91N/AN/A23,08233,089415,925198,053
2010-04-12$6.94$8.0041.5%12.8%54.5%37.8%45.6%-2.8%-2.2%1.6M-19.6M-978.7K0.3610.51N/AN/A7,4992,697433,689216,633
2010-04-13$6.90$8.0058.6%12.6%25.5%63.7%45.2%0.9%0.6%1.6M-14.5M-986.7K1.5913.21N/AN/A5,9879,533436,733221,702
2010-04-14$7.16$8.0077.9%13.2%24.5%92.9%46.2%2.2%-2.6%1.5M-32.4M-1.0M0.2413.51N/AN/A11,5172,771435,233227,924
2010-04-15$7.14$8.0042.8%12.3%23.4%39.7%43.1%2.4%0.6%1.6M-27.5M-1.0M0.6110.10N/AN/A4,2582,589438,111229,425
2010-04-16$7.34$8.0042.9%12.3%24.6%39.9%43.8%-8.2%-0.4%1.3M-51.0M-1.0M1.0111.48N/AN/A19,01419,288434,621230,344
2010-04-19$7.35$8.0039.1%11.2%24.5%34.2%39.4%-4.3%3.3%1.1M-33.0M-1.0M0.2911.18N/AN/A5,7881,653392,059213,179
2010-04-20$7.33$8.0038.5%11.0%22.3%33.2%38.2%-5.4%2.7%1.1M-33.5M-1.0M0.1811.92N/AN/A2,002352396,458213,548
2010-04-21$7.23$8.0040.4%11.6%22.9%38.9%41.9%-8.0%1.0%1.0M-29.6M-1.0M0.328.33N/AN/A3,9741,286397,359213,536
2010-04-22$7.21$8.0043.2%12.4%22.9%43.4%44.8%-9.4%-0.3%1.1M-28.8M-1.0M0.2610.50N/AN/A5,6861,503399,273213,857
2010-04-23$7.21$8.0042.0%12.0%22.5%41.5%42.4%-9.3%0.5%1.1M-30.8M-1.0M0.859.05N/AN/A7,0005,951401,894214,516
2010-04-26$7.06$8.0046.7%13.4%23.8%49.1%48.0%2.7%-2.4%898.8K-18.2M-991.2K0.5512.53N/AN/A18,2329,990405,293218,398
2010-04-27$7.10$8.0034.9%10.0%22.0%29.9%35.6%-10.0%4.3%897.9K-20.4M-1.0M0.6811.24N/AN/A9,2936,365417,976223,527
2010-04-28$6.99$8.0036.5%10.5%22.3%32.6%36.4%-13.3%4.0%754.7K-13.0M-991.4K0.379.07N/AN/A5,8642,166419,238222,994
2010-04-29$6.96$8.0039.2%11.2%22.3%36.9%39.5%-14.7%2.0%753.7K-10.2M-980.7K0.177.35N/AN/A4,604805418,154223,668
2010-04-30$6.88$8.0036.2%10.4%22.5%32.0%36.1%-1.0%1.9%596.8K-3.6M-954.9K1.0511.99N/AN/A1,4581,530416,953221,725