BSX Options History — May 2010

In May 2010, BSX traded between $6.04 and $6.86. ATM implied volatility averaged 41.9%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 12.4% (HV 20d: 29.5%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2010-05-25: Highest Volume — 47,362 contracts
  • 2010-05-20: Largest IV spike — 26.1% change
  • 2010-05-21: Highest IV Rank — 57.6%
  • 2010-05-21: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.52$6.04$6.86$6.86$6.05
Max Pain$7.20$7.00$8.00$8.00$7.00
ATM IV41.9%34.6%51.9%34.6%39.2%
Expected Move12.1%9.9%14.9%9.9%11.2%
HV 20d29.5%22.5%35.9%22.5%35.9%
HV 60d39.6%37.5%43.0%42.2%39.8%
IV Rank41.4%29.5%57.6%29.5%36.9%
IV Percentile63.3%16.3%97.6%16.3%54.0%
Term Structure4.2%1.7%6.8%5.0%4.2%
VWIV42.5%34.6%52.1%34.6%39.0%
Skew 25d1.2%-8.0%5.4%-0.9%-8.0%
Skew 10d2.0%-13.4%19.4%-4.3%-13.4%
Call IV 25d44.3%38.8%52.6%42.1%42.2%
Put IV 25d45.5%34.2%56.4%41.2%34.2%
Bid-Ask Spread %6.164.0916.944.195.52
Gamma HHI0.230.190.330.190.33
Net GEX544.6K350.2K948.1K478.7K883.8K
Net DEX6.6M-10.3M25.8M-8.4K-4.6M
Net VEX-866.5K-927.9K-774.8K-927.9K-774.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.031.380.710.51
Total Volume11,247.051,89647,36211,9311,896
Total OI614,039.5493,173658,752640,224519,799

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$6.86$8.0034.6%9.9%22.5%29.5%34.6%-0.9%5.0%478.7K-8.4K-927.9K0.714.19N/AN/A6,9794,952417,322222,902
2010-05-04$6.68$8.0039.9%11.4%24.0%38.1%39.4%-1.8%1.7%482.0K9.6M-909.7K1.385.56N/AN/A3,7175,144420,107222,076
2010-05-05$6.76$8.0038.0%10.9%24.6%34.9%37.8%1.6%3.4%457.8K7.0M-917.6K0.455.05N/AN/A9,2504,201418,689223,791
2010-05-06$6.59$8.0044.8%12.8%24.7%46.1%45.3%-0.4%3.2%491.2K12.6M-902.1K0.5016.94N/AN/A7,0933,520424,173224,214
2010-05-07$6.38$7.0048.9%14.7%26.8%52.8%49.3%2.9%1.9%391.9K22.5M-850.0K1.077.66N/AN/A3,7294,004421,955224,161
2010-05-10$6.60$7.0044.0%12.2%30.1%44.8%42.5%2.9%2.6%396.8K16.8M-875.7K0.776.53N/AN/A2,3751,830421,659223,766
2010-05-11$6.58$7.0040.9%11.9%30.1%39.8%41.1%2.1%3.5%350.2K20.6M-851.7K0.126.50N/AN/A5,059597422,557223,849
2010-05-12$6.81$7.0035.5%11.1%29.6%30.9%38.8%2.1%4.3%362.9K5.9M-911.7K0.615.39N/AN/A2,8531,749425,688223,076
2010-05-13$6.85$7.0038.7%11.1%29.8%36.1%38.9%1.1%4.2%367.8K1.7M-910.6K0.064.72N/AN/A6,138359425,364222,603
2010-05-14$6.83$7.0039.4%11.3%27.6%37.2%39.4%1.7%5.2%370.3K1.3M-923.8K0.105.16N/AN/A7,094688430,748222,507
2010-05-17$6.81$7.0041.2%11.8%27.6%40.3%44.4%1.4%4.9%465.9K2.1M-912.2K0.254.69N/AN/A27,0176,649434,395222,143
2010-05-18$6.69$7.0040.7%11.7%28.0%39.4%40.6%3.0%6.2%527.1K9.4M-906.2K0.136.36N/AN/A2,733355437,332221,420
2010-05-19$6.70$7.0040.6%11.6%27.9%39.2%46.1%2.3%6.2%534.7K10.0M-893.5K1.324.09N/AN/A1,2841,695432,934219,688
2010-05-20$6.34$7.0051.1%14.7%33.3%56.4%52.1%1.9%4.6%560.9K22.5M-840.7K0.186.64N/AN/A7,4581,335433,082219,751
2010-05-21$6.24$7.0051.9%14.9%33.4%57.6%51.5%5.4%3.1%620.4K25.8M-817.5K0.166.31N/AN/A22,0333,500435,413218,658
2010-05-24$6.25$7.0046.8%13.4%33.1%49.3%46.8%4.1%2.5%697.7K-9.9M-823.3K0.105.44N/AN/A3,571345335,650157,523
2010-05-25$6.10$7.0043.0%12.3%33.4%43.2%43.7%2.7%6.8%648.7K-4.5M-796.3K0.035.44N/AN/A46,0491,313339,849157,538
2010-05-26$6.04$7.0042.0%12.1%33.3%41.6%41.6%2.5%5.4%854.0K-7.2M-781.8K0.035.05N/AN/A11,159339357,336158,255
2010-05-27$6.20$7.0037.5%10.8%35.3%34.2%37.5%-3.4%5.2%948.1K-10.3M-803.3K0.135.87N/AN/A4,321558360,450158,367
2010-05-28$6.05$7.0039.2%11.2%35.9%36.9%39.0%-8.0%4.2%883.8K-4.6M-774.8K0.515.52N/AN/A1,252644361,269158,530