BSX Options History — June 2010

In June 2010, BSX traded between $5.44 and $6.33. ATM implied volatility averaged 40.9%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 1.7% (HV 20d: 39.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2010-06-04: Highest Volume — 23,644 contracts
  • 2010-06-07: Largest IV spike — 17.1% change
  • 2010-06-09: Highest IV Rank — 55.4%
  • 2010-06-09: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.92$5.44$6.33$5.97$5.80
Max Pain$6.14$6.00$7.00$7.00$6.00
ATM IV40.9%36.8%50.5%42.3%40.5%
Expected Move11.8%10.5%14.7%12.1%11.6%
HV 20d39.2%33.7%43.2%35.9%42.3%
HV 60d34.6%29.9%41.1%39.8%34.6%
IV Rank39.7%33.0%55.4%42.1%39.1%
IV Percentile61.0%32.1%95.6%72.6%67.9%
Term Structure3.8%0.8%6.5%2.7%4.9%
VWIV40.9%36.8%48.8%42.3%40.5%
Skew 25d1.9%-10.7%9.5%-10.7%9.5%
Skew 10d0.5%-17.2%18.9%-17.2%16.8%
Call IV 25d41.3%33.1%48.3%46.4%36.1%
Put IV 25d43.2%31.4%52.4%35.7%45.6%
Bid-Ask Spread %4.913.806.896.005.92
Gamma HHI0.290.240.370.330.24
Net GEX814.8K482.6K1.1M836.0K899.2K
Net DEX6.7M-11.2M22.7M-2.1M14.9M
Net VEX-686.8K-771.6K-604.4K-741.4K-624.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.093.410.220.41
Total Volume6,847.3641,01823,6441,0181,060
Total OI521,157.864510,557531,026519,516522,657

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$5.97$7.0042.3%12.1%35.9%42.1%42.3%-10.7%2.7%836.0K-2.1M-741.4K0.226.00N/AN/A837181361,227158,289
2010-06-02$6.11$7.0040.0%11.5%36.7%38.3%40.0%-4.7%3.3%895.0K-3.8M-761.4K0.404.99N/AN/A6,7172,702361,392158,378
2010-06-03$6.03$7.0037.2%10.7%36.3%33.6%37.1%-6.2%3.8%874.9K-1.6M-755.6K3.415.69N/AN/A1,2864,382364,728160,790
2010-06-04$5.74$6.0041.4%12.4%38.9%40.5%43.3%4.1%5.0%720.9K9.7M-699.0K0.096.89N/AN/A21,6152,029364,948162,945
2010-06-07$5.59$6.0048.5%14.0%38.4%52.1%48.8%4.1%0.8%550.3K18.1M-638.9K0.505.59N/AN/A4,6722,317349,110163,304
2010-06-08$5.52$6.0044.4%13.6%35.3%45.4%47.9%2.9%0.9%551.3K20.6M-604.4K1.065.16N/AN/A7,3177,783349,913160,644
2010-06-09$5.44$6.0050.5%14.7%35.3%55.4%45.1%3.8%1.1%482.6K22.7M-607.3K1.514.49N/AN/A6,6059,954352,306165,353
2010-06-10$5.57$6.0043.6%12.5%33.7%44.1%45.3%4.2%3.0%531.8K20.4M-624.2K0.454.93N/AN/A2,2791,018354,466165,424
2010-06-11$5.77$6.0043.2%12.4%37.0%43.5%43.2%5.1%1.8%658.3K12.3M-664.1K0.173.80N/AN/A2,966490355,641163,072
2010-06-14$5.82$6.0041.3%11.8%37.5%40.3%41.3%5.0%2.8%694.1K10.5M-654.5K0.844.48N/AN/A3,5963,029357,169162,899
2010-06-15$6.11$6.0040.0%11.5%42.5%38.2%39.7%6.2%3.1%842.7K-608.6K-716.7K0.203.94N/AN/A8,2881,658358,810164,201
2010-06-16$6.10$6.0039.7%11.4%42.3%37.7%39.7%4.3%3.6%894.7K140.1K-715.7K0.094.08N/AN/A2,544219364,123163,808
2010-06-17$6.11$6.0039.1%11.2%42.3%36.7%38.8%4.3%3.9%900.4K34.8K-714.8K1.905.29N/AN/A1,9773,762365,217163,780
2010-06-18$6.33$6.0037.9%10.9%40.1%34.7%37.8%5.7%4.9%1.0M-11.2M-771.6K0.205.13N/AN/A8,7781,788364,101166,925
2010-06-21$6.18$6.0037.2%10.7%40.6%33.7%37.2%-5.1%5.3%994.6K-2.6M-741.5K0.104.08N/AN/A5,161521358,065163,928
2010-06-22$6.02$6.0038.4%11.0%41.6%35.7%38.3%-9.0%4.9%894.0K6.7M-680.9K0.664.25N/AN/A1,446954353,085163,849
2010-06-23$6.04$6.0038.5%11.0%40.8%35.7%38.5%4.7%5.5%912.3K4.3M-698.7K1.454.94N/AN/A7631,104353,191163,381
2010-06-24$5.96$6.0038.7%11.1%40.9%36.1%38.7%3.1%6.5%888.6K6.3M-684.5K2.353.97N/AN/A9032,123353,450163,759
2010-06-25$6.11$6.0037.9%10.9%40.8%34.8%37.9%4.7%6.0%969.6K2.3M-700.8K0.644.51N/AN/A5,2943,401353,631164,614
2010-06-28$6.05$6.0036.8%10.5%40.0%33.0%36.8%3.2%6.5%1.1M5.2M-683.3K0.914.25N/AN/A2,6812,433359,607164,590
2010-06-29$5.77$6.0042.4%12.2%43.2%42.2%42.4%1.6%3.4%843.2K15.6M-625.7K0.905.60N/AN/A1,057952359,614165,089
2010-06-30$5.80$6.0040.5%11.6%42.3%39.1%40.5%9.5%4.9%899.2K14.9M-624.7K0.415.92N/AN/A752308358,796163,861