BSX Options History — July 2010

In July 2010, BSX traded between $5.60 and $6.59. ATM implied volatility averaged 40.7%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 2.0% (HV 20d: 42.7%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-07-02: Highest Volume — 39,688 contracts
  • 2010-07-12: Largest IV spike — 53.0% change
  • 2010-07-20: Highest IV Rank — 58.1%
  • 2010-07-20: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.11$5.60$6.59$5.90$5.60
Max Pain$6.90$6.00$7.00$6.00$7.00
ATM IV40.7%28.0%52.2%39.8%38.3%
Expected Move12.5%10.4%15.0%11.4%11.0%
HV 20d42.7%36.1%46.7%42.6%43.9%
HV 60d38.1%34.8%40.8%34.8%40.5%
IV Rank39.4%18.7%58.1%38.0%35.5%
IV Percentile62.4%0.8%98.0%63.1%44.0%
Term Structure1.4%-3.5%7.4%6.8%3.9%
VWIV43.4%36.2%50.9%40.0%38.9%
Skew 25d2.3%-12.0%13.7%13.7%3.5%
Skew 10d1.7%-19.0%22.1%22.1%-4.8%
Call IV 25d44.3%34.1%50.5%34.1%38.4%
Put IV 25d46.6%38.4%56.3%47.8%42.0%
Bid-Ask Spread %4.743.0813.036.013.11
Gamma HHI0.220.200.260.230.26
Net GEX1.1M542.2K1.8M984.2K606.9K
Net DEX-4.4M-32.9M23.6M8.4M18.9M
Net VEX-690.1K-772.5K-577.8K-654.7K-606.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.045.361.821.48
Total Volume9,297.3811,79939,68812,7013,115
Total OI552,803.333522,646574,647522,646574,647

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$5.90$6.0039.8%11.4%42.6%38.0%40.0%13.7%6.8%984.2K8.4M-654.7K1.826.01N/AN/A4,5008,201358,961163,685
2010-07-02$6.14$6.0040.9%11.7%41.0%39.8%40.9%-12.0%7.4%1.2M-8.8M-728.6K0.046.02N/AN/A38,0181,670359,200163,658
2010-07-06$6.03$7.0041.9%13.5%40.3%41.3%50.9%-0.2%0.5%1.3M-2.5M-692.4K0.214.00N/AN/A3,033642388,042163,120
2010-07-07$6.28$7.0041.2%13.3%41.8%40.2%47.7%1.0%0.8%1.5M-17.3M-744.5K0.273.62N/AN/A3,038829389,167163,326
2010-07-08$6.38$7.0041.8%13.5%41.2%41.2%46.1%2.0%-1.3%1.5M-21.1M-754.9K0.863.38N/AN/A1,3961,207390,621163,052
2010-07-09$6.46$7.0031.5%13.2%40.8%24.4%44.4%1.4%-0.1%1.5M-23.4M-770.9K0.143.08N/AN/A5,976856391,235162,967
2010-07-12$6.45$7.0048.2%13.0%39.5%51.6%44.1%2.2%1.1%1.4M-24.0M-756.8K1.163.40N/AN/A2,2142,577395,773162,378
2010-07-13$6.50$7.0028.0%13.1%39.5%18.7%42.6%2.7%-0.1%1.5M-26.6M-759.3K0.144.01N/AN/A2,377325397,025163,872
2010-07-14$6.52$7.0029.0%11.9%36.1%20.4%43.5%2.9%1.4%1.2M-29.9M-762.3K0.213.86N/AN/A1,488311397,237163,516
2010-07-15$6.59$7.0042.6%12.2%36.1%42.4%43.1%0.6%1.3%1.3M-32.9M-772.5K0.134.75N/AN/A5,035669397,290163,527
2010-07-16$6.11$7.0047.6%13.6%45.9%50.6%48.1%1.1%-0.7%1.8M-10.4M-686.0K0.154.72N/AN/A2,688403397,974163,502
2010-07-19$6.11$7.0049.6%14.2%43.9%53.9%50.3%3.4%-0.9%882.3K-1.2M-685.0K0.404.35N/AN/A9,3403,755378,120159,357
2010-07-20$6.27$7.0052.2%15.0%44.1%58.1%49.5%9.1%-3.5%994.0K-7.7M-714.4K0.255.29N/AN/A13,8223,506383,620161,601
2010-07-21$5.97$7.0045.2%13.0%46.7%46.8%45.6%4.8%-0.2%826.0K5.7M-655.7K0.085.47N/AN/A25,9402,052386,538162,963
2010-07-22$5.93$7.0042.0%12.0%46.7%41.5%42.1%1.5%1.9%875.7K4.9M-661.2K0.645.06N/AN/A2,9601,882396,565163,242
2010-07-23$5.95$7.0040.1%11.5%46.5%38.3%40.1%3.3%2.5%833.3K7.0M-653.2K5.364.07N/AN/A1,0775,768392,781163,191
2010-07-26$5.95$7.0039.6%11.3%45.5%37.5%39.5%-0.3%2.4%730.5K10.4M-642.0K0.384.48N/AN/A2,089798385,034168,089
2010-07-27$5.90$7.0036.3%10.4%45.5%32.2%36.2%3.7%4.4%691.5K13.4M-628.9K0.594.43N/AN/A2,5061,471386,493168,363
2010-07-28$5.69$7.0038.9%11.2%44.2%36.5%39.0%1.1%1.9%571.4K21.8M-584.6K0.3213.03N/AN/A8,9432,878386,795168,230
2010-07-29$5.60$7.0039.7%11.4%44.4%37.7%39.6%3.6%0.2%542.2K23.6M-577.8K0.143.30N/AN/A13,9021,988393,715170,398
2010-07-30$5.60$7.0038.3%11.0%43.9%35.5%38.9%3.5%3.9%606.9K18.9M-606.9K1.483.11N/AN/A1,2551,860406,054168,593