BSX Options History — September 2010

In September 2010, BSX traded between $5.13 and $6.18. ATM implied volatility averaged 41.9%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 6.1% (HV 20d: 35.8%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2010-09-29: Highest Volume — 30,863 contracts
  • 2010-09-08: Largest IV drop — 10.7% change
  • 2010-09-07: Highest IV Rank — 48.5%
  • 2010-09-07: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.51$5.13$6.18$5.13$6.13
Max Pain$5.43$5.00$6.00$6.00$6.00
ATM IV41.9%36.4%46.3%45.4%38.9%
Expected Move12.2%10.4%14.0%13.0%11.1%
HV 20d35.8%29.9%41.0%37.6%37.2%
HV 60d39.1%37.1%40.7%40.1%39.1%
IV Rank41.4%32.4%48.5%47.1%36.4%
IV Percentile64.6%24.2%87.7%87.3%38.5%
Term Structure5.3%1.0%8.7%3.8%6.9%
VWIV42.7%36.4%49.0%48.0%38.8%
Skew 25d-3.3%-13.3%6.9%-9.2%-11.0%
Skew 10d-3.8%-20.2%12.8%-15.0%-17.3%
Call IV 25d44.5%36.3%51.9%51.9%47.6%
Put IV 25d41.2%34.2%45.9%42.7%36.6%
Bid-Ask Spread %6.033.769.355.374.25
Gamma HHI0.330.280.370.280.34
Net GEX915.3K596.9K1.4M640.7K1.3M
Net DEX90.7K-29.4M12.8M12.2M-25.8M
Net VEX-554.0K-672.1K-493.9K-511.2K-672.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.051.770.400.59
Total Volume6,890.7141,49930,8633,0188,551
Total OI533,455.667512,277549,961533,929539,370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$5.13$6.0045.4%13.0%37.6%47.1%48.0%-9.2%3.8%640.7K12.2M-511.2K0.405.37N/AN/A2,158860390,803143,126
2010-09-02$5.31$6.0045.8%13.1%40.2%47.7%46.0%-4.4%3.1%782.8K6.0M-546.7K0.065.27N/AN/A7,304457391,166142,931
2010-09-03$5.35$5.0043.1%13.4%39.5%43.3%47.9%-3.5%2.4%843.2K5.2M-549.0K0.166.47N/AN/A2,892463397,308142,956
2010-09-07$5.21$5.0046.3%14.0%39.7%48.5%49.0%-7.6%1.0%677.4K10.8M-511.6K0.685.69N/AN/A1,278866394,222142,612
2010-09-08$5.15$5.0041.3%12.9%39.8%40.4%45.8%-8.1%3.0%596.9K12.8M-502.3K1.103.76N/AN/A1,0181,124394,537142,951
2010-09-09$5.30$5.0044.5%12.7%38.5%45.5%45.7%-4.2%3.3%719.2K8.4M-526.0K0.965.19N/AN/A1,7581,680395,139143,420
2010-09-10$5.33$5.0044.4%12.7%38.5%45.4%46.8%-4.7%3.9%724.7K6.6M-536.2K0.166.30N/AN/A2,095330396,226144,402
2010-09-13$5.24$5.0044.1%12.7%38.9%45.0%44.0%-5.7%3.6%631.1K9.8M-511.6K0.534.14N/AN/A1,731922396,789144,402
2010-09-14$5.33$5.0042.7%12.2%39.5%42.6%44.2%-3.2%4.3%703.7K11.4M-493.9K0.187.67N/AN/A4,717868397,957144,682
2010-09-15$5.39$5.0045.0%12.9%33.0%46.3%40.2%4.2%4.6%771.0K8.4M-516.5K0.055.64N/AN/A5,246265400,058144,392
2010-09-16$5.45$5.0043.6%12.5%31.6%44.2%42.6%0.9%5.5%838.8K4.9M-534.0K0.255.38N/AN/A3,609918402,886144,382
2010-09-17$5.42$5.0041.4%11.9%31.2%40.6%42.2%-1.0%7.8%831.6K7.3M-528.5K1.775.11N/AN/A9901,757405,403144,558
2010-09-20$5.54$5.0037.2%10.7%31.3%33.6%38.3%4.7%8.7%909.6K1.3M-545.4K0.137.37N/AN/A3,061389376,560135,717
2010-09-21$5.59$5.0040.7%11.7%31.3%39.3%40.8%-0.4%6.3%973.8K-1.6M-553.9K0.197.62N/AN/A19,9563,729378,103135,743
2010-09-22$5.62$6.0040.8%11.7%29.9%39.6%41.0%2.9%6.6%1.1M-3.8M-557.1K0.626.62N/AN/A3,1491,943385,057136,430
2010-09-23$5.53$6.0041.9%12.0%30.4%41.4%42.7%1.0%6.1%995.0K107.7K-542.0K0.067.26N/AN/A1,41386387,123137,157
2010-09-24$5.75$6.0038.4%11.0%33.0%35.6%38.0%-4.3%7.0%1.2M-9.3M-595.8K0.149.35N/AN/A2,235310387,075137,039
2010-09-27$5.73$6.0039.2%11.2%32.7%37.0%39.2%6.9%7.5%1.2M-8.6M-586.9K0.855.40N/AN/A2,2841,952386,578136,975
2010-09-28$6.18$6.0039.2%11.2%41.0%36.9%39.1%-9.0%6.5%1.4M-29.4M-665.6K0.517.02N/AN/A12,8796,599387,050138,487
2010-09-29$6.11$6.0036.4%10.4%37.9%32.4%36.4%-13.3%8.2%1.4M-24.8M-647.4K0.795.75N/AN/A17,26313,600390,867139,930
2010-09-30$6.13$6.0038.9%11.1%37.2%36.4%38.8%-11.0%6.9%1.3M-25.8M-672.1K0.594.25N/AN/A5,3863,165391,122148,248