BSX Options History — January 2011

In January 2011, BSX traded between $6.98 and $7.60. ATM implied volatility averaged 38.6%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 11.6% (HV 20d: 27.0%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-01-18: Highest Volume — 57,242 contracts
  • 2011-01-13: Largest IV spike — 31.3% change
  • 2011-01-03: Highest IV Rank — 34.1%
  • 2011-01-19: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.30$6.98$7.60$7.60$6.98
Max Pain$7.10$7.00$7.50$7.50$7.00
ATM IV38.6%31.6%42.4%37.4%42.0%
Expected Move11.5%9.5%12.2%10.7%12.0%
HV 20d27.0%21.0%33.4%33.4%22.9%
HV 60d31.7%29.8%32.7%32.0%31.7%
IV Rank27.6%19.6%34.1%34.1%28.0%
IV Percentile41.2%4.0%72.6%24.6%69.4%
Term Structure-0.2%-3.6%7.6%6.2%-3.1%
VWIV40.7%33.1%45.9%37.5%42.5%
Skew 25d-0.6%-10.8%5.3%-9.4%0.8%
Skew 10d3.9%-19.4%22.2%-13.8%2.0%
Call IV 25d44.2%39.7%47.7%46.8%45.3%
Put IV 25d43.6%33.1%47.6%37.4%46.1%
Bid-Ask Spread %7.733.8931.875.693.89
Gamma HHI0.490.220.740.580.22
Net GEX2.2M422.5K4.3M2.8M541.3K
Net DEX-54.8M-95.7M-7.2M-95.7M-30.0M
Net VEX-582.5K-637.1K-533.1K-637.1K-541.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.069.690.330.06
Total Volume11,663.153,21357,24213,18130,847
Total OI502,720.5332,394612,633560,550350,177

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$7.60$7.5037.4%10.7%33.4%34.1%37.5%-9.4%6.2%2.8M-95.7M-637.1K0.335.69N/AN/A9,8913,290400,777159,773
2011-01-04$7.48$7.5036.9%10.6%32.8%33.1%36.9%-6.2%6.2%2.8M-83.3M-635.2K0.275.23N/AN/A2,526687401,523161,926
2011-01-05$7.53$7.5034.6%9.9%32.3%29.5%34.5%-8.8%7.6%3.1M-89.2M-631.5K0.5318.31N/AN/A4,3162,288401,685161,676
2011-01-06$7.41$7.5033.1%9.5%33.3%26.9%33.1%-10.8%7.2%3.1M-73.5M-622.6K0.854.74N/AN/A1,8301,556401,187162,769
2011-01-07$7.28$7.0034.8%11.3%32.9%29.7%40.6%2.9%0.2%2.9M-59.9M-602.8K0.466.89N/AN/A3,4091,573400,912163,253
2011-01-10$7.39$7.0036.3%12.1%31.1%32.2%43.2%0.8%-1.6%3.2M-74.7M-607.2K0.6131.87N/AN/A6,3433,894401,412161,037
2011-01-11$7.47$7.0034.1%12.1%31.2%28.7%42.3%1.8%-3.0%3.5M-81.8M-602.1K5.816.43N/AN/A1,79010,393400,337160,423
2011-01-12$7.44$7.0031.6%11.6%31.1%24.5%45.4%-0.0%-1.5%3.6M-73.8M-596.0K1.416.24N/AN/A1,9672,781398,155167,343
2011-01-13$7.47$7.0041.4%11.9%30.8%26.9%41.2%1.6%-2.9%3.9M-75.7M-592.0K0.447.68N/AN/A2,9091,284397,754163,805
2011-01-14$7.53$7.0042.0%12.0%28.5%28.1%41.7%-3.8%-3.5%4.0M-86.2M-586.6K0.097.22N/AN/A8,684748397,275164,633
2011-01-18$7.33$7.0040.7%11.7%21.5%25.4%41.7%0.9%0.5%4.3M-55.8M-556.8K9.697.89N/AN/A5,35551,887401,185164,555
2011-01-19$7.15$7.0042.4%12.2%21.0%28.8%44.0%1.2%-2.7%1.5M-17.5M-587.5K0.616.48N/AN/A3,9222,381400,780211,853
2011-01-20$7.27$7.0041.4%11.9%22.1%26.9%41.6%5.3%-1.6%2.2M-26.5M-584.4K2.026.44N/AN/A1,5593,155401,741203,643
2011-01-21$7.16$7.0042.1%12.1%21.9%28.3%45.9%2.8%-2.8%596.0K-7.2M-554.5K0.625.37N/AN/A9,8946,181401,410204,349
2011-01-24$7.14$7.0040.9%11.7%21.9%25.9%41.1%2.7%-2.5%547.4K-33.9M-549.8K0.655.39N/AN/A4,3162,798211,926120,468
2011-01-25$7.03$7.0042.2%12.1%22.2%28.5%42.3%2.2%-3.6%422.5K-27.7M-540.8K1.764.56N/AN/A6,01510,610214,298121,764
2011-01-26$7.15$7.0040.2%11.5%22.4%24.4%40.7%0.4%-1.9%604.5K-35.8M-548.4K0.714.33N/AN/A2,6991,910218,332121,910
2011-01-27$7.16$7.0037.8%10.8%22.4%19.6%38.2%0.9%-0.8%653.8K-38.1M-539.9K0.194.85N/AN/A3,492665219,257118,673
2011-01-28$6.99$7.0039.4%11.3%23.5%22.8%39.4%2.2%0.3%484.6K-30.1M-533.1K0.485.10N/AN/A9,0864,332221,645118,789
2011-01-31$6.98$7.0042.0%12.0%22.9%28.0%42.5%0.8%-3.1%541.3K-30.0M-541.4K0.063.89N/AN/A29,0411,806228,179121,998