BSX Options History — February 2011

In February 2011, BSX traded between $6.85 and $7.54. ATM implied volatility averaged 31.6%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 3.3% (HV 20d: 28.4%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-02-01: Highest Volume — 18,832 contracts
  • 2011-02-02: Largest IV drop — 32.1% change
  • 2011-02-01: Highest IV Rank — 29.6%
  • 2011-02-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.06$6.85$7.54$7.13$7.16
Max Pain$6.79$6.00$7.00$7.00$7.00
ATM IV31.6%25.4%42.8%42.8%33.2%
Expected Move9.3%7.7%12.3%12.3%9.5%
HV 20d28.4%24.5%33.7%24.5%32.5%
HV 60d30.1%28.8%32.0%32.0%30.8%
IV Rank11.0%0.0%29.6%29.6%15.0%
IV Percentile10.1%0.0%75.4%75.4%9.1%
Term Structure2.9%-4.0%7.0%-4.0%2.8%
VWIV33.4%26.8%45.0%45.0%33.2%
Skew 25d1.2%-10.8%13.4%2.9%2.7%
Skew 10d5.4%-17.5%51.1%10.7%11.9%
Call IV 25d35.6%21.6%47.1%47.1%39.0%
Put IV 25d36.8%26.7%50.0%50.0%41.7%
Bid-Ask Spread %6.364.779.264.926.07
Gamma HHI0.310.210.410.230.22
Net GEX1.3K-694.1K722.1K559.1K529.4K
Net DEX-22.2M-54.2M-7.9M-33.5M-26.5M
Net VEX-486.5K-534.3K-468.6K-534.3K-484.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.048.580.900.12
Total Volume6,301.2111,08818,83218,8322,725
Total OI329,878.947274,146360,234344,214282,364

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$7.13$7.0042.8%12.3%24.5%29.6%45.0%2.9%-4.0%559.1K-33.5M-534.3K0.904.92N/AN/A9,9098,923222,041122,173
2011-02-02$6.85$7.0029.0%8.3%27.5%2.0%29.0%5.8%4.6%-228.2K-7.9M-468.6K0.484.77N/AN/A11,6265,556208,040125,408
2011-02-03$6.97$7.0026.7%7.7%28.3%0.0%26.8%-9.4%7.0%-199.7K-14.8M-485.7K0.105.43N/AN/A1,163120213,314128,135
2011-02-04$6.99$7.0028.7%9.4%28.0%3.8%32.1%2.7%3.5%-105.9K-17.1M-488.2K0.175.33N/AN/A1,732293213,753128,108
2011-02-07$6.95$7.0029.3%9.1%27.5%4.9%31.8%4.5%3.0%-213.1K-14.4M-480.6K0.305.61N/AN/A2,188648214,008128,301
2011-02-08$6.95$7.0027.6%9.2%26.7%1.7%35.4%4.5%3.4%-289.7K-14.8M-480.4K0.275.45N/AN/A856232214,825128,677
2011-02-09$6.88$7.0025.4%8.7%26.3%0.0%31.6%-0.9%3.8%-393.8K-11.6M-474.4K0.576.03N/AN/A1,159664214,017128,491
2011-02-10$6.91$7.0031.2%8.9%26.5%11.1%31.1%2.0%4.8%-376.3K-13.4M-481.7K8.585.83N/AN/A1,35311,611214,540128,808
2011-02-11$6.88$7.0029.2%8.4%26.3%7.3%29.2%2.0%6.5%-509.8K-8.2M-477.2K0.075.48N/AN/A2,657185214,443138,134
2011-02-14$6.97$7.0029.5%8.5%26.7%7.8%29.5%2.6%6.1%-593.5K-12.9M-471.3K0.086.01N/AN/A7,064550216,441138,080
2011-02-15$6.97$6.0029.9%8.6%25.3%8.7%30.0%1.7%4.7%-690.4K-14.6M-470.7K0.875.37N/AN/A1,3891,212221,759137,919
2011-02-16$7.10$6.0029.7%8.5%24.9%8.3%29.7%13.4%4.1%-694.1K-27.4M-486.9K0.186.00N/AN/A1,914337221,401138,432
2011-02-17$7.40$6.0035.5%10.2%28.4%19.3%35.8%-1.3%0.8%546.0K-43.6M-482.3K1.349.26N/AN/A5,9697,985221,828138,406
2011-02-18$7.54$6.0036.9%10.6%28.4%22.0%37.0%-6.4%-0.9%722.1K-54.2M-508.1K0.187.70N/AN/A12,7482,268222,660137,047
2011-02-22$7.28$7.0034.4%9.9%31.4%17.3%36.3%-3.8%0.6%587.9K-33.7M-501.3K0.259.11N/AN/A3,511888176,14698,000
2011-02-23$7.04$7.0034.6%9.9%33.3%17.7%36.4%-10.8%0.9%465.3K-24.9M-489.8K1.198.15N/AN/A1,4151,681177,20898,680
2011-02-24$7.02$7.0033.7%9.7%32.7%15.9%35.9%5.4%1.2%408.0K-21.8M-488.6K0.317.60N/AN/A3,041953176,74899,860
2011-02-25$7.18$7.0033.7%9.7%33.7%15.9%39.6%4.8%1.8%501.4K-26.0M-489.3K0.046.64N/AN/A3,082116178,759100,746
2011-02-28$7.16$7.0033.2%9.5%32.5%15.0%33.2%2.7%2.8%529.4K-26.5M-484.6K0.126.07N/AN/A2,431294181,554100,810