BSX Options History — April 2011

In April 2011, BSX traded between $6.98 and $7.49. ATM implied volatility averaged 37.3%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 6.6% (HV 20d: 30.7%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2011-04-04: Highest Volume — 43,655 contracts
  • 2011-04-12: Largest IV drop — 26.2% change
  • 2011-04-14: Highest IV Rank — 56.1%
  • 2011-04-01: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.21$6.98$7.49$7.30$7.49
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV37.3%28.5%52.8%52.8%33.2%
Expected Move10.7%8.2%15.1%15.1%9.5%
HV 20d30.7%25.3%35.9%35.7%25.3%
HV 60d33.1%31.8%33.7%32.7%31.8%
IV Rank31.7%11.5%56.1%52.2%28.6%
IV Percentile34.2%1.6%99.2%99.2%10.3%
Term Structure-1.0%-10.8%2.6%-10.8%-0.4%
VWIV37.6%28.4%52.2%52.2%33.0%
Skew 25d1.3%-4.1%7.5%5.8%6.2%
Skew 10d-1.2%-14.2%12.8%12.8%10.0%
Call IV 25d38.0%26.4%46.4%46.4%26.8%
Put IV 25d39.3%28.3%52.2%52.2%33.0%
Bid-Ask Spread %12.187.2336.597.537.23
Gamma HHI0.270.230.360.230.26
Net GEX220.4K-522.6K675.3K578.2K675.3K
Net DEX-27.7M-44.4M-15.2M-31.6M-44.4M
Net VEX-467.4K-494.4K-445.6K-475.3K-469.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.057.737.730.05
Total Volume8,330.7548943,65517,0854,668
Total OI329,090.6299,356346,343299,356340,814

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$7.30$7.0052.8%15.1%35.7%52.2%52.2%5.8%-10.8%578.2K-31.6M-475.3K7.737.53N/AN/A1,95815,127188,398110,958
2011-04-04$7.23$7.0039.7%11.2%35.8%27.4%38.8%4.2%-1.2%234.3K-26.1M-467.5K4.1910.78N/AN/A8,41635,239188,614118,964
2011-04-05$7.06$7.0037.1%11.3%35.5%22.5%40.2%2.2%-1.4%60.9K-16.5M-466.8K0.8510.76N/AN/A5,5444,727192,608129,800
2011-04-06$7.23$7.0037.8%11.6%35.9%23.7%39.0%7.5%-2.1%167.5K-23.5M-468.5K1.1914.75N/AN/A3,0123,598196,401133,132
2011-04-07$7.42$7.0043.0%11.2%33.9%33.6%38.2%3.3%-2.0%503.7K-34.5M-482.7K0.118.79N/AN/A6,895739197,739132,141
2011-04-08$7.35$7.0041.3%11.4%33.9%30.4%42.6%2.3%-1.5%468.0K-35.3M-494.4K0.3710.66N/AN/A2,276853203,135131,847
2011-04-11$7.22$7.0050.2%13.0%32.9%47.4%41.0%3.1%-5.2%277.7K-30.0M-485.1K0.1519.70N/AN/A13,0701,900203,573132,054
2011-04-12$7.10$7.0037.1%11.8%31.6%22.3%43.1%-0.8%0.3%-30.0K-24.4M-482.6K0.7514.99N/AN/A679509209,310132,956
2011-04-13$6.98$7.0036.4%11.6%31.2%40.3%42.5%-0.9%0.7%-288.4K-15.2M-461.3K0.3016.00N/AN/A5,2231,582209,049133,160
2011-04-14$7.13$7.0040.7%11.7%30.7%56.1%43.0%0.6%0.6%-117.2K-24.2M-471.4K0.3410.02N/AN/A3,8061,286211,399133,450
2011-04-15$7.08$7.0038.3%11.0%30.5%47.2%38.5%-4.0%1.0%-522.6K-23.2M-469.9K0.449.10N/AN/A1,200529213,145133,198
2011-04-18$6.98$7.0037.2%10.7%30.5%43.3%37.8%-2.1%0.6%201.1K-16.2M-446.3K0.579.09N/AN/A2,8241,609195,740115,133
2011-04-19$7.03$7.0034.6%9.9%27.0%33.8%34.6%0.8%2.1%157.4K-17.7M-445.6K0.077.54N/AN/A6,602464197,512115,729
2011-04-20$7.08$7.0036.7%10.5%27.1%41.2%36.8%-4.1%-2.1%384.8K-23.1M-451.2K2.9036.59N/AN/A2,2426,507203,307115,749
2011-04-21$7.16$7.0030.1%8.6%26.9%17.2%29.2%-2.5%-2.3%219.7K-26.9M-459.8K0.519.83N/AN/A1,652841204,125120,184
2011-04-25$7.31$7.0032.5%9.3%27.4%25.9%32.4%2.3%-1.3%436.4K-33.6M-457.9K0.079.21N/AN/A4,334292204,892121,385
2011-04-26$7.27$7.0029.8%8.6%27.3%16.3%29.8%1.7%0.0%288.1K-33.2M-450.9K3.528.35N/AN/A3,02510,640207,724121,555
2011-04-27$7.30$7.0028.5%8.2%27.3%11.5%28.4%-2.6%1.2%74.9K-32.1M-466.1K1.279.20N/AN/A9941,264209,540131,709
2011-04-28$7.43$7.0029.0%8.3%27.6%13.4%31.1%3.7%2.6%637.5K-41.4M-475.6K1.0213.45N/AN/A242247209,993131,690
2011-04-29$7.49$7.0033.2%9.5%25.3%28.6%33.0%6.2%-0.4%675.3K-44.4M-469.6K0.057.23N/AN/A4,426242210,114130,700