BSX Options History — May 2011

In May 2011, BSX traded between $6.57 and $7.79. ATM implied volatility averaged 35.0%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 2.0% (HV 20d: 36.9%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2011-05-10: Highest Volume — 71,177 contracts
  • 2011-05-10: Largest IV spike — 20.2% change
  • 2011-05-11: Highest IV Rank — 60.5%
  • 2011-05-16: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.12$6.57$7.79$7.72$7.18
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV35.0%29.2%41.9%31.8%29.3%
Expected Move10.0%8.4%11.7%9.1%8.4%
HV 20d36.9%24.7%43.8%26.8%42.5%
HV 60d35.3%32.1%38.2%32.1%35.3%
IV Rank35.1%14.1%60.5%23.5%14.5%
IV Percentile24.8%4.0%75.4%8.3%4.8%
Term Structure0.7%-2.6%5.4%2.2%4.0%
VWIV36.6%29.3%44.0%32.1%29.3%
Skew 25d3.5%-3.1%9.9%9.9%2.6%
Skew 10d5.3%-2.9%17.6%17.6%14.8%
Call IV 25d38.4%29.1%48.6%29.1%36.2%
Put IV 25d41.9%35.2%45.5%39.0%38.8%
Bid-Ask Spread %8.096.4310.217.497.02
Gamma HHI0.290.180.400.270.20
Net GEX420.1K-845.8K1.8M1.3M1.1M
Net DEX-19.3M-63.3M16.8M-59.4M-25.1M
Net VEX-471.5K-494.5K-431.6K-476.2K-491.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.044.630.220.33
Total Volume11,927.66792671,17716,4453,641
Total OI359,454.571296,054423,666343,325311,193

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$7.72$7.0031.8%9.1%26.8%23.5%32.1%9.9%2.2%1.3M-59.4M-476.2K0.227.49N/AN/A13,5082,937212,593130,732
2011-05-03$7.79$7.0032.1%9.2%26.5%24.5%33.7%3.8%0.1%1.5M-63.3M-480.3K0.098.78N/AN/A7,261644213,838132,264
2011-05-04$7.74$7.0034.5%9.9%24.7%33.5%44.0%7.7%-1.9%1.6M-63.2M-484.2K3.898.58N/AN/A9843,829220,553132,686
2011-05-05$7.56$7.0033.1%9.5%25.6%28.2%43.2%9.2%-2.3%1.1M-51.8M-484.9K0.779.89N/AN/A1,224939219,308132,917
2011-05-06$7.72$7.0031.5%9.0%25.0%22.4%35.7%2.3%5.4%1.6M-61.3M-476.1K4.6310.21N/AN/A7003,239219,594131,780
2011-05-09$7.71$7.0032.8%9.3%24.7%27.2%32.8%4.0%5.0%1.8M-61.1M-471.9K0.6710.20N/AN/A555371219,580132,524
2011-05-10$7.02$7.0039.4%11.2%41.7%51.4%40.8%2.6%-1.4%-267.9K-14.7M-431.6K1.129.53N/AN/A33,63037,547219,494132,501
2011-05-11$7.02$7.0041.9%11.1%41.3%60.5%39.8%3.4%0.4%-348.2K-11.3M-471.8K0.978.52N/AN/A4,4724,355238,551156,425
2011-05-12$6.91$7.0037.5%10.7%41.3%44.2%41.0%1.6%-0.2%-616.1K-2.4M-455.9K0.796.43N/AN/A11,4549,013237,100152,996
2011-05-13$6.84$7.0038.6%11.1%40.6%48.2%40.4%1.6%-1.3%-724.3K4.8M-468.0K0.918.08N/AN/A3,4383,119247,404160,869
2011-05-16$6.85$7.0040.9%11.7%40.6%56.7%41.7%-3.1%-2.5%-753.4K5.9M-455.7K2.897.08N/AN/A12,62736,496241,208161,140
2011-05-17$6.83$7.0039.8%11.4%40.3%52.7%39.9%1.0%-2.6%-376.7K9.9M-487.3K0.056.94N/AN/A6,470296247,398169,501
2011-05-18$6.81$7.0037.0%10.6%40.2%42.3%37.0%1.6%0.6%-415.1K11.1M-471.5K2.467.82N/AN/A1,0162,498249,957168,432
2011-05-19$6.90$7.0036.4%10.4%40.4%40.2%37.0%1.5%0.9%-845.8K5.1M-494.5K0.397.78N/AN/A5,6402,213248,761171,830
2011-05-20$6.80$7.0035.3%10.1%40.4%36.1%36.5%4.8%0.9%-355.9K16.8M-466.2K0.406.53N/AN/A4,1231,658251,858171,808
2011-05-23$6.57$7.0035.0%10.0%40.9%35.0%35.1%6.3%-0.3%454.4K1.8M-436.5K0.977.02N/AN/A3,5573,452182,550113,504
2011-05-24$6.67$7.0035.7%10.2%41.5%37.8%35.4%4.6%-1.5%532.0K-2.2M-452.8K0.048.83N/AN/A5,467221184,403114,999
2011-05-25$6.91$7.0032.8%9.4%43.8%27.1%32.8%5.6%4.0%734.6K-11.0M-478.1K0.067.57N/AN/A6,141341188,236114,668
2011-05-26$6.95$7.0030.1%8.6%43.3%17.5%30.3%-1.0%3.2%849.0K-13.6M-478.7K0.067.68N/AN/A6,346349190,221113,481
2011-05-27$7.04$7.0029.2%8.4%43.5%14.1%29.3%2.9%2.7%1.0M-19.5M-489.0K0.087.87N/AN/A4,364346195,996113,693
2011-05-31$7.18$7.0029.3%8.4%42.5%14.5%29.3%2.6%4.0%1.1M-25.1M-491.0K0.337.02N/AN/A2,746895197,290113,903