BSX Options History — June 2011

In June 2011, BSX traded between $6.67 and $7.09. ATM implied volatility averaged 34.2%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.2% (HV 20d: 30.9%). Max pain ranged from $4.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2011-06-22: Highest Volume — 11,043 contracts
  • 2011-06-15: Largest IV spike — 17.8% change
  • 2011-06-15: Highest IV Rank — 53.3%
  • 2011-06-15: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.87$6.67$7.09$7.03$6.91
Max Pain$5.45$4.00$7.00$7.00$7.00
ATM IV34.2%29.4%40.0%30.0%29.4%
Expected Move9.9%8.4%11.5%8.6%8.4%
HV 20d30.9%25.5%42.7%42.7%25.8%
HV 60d33.2%32.3%35.5%35.5%32.3%
IV Rank32.1%14.9%53.3%16.9%14.9%
IV Percentile22.3%5.2%65.5%6.7%5.2%
Term Structure2.7%-0.7%5.7%2.3%5.1%
VWIV35.7%29.5%42.9%30.0%29.5%
Skew 25d4.9%-3.7%17.7%7.3%11.3%
Skew 10d6.4%-6.1%28.1%15.0%17.6%
Call IV 25d37.0%26.7%43.3%37.9%26.7%
Put IV 25d41.9%30.5%47.4%45.2%38.0%
Bid-Ask Spread %10.536.4335.678.639.80
Gamma HHI0.200.180.280.210.19
Net GEX844.1K545.1K1.3M1.1M725.1K
Net DEX-12.8M-21.1M-4.1M-21.1M-11.3M
Net VEX-460.6K-483.1K-432.8K-483.1K-444.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.038.860.188.28
Total Volume3,487.72748111,0433,3925,717
Total OI316,612.636298,577322,436311,278322,436

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$7.03$7.0030.0%8.6%42.7%16.9%30.0%7.3%2.3%1.1M-21.1M-483.1K0.188.63N/AN/A2,877515197,577113,701
2011-06-02$6.96$7.0033.8%9.7%42.7%30.6%33.7%-3.7%-0.7%991.5K-18.1M-479.3K0.589.59N/AN/A912531198,674114,134
2011-06-03$6.87$4.0033.1%9.5%42.3%28.1%33.2%2.2%2.8%923.4K-11.3M-451.4K8.8635.67N/AN/A2332,065198,875114,547
2011-06-06$6.85$4.0030.8%10.2%41.2%20.0%39.0%3.9%1.4%950.0K-13.1M-473.8K0.5411.07N/AN/A1,404764198,993116,239
2011-06-07$6.82$4.0030.4%9.8%41.2%18.5%34.2%3.0%2.6%937.5K-11.2M-465.3K0.569.94N/AN/A1,202670199,192117,309
2011-06-08$6.71$4.0034.4%10.3%25.5%33.1%38.0%1.6%1.2%800.7K-6.2M-448.9K0.0612.10N/AN/A3,759235199,485117,035
2011-06-09$6.88$4.0034.4%9.9%27.3%33.0%42.9%2.2%2.2%1.1M-13.5M-467.8K0.356.84N/AN/A1,189412202,252116,934
2011-06-10$6.76$4.0036.2%10.4%27.4%39.4%37.3%1.0%1.1%894.2K-9.9M-456.8K1.078.65N/AN/A584627201,033117,271
2011-06-13$6.67$4.0036.2%10.4%27.6%39.6%40.9%3.9%2.0%772.8K-4.1M-438.2K0.079.74N/AN/A66646201,214117,585
2011-06-14$6.74$4.0033.9%9.7%27.9%31.2%34.7%4.8%3.6%886.7K-5.9M-441.0K1.669.34N/AN/A8771,456201,786117,600
2011-06-15$6.93$4.0040.0%11.5%29.7%53.3%41.3%4.7%1.6%1.3M-17.9M-472.6K0.258.87N/AN/A5,8751,449202,223118,452
2011-06-16$6.83$4.0039.3%11.3%30.1%51.0%39.6%3.4%2.0%1.2M-12.1M-461.4K1.229.50N/AN/A9841,196203,513118,299
2011-06-17$6.79$4.0037.5%10.8%29.8%44.4%37.7%4.6%4.0%588.6K-7.6M-444.5K1.178.51N/AN/A1,4631,706203,720118,108
2011-06-20$6.74$6.0036.5%10.5%29.5%40.6%36.4%4.7%2.2%545.1K-7.5M-432.8K0.169.61N/AN/A8,0301,263185,596112,981
2011-06-21$6.92$7.0034.1%9.8%28.0%31.9%34.1%2.6%3.2%702.7K-15.2M-463.5K1.316.43N/AN/A2,9843,900192,834114,122
2011-06-22$7.06$7.0032.5%9.3%28.4%26.2%33.2%1.8%4.5%739.9K-20.3M-470.2K4.208.04N/AN/A2,1248,919194,359117,498
2011-06-23$7.09$7.0034.1%9.8%25.7%31.7%34.0%10.0%2.6%635.2K-18.4M-481.9K0.619.38N/AN/A440270195,574124,319
2011-06-24$6.89$7.0034.8%10.0%27.7%34.6%34.9%3.9%4.3%619.4K-12.2M-464.7K0.039.83N/AN/A5,372182195,561119,889
2011-06-27$6.87$7.0034.6%9.9%27.3%33.9%34.6%17.7%3.2%715.3K-13.4M-464.8K0.159.69N/AN/A1,531224200,744120,006
2011-06-28$6.98$7.0035.0%10.0%26.9%35.3%35.0%14.3%2.9%786.8K-17.8M-467.9K0.6110.80N/AN/A989607201,431120,151
2011-06-29$6.93$7.0030.6%8.8%26.0%18.9%30.3%3.8%5.7%779.1K-14.4M-458.2K0.059.67N/AN/A45625201,963120,263
2011-06-30$6.91$7.0029.4%8.4%25.8%14.9%29.5%11.3%5.1%725.1K-11.3M-444.5K8.289.80N/AN/A6165,101202,148120,288