BSX Options History — July 2011

In July 2011, BSX traded between $6.71 and $7.28. ATM implied volatility averaged 37.9%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 7.9% (HV 20d: 30.0%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2011-07-28: Highest Volume — 23,289 contracts
  • 2011-07-11: Largest IV spike — 40.2% change
  • 2011-07-12: Highest IV Rank — 74.1%
  • 2011-07-14: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.11$6.71$7.28$7.23$7.16
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV37.9%28.6%45.6%33.1%36.9%
Expected Move11.0%9.5%12.2%9.5%10.6%
HV 20d30.0%26.8%42.9%29.9%42.9%
HV 60d33.3%32.2%37.7%33.2%37.7%
IV Rank45.9%11.8%74.1%28.4%42.0%
IV Percentile51.0%2.0%94.0%16.7%37.7%
Term Structure0.6%-2.5%3.1%2.2%1.7%
VWIV38.7%33.2%42.6%33.2%37.1%
Skew 25d4.9%0.0%36.7%36.7%2.4%
Skew 10d5.4%-7.1%112.9%112.9%1.9%
Call IV 25d40.1%26.6%48.4%26.6%39.3%
Put IV 25d45.0%39.4%63.3%63.3%41.7%
Bid-Ask Spread %8.616.1311.819.448.60
Gamma HHI0.200.180.230.190.23
Net GEX825.9K564.2K1.0M840.1K789.9K
Net DEX-21.9M-31.8M-4.4M-26.9M-24.0M
Net VEX-461.2K-481.4K-427.6K-473.9K-469.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.031.590.600.68
Total Volume6,073.828123,2897,4052,753
Total OI338,063.25327,846352,939327,846352,939

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$7.23$7.0033.1%9.5%29.9%28.4%33.2%36.7%2.2%840.1K-26.9M-473.9K0.609.44N/AN/A4,6302,775202,557125,289
2011-07-05$7.14$7.0030.9%10.6%30.4%20.2%37.1%6.2%0.5%905.9K-24.6M-467.9K0.038.35N/AN/A2,70874205,390125,754
2011-07-06$7.16$7.0036.1%10.8%30.3%39.3%38.1%5.9%0.7%929.2K-25.5M-471.7K1.5911.81N/AN/A3,9036,212207,616125,740
2011-07-07$7.24$7.0031.4%10.0%29.6%22.0%35.3%5.1%3.0%937.9K-29.3M-481.4K0.126.94N/AN/A1,096130209,368131,793
2011-07-08$7.17$7.0028.6%10.2%28.8%11.8%35.9%4.4%2.9%939.7K-24.7M-474.1K1.188.86N/AN/A129152209,092131,769
2011-07-11$7.27$7.0040.1%10.9%28.1%53.7%38.0%3.6%1.5%995.7K-31.1M-474.3K0.406.13N/AN/A1,887759209,044131,809
2011-07-12$7.28$7.0045.6%11.2%27.4%74.1%39.4%3.3%1.3%966.4K-31.8M-478.6K1.2710.70N/AN/A2,5083,178208,949131,769
2011-07-13$7.18$7.0039.4%11.2%28.1%51.1%39.3%2.8%0.0%813.7K-27.1M-474.8K0.429.82N/AN/A3,9341,662209,370134,325
2011-07-14$7.09$7.0042.6%12.2%27.0%62.9%42.6%4.0%-2.5%743.4K-21.2M-468.2K1.0310.70N/AN/A2,4402,525210,019135,674
2011-07-15$7.01$7.0039.6%11.3%26.8%51.9%40.3%3.6%0.9%1.0M-16.2M-460.8K1.087.35N/AN/A4,3974,729208,929136,731
2011-07-18$6.92$7.0041.1%11.8%27.2%57.4%42.1%3.8%-0.7%564.2K-9.2M-444.4K0.448.93N/AN/A2,7041,177200,082129,485
2011-07-19$7.14$7.0039.2%11.3%29.0%50.7%39.6%3.9%0.1%721.3K-19.8M-457.8K0.648.69N/AN/A814517201,189130,110
2011-07-20$7.00$7.0039.0%11.2%28.7%49.9%39.1%1.8%-1.6%648.4K-14.6M-446.3K0.718.61N/AN/A437311201,523130,514
2011-07-21$7.08$7.0037.4%10.7%28.0%43.9%37.5%0.0%1.2%701.1K-17.2M-449.8K0.118.05N/AN/A2,514279201,857130,661
2011-07-22$7.21$7.0038.3%11.0%28.7%47.3%38.4%2.0%1.5%790.4K-23.7M-458.5K0.537.96N/AN/A12,0306,369203,729130,726
2011-07-25$7.12$7.0039.4%11.3%27.1%51.3%40.1%3.0%0.1%900.6K-21.9M-445.1K0.236.19N/AN/A1,879441209,627125,017
2011-07-26$6.90$7.0041.7%12.0%29.5%59.8%42.3%0.6%-2.0%748.6K-12.9M-427.6K0.877.29N/AN/A5,3114,611209,575125,090
2011-07-27$6.71$7.0042.3%12.1%30.5%61.7%42.5%1.8%-1.7%588.0K-4.4M-433.3K0.638.55N/AN/A3,8022,410213,800129,606
2011-07-28$7.28$7.0036.0%10.3%42.4%38.8%36.1%2.7%3.1%977.4K-31.2M-465.8K1.129.19N/AN/A10,98212,307213,544131,204
2011-07-29$7.16$7.0036.9%10.6%42.9%42.0%37.1%2.4%1.7%789.9K-24.0M-469.2K0.688.60N/AN/A1,6421,111214,360138,579