BSX Options History — September 2011

In September 2011, BSX traded between $5.62 and $6.72. ATM implied volatility averaged 51.8%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 5.1% (HV 20d: 46.7%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2011-09-15: Highest Volume — 10,733 contracts
  • 2011-09-02: Largest IV spike — 37.1% change
  • 2011-09-12: Highest IV Rank — 80.1%
  • 2011-09-30: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.22$5.62$6.72$6.72$5.91
Max Pain$6.24$6.00$7.00$7.00$6.00
ATM IV51.8%37.3%63.2%37.5%59.7%
Expected Move14.7%10.7%17.1%10.7%17.1%
HV 20d46.7%37.1%63.9%61.8%45.5%
HV 60d50.1%48.0%52.2%48.0%51.8%
IV Rank56.0%25.2%80.1%25.6%72.7%
IV Percentile89.8%42.9%99.2%45.6%98.8%
Term Structure-0.6%-2.7%3.6%3.6%-2.7%
VWIV50.4%39.7%59.6%39.7%59.1%
Skew 25d11.6%8.6%17.1%8.8%9.4%
Skew 10d20.8%2.7%39.5%6.5%16.7%
Call IV 25d46.6%39.5%59.2%40.2%59.2%
Put IV 25d58.2%49.0%68.6%49.0%68.6%
Bid-Ask Spread %10.306.6515.317.908.91
Gamma HHI0.250.230.260.250.24
Net GEX331.7K76.8K629.7K629.7K161.2K
Net DEX9.1M-9.6M26.0M-9.6M16.0M
Net VEX-344.3K-412.8K-251.5K-412.8K-303.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.058.080.120.37
Total Volume4,112.09566710,7333,0176,330
Total OI340,108.476327,289355,689339,995337,157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$6.72$7.0037.5%10.7%61.8%25.6%39.7%8.8%3.6%629.7K-9.6M-412.8K0.127.90N/AN/A2,703314212,147127,848
2011-09-02$6.42$7.0051.4%14.7%63.9%55.0%51.5%8.6%-0.2%435.4K717.7K-387.5K3.608.02N/AN/A1,5255,496211,130128,029
2011-09-06$6.31$6.0057.7%14.9%57.3%68.4%47.1%11.0%-0.4%363.8K5.6M-376.3K0.1211.11N/AN/A8,2301,006211,431132,669
2011-09-07$6.49$6.0054.5%14.8%54.8%61.7%44.5%10.0%-0.8%537.1K962.3K-395.9K0.246.65N/AN/A1,254306214,499132,726
2011-09-08$6.49$6.0055.0%14.6%47.9%62.7%47.6%9.9%-0.7%531.7K1.4M-391.5K0.488.30N/AN/A451216214,137132,932
2011-09-09$6.20$6.0057.3%15.7%44.1%67.5%50.7%12.1%-2.4%344.9K9.1M-363.8K0.2611.59N/AN/A868222214,183132,974
2011-09-12$6.22$6.0063.2%16.0%43.9%80.1%54.0%12.7%-1.4%343.1K9.5M-357.8K0.229.59N/AN/A845185214,348133,166
2011-09-13$6.26$6.0058.1%15.3%43.4%69.2%48.1%11.7%-1.4%335.1K9.9M-354.3K8.089.17N/AN/A9897,990214,246133,215
2011-09-14$6.46$6.0037.3%15.3%44.5%25.2%50.6%17.1%-1.3%415.7K2.9M-379.3K2.2214.11N/AN/A1,7293,839214,323138,381
2011-09-15$6.57$6.0043.1%12.4%44.7%37.5%44.7%9.7%1.2%511.0K-1.7M-386.9K1.0010.60N/AN/A5,3795,354215,456136,430
2011-09-16$6.53$7.0042.4%12.2%37.1%36.1%44.0%8.8%-0.1%503.7K2.0M-385.9K0.059.70N/AN/A2,02396218,506137,183
2011-09-19$6.31$7.0050.6%14.5%39.4%53.4%49.9%11.8%0.3%361.8K6.5M-344.0K0.3710.35N/AN/A1,691620201,824125,465
2011-09-20$6.23$7.0049.4%14.2%39.6%50.9%44.0%10.1%0.5%313.9K10.0M-328.5K0.609.60N/AN/A2,4561,469202,391125,805
2011-09-21$5.93$6.0050.3%14.4%40.6%52.9%51.8%11.3%0.4%188.9K17.9M-303.1K1.3215.31N/AN/A8801,165202,838125,526
2011-09-22$5.62$6.0055.3%15.9%44.4%63.4%58.4%11.0%-1.4%76.8K26.0M-251.5K0.2313.77N/AN/A4,9401,134203,048125,983
2011-09-23$5.76$6.0054.3%15.6%45.6%61.3%59.6%12.4%-1.5%136.4K22.1M-281.9K0.659.92N/AN/A1,238800205,256125,775
2011-09-26$5.93$6.0053.4%15.3%47.1%59.4%53.6%13.7%-0.7%202.1K17.2M-299.3K3.698.97N/AN/A9113,358205,439126,464
2011-09-27$6.09$6.0051.5%14.8%45.5%55.5%51.3%15.7%-0.8%201.0K14.9M-304.1K1.0210.83N/AN/A1,6391,673205,824129,547
2011-09-28$6.09$6.0052.7%15.1%45.5%57.8%53.8%13.8%-0.9%178.3K16.1M-303.0K0.649.14N/AN/A618394206,094130,645
2011-09-29$6.10$6.0053.7%15.4%44.6%60.0%53.7%14.2%-2.2%193.6K13.7M-318.7K0.0912.73N/AN/A3,671347206,365130,873
2011-09-30$5.91$6.0059.7%17.1%45.5%72.7%59.1%9.4%-2.7%161.2K16.0M-303.7K0.378.91N/AN/A4,6291,701206,268130,889