BSX Options History — October 2011

In October 2011, BSX traded between $5.39 and $5.89. ATM implied volatility averaged 50.1%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 8.1% (HV 20d: 42.0%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2011-10-07: Highest Volume — 15,385 contracts
  • 2011-10-24: Largest IV drop — 22.9% change
  • 2011-10-03: Highest IV Rank — 80.4%
  • 2011-10-03: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.61$5.39$5.89$5.53$5.89
Max Pain$6.81$6.00$7.00$6.00$7.00
ATM IV50.1%36.2%63.3%63.3%38.9%
Expected Move14.3%10.4%18.2%18.2%11.1%
HV 20d42.0%30.2%49.1%48.4%30.2%
HV 60d52.2%49.1%53.6%53.4%49.1%
IV Rank52.5%23.0%80.4%80.4%28.6%
IV Percentile81.0%28.6%99.2%99.2%52.8%
Term Structure-1.4%-4.8%2.7%-4.8%1.7%
VWIV50.4%36.2%64.3%64.3%38.7%
Skew 25d8.6%3.2%18.9%8.5%18.9%
Skew 10d18.1%3.2%30.5%3.2%30.5%
Call IV 25d48.0%31.8%64.0%64.0%31.8%
Put IV 25d56.6%42.7%72.5%72.5%50.7%
Bid-Ask Spread %7.765.0814.2414.247.27
Gamma HHI0.290.250.320.250.32
Net GEX-37.5K-190.6K97.6K37.8K-450
Net DEX31.9M25.9M39.8M27.1M28.5M
Net VEX-210.9K-255.7K-167.9K-255.7K-194.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.032.801.020.64
Total Volume5,571.47629615,3852,2292,557
Total OI346,630.095334,829363,636339,566344,946

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$5.53$6.0063.3%18.2%48.4%80.4%64.3%8.5%-4.8%37.8K27.1M-255.7K1.0214.24N/AN/A1,1041,125209,410130,156
2011-10-04$5.63$6.0059.9%17.2%49.1%73.1%61.6%10.0%-3.3%40.2K25.9M-255.5K0.418.02N/AN/A797328209,361130,417
2011-10-05$5.69$6.0057.1%16.4%47.8%67.2%63.2%9.7%-1.9%20.1K26.7M-252.7K0.437.82N/AN/A20789209,198130,477
2011-10-06$5.64$6.0053.6%15.4%47.8%59.9%57.5%9.3%-1.8%-41.0K29.4M-233.2K0.167.28N/AN/A4,965794209,134130,464
2011-10-07$5.62$7.0058.3%15.7%45.5%69.8%54.4%8.0%-3.4%20.1K26.0M-250.4K0.119.74N/AN/A13,8041,581212,183130,883
2011-10-10$5.70$7.0055.5%15.7%46.0%63.9%54.0%8.4%-3.9%11.5K26.9M-245.9K0.275.90N/AN/A691185213,097132,357
2011-10-11$5.63$7.0056.4%15.2%45.9%65.7%58.2%7.5%-2.2%-42.9K30.3M-229.4K0.126.55N/AN/A1,535181213,028132,462
2011-10-12$5.65$7.0050.8%14.3%43.9%53.9%49.7%7.3%-1.9%-85.7K32.2M-214.9K0.127.22N/AN/A83399212,808132,522
2011-10-13$5.62$7.0048.8%14.0%43.0%49.5%49.2%10.0%-2.3%-95.2K33.7M-202.4K0.486.37N/AN/A940451212,833132,456
2011-10-14$5.69$7.0046.1%13.2%43.6%43.9%48.8%9.7%-0.0%-122.5K33.5M-207.6K0.0310.48N/AN/A12,312404212,923132,284
2011-10-17$5.55$7.0050.3%14.4%43.0%52.9%53.9%3.2%-3.2%-51.5K33.8M-200.5K0.186.36N/AN/A9,6861,756224,051132,078
2011-10-18$5.66$7.0050.5%14.5%43.9%53.2%53.4%4.3%-2.3%97.6K29.9M-213.8K1.418.93N/AN/A3,0674,316223,721133,325
2011-10-19$5.64$7.0050.9%14.6%40.6%54.2%53.2%6.0%-1.8%83.9K30.0M-214.5K0.158.21N/AN/A4,888728225,341136,923
2011-10-20$5.39$7.0053.9%15.4%39.3%60.4%50.7%9.1%-2.8%-84.3K39.3M-177.7K0.408.04N/AN/A4,3951,756226,747136,889
2011-10-21$5.39$7.0050.1%14.4%38.0%52.4%44.1%7.8%-0.3%-90.7K39.8M-176.0K2.786.92N/AN/A2,9998,352226,255137,223
2011-10-24$5.51$7.0038.6%11.1%37.3%28.1%40.0%8.8%2.7%-190.6K38.8M-171.5K2.807.47N/AN/A1,5104,223206,462132,953
2011-10-25$5.42$7.0047.3%13.6%35.8%46.5%43.5%4.5%1.4%-107.4K37.4M-167.9K1.365.83N/AN/A5,3737,292206,347128,482
2011-10-26$5.46$7.0048.6%13.9%36.0%49.2%42.5%8.2%-1.9%-97.7K36.5M-179.4K0.445.08N/AN/A709312211,289130,660
2011-10-27$5.64$7.0037.7%10.8%38.4%26.0%40.5%11.2%0.8%-81.9K34.5M-186.4K0.136.83N/AN/A3,175426211,732131,647
2011-10-28$5.81$7.0036.2%10.4%38.7%23.0%36.2%10.7%0.9%-6.8K30.0M-198.3K0.318.44N/AN/A5,3831,673213,560130,148
2011-10-31$5.89$7.0038.9%11.1%30.2%28.6%38.7%18.9%1.7%-45028.5M-194.9K0.647.27N/AN/A1,563994213,792131,154