BSX Options History — November 2011

In November 2011, BSX traded between $5.27 and $5.90. ATM implied volatility averaged 43.9%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 6.8% (HV 20d: 37.2%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-11-18: Highest Volume — 7,496 contracts
  • 2011-11-17: Largest IV spike — 18.3% change
  • 2011-11-28: Highest IV Rank — 57.9%
  • 2011-11-28: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.63$5.27$5.90$5.58$5.90
Max Pain$5.62$5.00$7.00$7.00$6.00
ATM IV43.9%36.1%52.7%42.5%38.8%
Expected Move12.8%11.0%15.1%12.2%11.1%
HV 20d37.2%34.6%40.0%35.8%36.8%
HV 60d41.2%38.7%47.7%47.7%40.7%
IV Rank39.3%22.7%57.9%36.4%28.5%
IV Percentile68.8%27.4%88.9%74.6%51.2%
Term Structure-0.1%-3.5%2.3%-0.0%0.9%
VWIV45.4%39.0%51.1%51.1%39.0%
Skew 25d9.7%-1.2%18.4%10.4%17.9%
Skew 10d19.0%-1.8%31.5%24.6%28.3%
Call IV 25d41.3%29.8%51.5%42.8%33.6%
Put IV 25d51.0%47.6%56.6%53.3%51.5%
Bid-Ask Spread %7.034.719.547.268.11
Gamma HHI0.370.310.460.310.36
Net GEX-27.8K-159.8K156.3K-38.4K-39.5K
Net DEX30.5M23.7M36.9M32.8M23.7M
Net VEX-165.0K-203.5K-130.0K-183.4K-132.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.008.350.370.85
Total Volume2,763.0954617,4962,1176,591
Total OI331,339.048293,096352,934344,618297,818

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$5.58$7.0042.5%12.2%35.8%36.4%51.1%10.4%-0.0%-38.4K32.8M-183.4K0.377.26N/AN/A1,541576213,734130,884
2011-11-02$5.69$7.0042.0%12.1%36.3%35.3%42.1%11.8%0.5%-22.9K31.2M-186.4K0.057.18N/AN/A92444214,159130,880
2011-11-03$5.87$7.0038.3%11.0%37.8%27.3%39.7%14.3%2.3%35.4K27.9M-203.5K0.538.67N/AN/A1,597845213,990130,899
2011-11-04$5.77$5.0037.2%11.7%38.3%25.1%40.9%7.3%0.4%-19.9K30.8M-190.7K0.007.53N/AN/A2,6355214,185131,369
2011-11-07$5.79$5.0037.9%11.6%38.1%26.5%49.3%7.8%0.9%17.0K30.5M-183.0K0.227.08N/AN/A683147216,445131,374
2011-11-08$5.84$5.0036.1%11.7%37.8%22.7%40.8%18.4%0.1%22.5K29.4M-189.8K0.566.42N/AN/A1,239696216,470131,303
2011-11-09$5.76$5.0039.1%12.5%38.2%29.0%43.8%7.9%-0.4%11.7K29.9M-189.8K0.139.54N/AN/A5,277697216,431131,214
2011-11-10$5.86$5.0042.2%12.1%38.6%35.6%42.4%8.6%0.3%122.3K27.9M-191.7K0.237.23N/AN/A2,433553219,776131,404
2011-11-11$5.90$5.0040.8%11.7%38.4%32.8%41.0%9.0%1.1%156.3K26.9M-191.5K0.224.71N/AN/A1,845408220,995131,634
2011-11-14$5.84$5.0043.0%12.3%37.4%37.4%43.3%17.3%-0.7%19.9K32.5M-159.9K1.486.32N/AN/A7781,148220,872131,945
2011-11-15$5.82$5.0041.5%11.9%36.9%34.3%42.5%16.4%1.6%18.5K32.8M-167.4K0.176.16N/AN/A4,179708220,662132,272
2011-11-16$5.58$5.0043.1%12.3%40.0%37.5%43.2%11.4%0.3%-5.4K34.3M-168.1K0.366.15N/AN/A1,611577218,764132,449
2011-11-17$5.46$5.0051.0%14.6%37.3%54.2%49.6%6.0%-1.0%-4.7K36.9M-157.7K1.137.41N/AN/A1,0431,174219,206132,242
2011-11-18$5.42$5.0052.4%15.0%37.4%57.2%50.7%11.3%-3.1%-25.2K36.4M-149.9K8.356.69N/AN/A8026,694219,719130,768
2011-11-21$5.30$6.0049.6%14.2%37.3%51.4%49.3%10.3%0.9%-152.2K30.4M-135.7K0.507.84N/AN/A1,164582178,748114,348
2011-11-22$5.31$6.0048.5%13.9%36.9%49.1%47.8%3.5%-0.1%-153.6K30.3M-138.4K0.416.90N/AN/A1,574648179,397114,706
2011-11-23$5.32$6.0051.1%14.7%36.8%54.5%51.0%-1.2%-0.0%-122.3K28.5M-146.3K0.108.37N/AN/A3,937384180,120114,735
2011-11-25$5.27$6.0051.3%14.7%34.6%54.8%51.1%0.6%-1.1%-159.8K30.6M-130.0K2.555.80N/AN/A130331182,350114,760
2011-11-28$5.43$6.0052.7%15.1%34.7%57.9%48.4%5.2%-3.5%-118.9K28.6M-139.0K0.316.92N/AN/A764240182,397114,896
2011-11-29$5.55$6.0043.6%12.5%35.3%38.6%46.9%9.9%-1.7%-124.5K28.3M-131.5K0.195.27N/AN/A691130182,766115,034
2011-11-30$5.90$6.0038.8%11.1%36.8%28.5%39.0%17.9%0.9%-39.5K23.7M-132.2K0.858.11N/AN/A3,5643,027183,083114,735