BSX Options History — January 2012

In January 2012, BSX traded between $5.30 and $6.13. ATM implied volatility averaged 43.4%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 19.6% (HV 20d: 23.8%). Max pain ranged from $6.00 to $7.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2012-01-25: Highest Volume — 18,581 contracts
  • 2012-01-10: Largest IV spike — 24.7% change
  • 2012-01-10: Highest IV Rank — 45.5%
  • 2012-01-13: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.69$5.30$6.13$5.36$5.96
Max Pain$6.38$6.00$7.50$7.50$6.00
ATM IV43.4%37.6%46.9%45.1%43.8%
Expected Move12.6%11.5%13.2%12.9%12.5%
HV 20d23.8%18.6%27.9%27.9%24.8%
HV 60d35.7%33.4%36.8%36.2%33.4%
IV Rank38.2%25.9%45.5%41.8%39.0%
IV Percentile65.3%38.5%75.0%72.2%67.5%
Term Structure-2.6%-5.1%4.0%1.4%-4.8%
VWIV44.2%39.8%47.7%45.2%44.1%
Skew 25d2.4%-2.9%6.9%0.7%3.6%
Skew 10d4.7%-10.1%37.3%1.0%5.7%
Call IV 25d45.7%41.0%48.4%44.5%47.5%
Put IV 25d48.1%40.0%52.6%45.1%51.1%
Bid-Ask Spread %10.763.9226.5015.519.99
Gamma HHI0.380.230.760.500.27
Net GEX-101.0K-1.6M253.9K-221.2K253.9K
Net DEX17.1M-6.9M32.4M30.8M-2.9M
Net VEX-104.4K-127.4K-79.7K-81.3K-123.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.1110.240.460.74
Total Volume6,138.71,32218,5811,3224,876
Total OI242,034.5104,105321,678294,002126,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$5.36$7.5045.1%12.9%27.9%41.8%45.2%0.7%1.4%-221.2K30.8M-81.3K0.4615.51N/AN/A906416185,205108,797
2012-01-04$5.31$7.5045.4%13.0%27.1%42.5%45.5%1.0%-0.4%-231.2K32.0M-79.7K10.2426.50N/AN/A3223,296185,172108,905
2012-01-05$5.34$7.5040.1%11.5%27.2%31.1%39.8%-2.9%4.0%-249.7K32.4M-80.5K1.0922.38N/AN/A693755185,434111,436
2012-01-06$5.30$7.0039.8%12.3%27.3%30.6%43.1%4.9%0.9%-266.6K32.3M-81.5K0.193.92N/AN/A5,6541,068185,416111,623
2012-01-09$5.35$7.0037.6%12.6%21.2%25.9%42.1%6.9%0.4%-228.1K31.3M-83.2K0.3111.01N/AN/A9,0102,809190,105112,231
2012-01-10$5.53$7.0046.9%13.0%24.2%45.5%45.8%-0.3%-4.9%-245.6K29.5M-100.2K0.1211.07N/AN/A13,0041,537189,473113,884
2012-01-11$5.54$6.0045.2%13.0%23.8%41.9%46.0%2.1%-3.9%-146.2K27.8M-104.8K0.176.32N/AN/A6,4241,081199,062114,670
2012-01-12$5.56$6.0045.7%13.1%23.8%43.0%47.0%0.2%-4.5%-90.4K26.9M-107.9K0.119.54N/AN/A2,660300203,027115,220
2012-01-13$5.52$6.0045.9%13.2%18.8%43.5%47.4%1.1%-4.5%-73.1K27.9M-103.7K0.257.79N/AN/A3,143800203,826115,368
2012-01-17$5.53$6.0044.5%12.7%18.6%40.5%45.3%0.9%-2.7%-73.0K28.0M-100.4K0.345.26N/AN/A4,0931,402203,922115,569
2012-01-18$5.72$6.0043.4%12.5%21.4%38.3%47.7%0.1%-2.7%32.1K25.6M-104.8K0.585.90N/AN/A3,2231,868205,130115,600
2012-01-19$5.87$6.0041.3%11.8%21.8%33.7%41.5%0.5%-1.9%-131.7K23.4M-107.7K0.3114.12N/AN/A4,4001,385204,290116,202
2012-01-20$5.98$6.0045.6%13.1%22.1%42.8%45.7%3.6%-5.1%-1.6M21.1M-114.3K1.365.94N/AN/A6,1808,385205,154116,524
2012-01-23$5.97$6.0043.5%12.5%22.3%38.4%43.5%5.3%-4.4%166.7K-4.2M-110.9K0.226.38N/AN/A3,58477460,39943,706
2012-01-24$5.97$6.0043.1%12.4%22.4%37.5%43.4%2.9%-3.3%195.1K-4.2M-109.3K0.3110.29N/AN/A3,13098562,51844,079
2012-01-25$6.13$6.0043.9%12.6%23.3%39.2%43.9%5.6%-4.7%215.3K-6.9M-114.9K1.796.61N/AN/A6,67111,91063,72844,462
2012-01-26$5.96$6.0041.6%11.9%26.5%34.3%41.6%3.8%-2.7%188.4K-2.3M-127.4K0.4512.15N/AN/A1,73878367,86254,892
2012-01-27$5.93$6.0041.6%11.9%26.0%34.5%41.6%1.9%-3.4%189.1K-2.3M-126.1K0.3912.56N/AN/A1,28149669,72555,329
2012-01-30$5.99$6.0043.9%12.6%24.5%39.3%44.1%6.4%-4.3%247.2K-3.5M-126.6K0.2212.02N/AN/A1,41931370,46555,460
2012-01-31$5.96$6.0043.8%12.5%24.8%39.0%44.1%3.6%-4.8%253.9K-2.9M-123.7K0.749.99N/AN/A2,8052,07171,20255,618