BSX Options History — February 2012

In February 2012, BSX traded between $5.84 and $6.36. ATM implied volatility averaged 36.7%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.8% (HV 20d: 30.0%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2012-02-03: Highest Volume — 27,217 contracts
  • 2012-02-03: Largest IV spike — 40.4% change
  • 2012-02-01: Highest IV Rank — 46.9%
  • 2012-02-01: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.02$5.84$6.36$6.09$6.22
Max Pain$5.60$5.00$6.00$6.00$6.00
ATM IV36.7%31.8%47.5%47.5%34.0%
Expected Move10.4%9.1%13.6%13.6%9.7%
HV 20d30.0%25.4%33.3%25.4%33.3%
HV 60d33.6%32.0%34.6%33.0%32.3%
IV Rank20.4%8.8%46.9%46.9%12.4%
IV Percentile27.8%7.5%75.8%75.8%12.7%
Term Structure1.5%-8.0%3.7%-8.0%2.7%
VWIV37.8%31.8%47.5%47.5%34.0%
Skew 25d-2.0%-13.0%16.5%4.8%-8.0%
Skew 10d-2.8%-20.9%25.1%9.2%-11.3%
Call IV 25d41.3%29.5%48.2%48.2%41.7%
Put IV 25d39.3%28.3%53.0%53.0%33.7%
Bid-Ask Spread %8.884.4930.4830.486.18
Gamma HHI0.430.230.690.230.31
Net GEX696.0K179.8K1.7M227.3K466.4K
Net DEX-9.7M-22.0M-295.7K-5.6M-19.2M
Net VEX-161.8K-216.0K-122.5K-135.1K-216.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.032.660.112.22
Total Volume9,759.952,33927,2179,1488,089
Total OI156,391.65131,596185,282131,880168,734

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$6.09$6.0047.5%13.6%25.4%46.9%47.5%4.8%-8.0%227.3K-5.6M-135.1K0.1130.48N/AN/A8,21793173,71558,165
2012-02-02$5.84$6.0031.8%9.1%30.3%13.6%31.8%16.5%2.1%494.1K-295.7K-122.5K0.1714.58N/AN/A11,4881,92277,78757,576
2012-02-03$6.03$5.0044.6%11.8%31.8%40.7%43.6%-0.9%-0.6%457.4K-7.7M-138.3K0.076.55N/AN/A25,4381,77983,79158,376
2012-02-06$6.02$5.0044.2%11.4%31.5%39.9%41.7%-0.8%-0.9%689.6K-9.5M-140.4K0.058.55N/AN/A2,49511498,18559,521
2012-02-07$5.95$5.0037.1%10.6%32.1%25.0%45.5%-3.1%0.9%823.3K-7.3M-133.7K0.037.93N/AN/A8,61123599,62959,540
2012-02-08$5.95$5.0035.6%10.0%30.5%21.7%35.4%-1.3%2.0%728.9K-5.5M-130.5K0.374.49N/AN/A1,70663395,96959,711
2012-02-09$5.95$5.0034.8%10.0%30.5%20.0%39.4%-2.1%3.0%776.9K-5.2M-131.8K0.086.99N/AN/A11,88691095,92560,138
2012-02-10$5.93$5.0036.9%10.6%30.6%19.1%37.0%1.6%0.7%772.7K-7.4M-155.6K2.664.70N/AN/A8462,248106,71260,582
2012-02-13$5.94$5.0036.9%10.6%30.3%18.9%38.4%-1.3%1.1%994.1K-7.0M-152.9K0.226.80N/AN/A7,1641,544107,10161,828
2012-02-14$5.92$5.0036.2%10.4%30.4%17.5%36.2%-1.4%1.9%1.0M-6.1M-159.8K1.369.35N/AN/A1,7822,423110,40162,756
2012-02-15$5.89$6.0035.3%10.1%28.3%15.3%36.1%1.6%2.9%1.0M-5.1M-161.1K1.988.31N/AN/A1,1432,258111,35364,581
2012-02-16$5.97$6.0036.8%10.6%27.2%18.8%37.0%1.4%2.8%1.7M-7.9M-163.6K0.218.19N/AN/A10,4862,222111,56665,579
2012-02-17$6.09$6.0037.2%10.7%27.4%19.7%43.2%-13.0%1.8%1.6M-17.9M-168.6K0.215.62N/AN/A12,9012,683118,24367,039
2012-02-21$5.98$6.0034.3%9.8%28.2%13.2%34.3%-13.0%2.7%243.7K-8.9M-164.9K0.2110.71N/AN/A8,6331,82885,75845,838
2012-02-22$5.92$6.0032.4%9.3%28.4%8.8%32.4%-11.0%3.7%204.9K-7.3M-163.8K0.9810.75N/AN/A1,7941,75089,28447,311
2012-02-23$5.90$6.0033.0%9.5%26.6%10.1%33.0%0.7%3.4%179.8K-7.0M-163.8K0.085.39N/AN/A17,3261,42988,77548,243
2012-02-24$6.25$6.0033.7%9.7%32.2%11.8%33.8%-4.0%3.6%445.3K-18.2M-210.5K0.0810.39N/AN/A7,123568105,34548,959
2012-02-27$6.28$6.0036.7%10.5%32.1%18.6%36.7%-3.1%0.9%497.0K-19.1M-210.9K0.466.49N/AN/A3,6101,673106,98549,004
2012-02-28$6.36$6.0035.8%10.3%32.2%16.6%38.9%-3.2%3.2%548.0K-22.0M-211.2K0.395.08N/AN/A12,4684,843108,31649,512
2012-02-29$6.22$6.0034.0%9.7%33.3%12.4%34.0%-8.0%2.7%466.4K-19.2M-216.0K2.226.18N/AN/A2,5125,577115,71653,018