BSX Options History — April 2012

In April 2012, BSX traded between $5.51 and $6.27. ATM implied volatility averaged 36.6%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 11.1% (HV 20d: 25.5%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2012-04-27: Highest Volume — 25,238 contracts
  • 2012-04-10: Largest IV spike — 30.1% change
  • 2012-04-10: Highest IV Rank — 45.9%
  • 2012-04-16: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.88$5.51$6.27$5.97$6.26
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV36.6%31.1%48.8%33.9%32.4%
Expected Move10.3%8.9%12.7%9.7%9.3%
HV 20d25.5%19.6%32.3%25.2%31.3%
HV 60d29.3%28.3%30.7%28.9%29.2%
IV Rank18.3%5.9%45.9%12.1%8.8%
IV Percentile30.6%4.8%79.0%15.9%9.1%
Term Structure0.5%-6.4%3.8%2.4%1.7%
VWIV37.1%31.6%47.0%36.5%32.4%
Skew 25d-4.8%-13.8%0.8%-5.3%-9.1%
Skew 10d-10.1%-22.5%3.4%-8.5%-12.0%
Call IV 25d44.5%40.2%50.3%47.0%41.6%
Put IV 25d39.7%28.3%46.0%41.7%32.4%
Bid-Ask Spread %7.575.1810.009.497.59
Gamma HHI0.320.300.400.300.33
Net GEX365.3K196.6K718.9K388.1K582.0K
Net DEX-11.3M-25.5M221.7K-15.0M-22.4M
Net VEX-228.1K-250.2K-201.2K-250.2K-214.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.041.840.910.33
Total Volume4,757.934525,2381,3271,657
Total OI215,347.55192,345230,204216,580194,945

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$5.97$6.0033.9%9.7%25.2%12.1%36.5%-5.3%2.4%388.1K-15.0M-250.2K0.919.49N/AN/A696631151,46065,120
2012-04-03$5.97$6.0032.9%9.4%23.4%9.9%32.9%-4.5%2.5%368.7K-13.9M-247.0K0.157.75N/AN/A2,904440151,35965,267
2012-04-04$5.89$6.0033.1%9.5%24.0%10.3%33.1%-2.7%3.8%326.9K-11.9M-247.1K0.237.02N/AN/A1,630367152,87065,355
2012-04-05$5.90$6.0032.6%9.3%20.7%9.2%32.6%-11.7%3.4%317.4K-10.5M-238.1K0.217.85N/AN/A28560153,90865,509
2012-04-09$5.84$6.0037.5%10.9%20.9%20.3%38.6%-2.9%-0.8%292.0K-8.9M-229.0K1.125.18N/AN/A646723154,01065,518
2012-04-10$5.74$6.0048.8%11.6%20.9%45.9%43.8%-3.6%-1.4%248.6K-6.7M-226.0K0.446.50N/AN/A3,2571,418154,07365,897
2012-04-11$5.74$6.0047.2%11.3%19.6%42.4%40.7%-3.4%-0.7%304.1K-6.5M-226.8K0.389.39N/AN/A2,018757154,39465,824
2012-04-12$5.82$6.0038.3%11.0%19.9%22.2%38.5%-1.6%0.2%299.2K-8.9M-226.5K0.348.99N/AN/A1,781600155,33566,026
2012-04-13$5.62$6.0042.8%12.3%21.8%32.3%45.2%-6.3%-4.0%256.6K-3.7M-220.4K0.3110.00N/AN/A1,170366155,81066,202
2012-04-16$5.51$6.0044.4%12.7%20.8%36.1%44.5%-4.1%-6.4%196.6K221.7K-201.2K0.306.30N/AN/A4,5791,370156,08666,464
2012-04-17$5.58$6.0039.6%11.4%21.5%25.3%41.0%0.8%-2.6%197.5K-621.3K-202.8K0.295.33N/AN/A3,010870158,54666,844
2012-04-18$5.54$6.0042.0%12.0%21.5%30.6%47.0%-4.3%-3.0%279.6K-1.1M-202.6K1.848.30N/AN/A1,5572,864159,59366,608
2012-04-19$5.85$6.0035.8%10.3%29.9%16.5%37.9%-2.1%1.7%351.4K-8.4M-231.2K0.208.47N/AN/A5,006991160,21668,780
2012-04-20$5.94$6.0032.5%9.3%30.5%9.0%32.6%-2.6%3.8%391.4K-9.2M-228.4K0.727.06N/AN/A2,1491,557161,19369,011
2012-04-23$5.86$6.0031.7%9.1%30.8%7.2%31.6%-3.3%2.1%202.1K-10.8M-215.7K0.207.16N/AN/A4,316842135,87456,471
2012-04-24$6.05$6.0031.3%9.0%32.3%6.2%35.3%-3.9%2.1%357.3K-16.5M-229.5K0.115.34N/AN/A12,2261,369138,69256,612
2012-04-25$6.15$6.0031.2%8.9%32.3%6.1%32.3%-13.8%1.9%591.0K-21.9M-238.0K0.368.99N/AN/A2,128756148,28857,283
2012-04-26$6.18$6.0031.1%8.9%31.2%5.9%32.0%-3.6%2.5%636.9K-23.4M-244.9K0.209.04N/AN/A2,438486148,82057,175
2012-04-27$6.27$6.0032.6%9.3%31.4%9.1%32.9%-8.8%1.8%718.9K-25.5M-241.6K0.045.73N/AN/A24,2041,034148,29257,221
2012-04-30$6.26$6.0032.4%9.3%31.3%8.8%32.4%-9.1%1.7%582.0K-22.4M-214.5K0.337.59N/AN/A1,249408137,10057,845