BSX Options History — May 2012

In May 2012, BSX traded between $5.74 and $6.31. ATM implied volatility averaged 35.0%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 10.2% (HV 20d: 24.8%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2012-05-18: Highest Volume — 12,302 contracts
  • 2012-05-21: Largest IV drop — 10.3% change
  • 2012-05-18: Highest IV Rank — 25.2%
  • 2012-05-18: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.08$5.74$6.31$6.26$5.74
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV35.0%30.9%39.7%32.6%38.9%
Expected Move10.1%8.9%11.4%9.3%11.2%
HV 20d24.8%16.1%31.4%31.3%17.7%
HV 60d27.7%24.9%29.1%28.5%24.9%
IV Rank14.7%5.3%25.2%9.2%23.4%
IV Percentile25.9%3.6%52.4%11.5%48.0%
Term Structure-0.0%-3.4%2.4%0.7%-3.4%
VWIV35.6%30.9%39.9%32.7%38.8%
Skew 25d1.9%-11.8%16.4%-9.7%-5.1%
Skew 10d6.3%-15.5%26.5%-12.8%-3.1%
Call IV 25d37.8%27.7%44.5%42.3%37.1%
Put IV 25d39.7%30.9%47.5%32.6%32.0%
Bid-Ask Spread %10.635.9328.125.938.57
Gamma HHI0.340.300.470.340.34
Net GEX278.7K-459.7K587.3K587.3K245.1K
Net DEX-15.3M-23.8M-5.6M-22.5M-5.6M
Net VEX-189.9K-213.1K-166.8K-210.9K-167.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.115.950.560.46
Total Volume3,803.63681212,3024,2491,241
Total OI180,591.682134,927205,188193,943149,335

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$6.26$6.0032.6%9.3%31.3%9.2%32.7%-9.7%0.7%587.3K-22.5M-210.9K0.565.93N/AN/A2,7161,533136,02857,915
2012-05-02$6.25$6.0031.0%8.9%31.3%5.6%31.2%-11.8%1.4%550.2K-22.1M-213.1K0.526.49N/AN/A1,457764136,20358,891
2012-05-03$6.22$6.0030.9%8.9%30.9%5.3%30.9%-11.0%1.9%499.4K-20.8M-202.3K5.955.99N/AN/A9215,479137,10058,929
2012-05-04$6.19$6.0031.4%9.4%31.0%6.4%32.9%0.8%2.4%368.2K-18.2M-205.2K1.3213.12N/AN/A9371,240137,30164,073
2012-05-07$6.31$6.0033.8%10.5%31.2%11.8%36.4%3.8%-0.8%494.3K-23.7M-209.5K1.2510.25N/AN/A4,4945,639138,00364,960
2012-05-08$6.22$6.0034.3%10.1%30.9%13.0%35.5%4.1%0.1%353.6K-19.6M-201.0K0.649.48N/AN/A494318136,78164,939
2012-05-09$6.17$6.0033.9%10.3%31.2%12.1%36.1%2.0%-0.1%273.3K-17.8M-199.8K0.549.02N/AN/A688372136,92764,876
2012-05-10$6.28$6.0035.1%10.1%31.4%14.8%36.9%3.2%0.3%338.7K-22.1M-203.6K0.2111.67N/AN/A2,817594137,26265,068
2012-05-11$6.31$6.0035.5%10.2%27.9%15.7%35.9%3.4%0.9%406.1K-23.8M-203.2K0.116.73N/AN/A3,348381138,00765,379
2012-05-14$6.23$6.0037.0%10.6%27.1%19.1%37.0%2.9%-0.5%307.8K-22.1M-201.1K3.3910.48N/AN/A5261,782139,00265,424
2012-05-15$6.14$6.0037.4%10.7%28.0%20.1%39.2%3.2%-0.8%157.8K-18.4M-192.4K1.5018.28N/AN/A398599139,04466,144
2012-05-16$6.09$6.0036.5%10.5%28.0%18.0%36.5%1.9%0.1%65.3K-17.1M-191.8K1.679.87N/AN/A9201,540139,08966,081
2012-05-17$6.10$6.0037.5%10.8%21.0%20.4%38.6%1.6%0.1%-54.0K-17.6M-188.5K0.4511.22N/AN/A1,463660139,17165,921
2012-05-18$5.96$6.0039.7%11.4%22.2%25.2%39.9%3.0%-0.5%-459.7K-6.2M-185.6K2.3628.12N/AN/A3,6628,640139,17465,569
2012-05-21$5.99$6.0035.6%10.2%21.6%16.0%35.6%3.3%-0.7%239.1K-8.3M-169.6K0.2112.57N/AN/A5,1841,10996,41938,508
2012-05-22$5.94$6.0033.7%9.7%18.5%11.6%33.7%1.8%0.6%266.7K-8.9M-176.2K0.5913.87N/AN/A6,6533,925100,16338,938
2012-05-23$5.91$6.0033.1%9.5%17.4%10.3%33.4%7.0%1.3%311.7K-9.2M-170.7K0.207.26N/AN/A2,374467102,49439,093
2012-05-24$5.91$6.0034.4%9.9%17.2%13.1%34.4%16.4%0.3%325.9K-9.2M-176.9K1.1813.74N/AN/A1,2651,487104,10539,222
2012-05-25$5.87$6.0034.8%10.0%16.1%14.0%34.8%12.5%0.3%293.0K-8.2M-172.2K0.607.12N/AN/A1,642990104,96840,614
2012-05-29$5.90$6.0036.0%10.3%16.4%16.9%35.9%12.9%-1.5%295.7K-8.7M-170.5K0.406.78N/AN/A674272106,27641,366
2012-05-30$5.77$6.0037.8%10.8%17.7%20.9%37.7%-4.3%-2.3%266.9K-5.9M-166.8K2.947.30N/AN/A5111,504106,68941,566
2012-05-31$5.74$6.0038.9%11.2%17.7%23.4%38.8%-5.1%-3.4%245.1K-5.6M-167.8K0.468.57N/AN/A848393106,87342,462