BSX Options History — June 2012

In June 2012, BSX traded between $5.52 and $5.95. ATM implied volatility averaged 35.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 12.1% (HV 20d: 23.7%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-06-08: Highest Volume — 33,509 contracts
  • 2012-06-11: Largest IV spike — 29.3% change
  • 2012-06-13: Highest IV Rank — 43.1%
  • 2012-06-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.68$5.52$5.95$5.61$5.67
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV35.8%28.7%47.6%42.8%28.7%
Expected Move9.6%8.2%12.3%12.3%8.2%
HV 20d23.7%16.5%30.1%18.9%30.1%
HV 60d25.3%23.5%27.3%25.3%27.3%
IV Rank16.5%0.3%43.1%32.3%0.3%
IV Percentile26.9%0.4%76.2%62.7%0.4%
Term Structure1.4%-5.5%3.7%-5.5%2.1%
VWIV34.2%28.9%42.8%42.8%28.9%
Skew 25d4.4%-12.7%9.6%-12.7%5.9%
Skew 10d4.9%-13.0%18.6%-13.0%10.9%
Call IV 25d34.3%29.0%42.9%42.9%29.0%
Put IV 25d38.7%30.3%42.0%30.3%34.9%
Bid-Ask Spread %11.735.8919.5019.5010.87
Gamma HHI0.360.290.540.340.31
Net GEX339.5K-98.0K505.4K243.2K458.8K
Net DEX-4.8M-8.8M-1.4M-3.4M-6.7M
Net VEX-138.8K-179.5K-110.9K-157.2K-117.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.003.510.520.19
Total Volume4,750.90549033,5092,1231,808
Total OI148,164.952133,333180,621149,702142,349

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$5.61$6.0042.8%12.3%18.9%32.3%42.8%-12.7%-5.5%243.2K-3.4M-157.2K0.5219.50N/AN/A1,401722107,41142,291
2012-06-04$5.59$6.0047.1%10.7%18.9%42.2%39.2%8.7%0.9%242.8K-2.3M-150.5K0.1016.39N/AN/A6,591627108,44441,915
2012-06-05$5.57$6.0045.4%10.4%16.6%38.3%37.8%9.1%1.0%308.3K-2.2M-147.8K0.5910.72N/AN/A308182114,84741,906
2012-06-06$5.66$6.0038.4%9.8%18.1%22.4%34.2%9.6%2.0%315.0K-3.8M-156.2K0.079.14N/AN/A92863114,92842,021
2012-06-07$5.66$6.0033.2%10.0%18.1%10.6%34.8%2.5%1.2%323.0K-3.5M-155.0K0.459.31N/AN/A1,110500115,33742,032
2012-06-08$5.71$6.0033.3%9.6%16.9%10.6%35.0%4.5%1.7%319.6K-3.9M-153.7K0.0010.45N/AN/A33,42386115,89842,532
2012-06-11$5.68$6.0043.0%9.8%16.5%32.8%34.7%2.6%0.9%439.4K-5.6M-179.5K3.519.65N/AN/A8122,852138,03442,587
2012-06-12$5.87$6.0037.1%9.5%21.1%19.3%34.1%7.5%1.4%183.1K-6.0M-143.5K0.1010.88N/AN/A6,327634105,48945,369
2012-06-13$5.71$6.0047.6%10.1%22.5%43.1%35.4%2.6%1.4%266.8K-3.1M-141.1K0.457.04N/AN/A2,6001,168106,33245,594
2012-06-14$5.80$6.0034.1%9.8%23.4%12.6%33.8%2.5%1.7%368.7K-1.4M-132.7K0.4818.22N/AN/A789380108,27245,903
2012-06-15$5.95$6.0031.2%8.9%25.4%6.0%31.3%5.1%2.5%-98.0K-8.8M-147.6K0.1416.85N/AN/A1,587217108,73246,044
2012-06-18$5.78$6.0030.3%8.7%26.2%3.8%30.3%4.0%2.7%505.4K-8.6M-134.7K2.8110.31N/AN/A1,1373,191100,38332,950
2012-06-19$5.79$6.0029.6%8.5%26.1%2.4%29.6%4.6%3.7%465.8K-8.5M-139.1K0.298.23N/AN/A1,106317101,17136,025
2012-06-20$5.72$6.0030.4%8.7%26.3%4.2%30.4%6.2%3.3%426.9K-5.5M-124.7K0.868.51N/AN/A9,4058,062101,58336,145
2012-06-21$5.62$6.0032.8%9.4%26.8%9.5%32.8%4.3%2.1%379.9K-5.0M-131.7K0.1813.35N/AN/A1,765322101,42138,405
2012-06-22$5.70$6.0031.0%8.9%27.5%5.6%31.1%5.2%3.0%447.6K-6.8M-128.6K0.385.89N/AN/A697265102,19936,207
2012-06-25$5.52$6.0035.4%10.1%29.5%15.4%40.1%4.9%0.3%365.8K-4.6M-123.5K0.1611.23N/AN/A1,977309102,70036,373
2012-06-26$5.52$6.0034.1%9.8%29.3%12.5%37.3%5.6%1.0%359.6K-3.1M-110.9K0.2812.90N/AN/A1,029290103,63836,594
2012-06-27$5.64$6.0033.4%9.6%29.7%10.9%33.4%6.0%1.4%433.2K-5.8M-124.7K0.048.24N/AN/A78330104,17336,626
2012-06-28$5.55$6.0033.5%9.6%30.1%11.1%31.9%4.8%0.2%374.9K-3.1M-114.5K0.4318.71N/AN/A2,7791,190103,95036,654
2012-06-29$5.67$6.0028.7%8.2%30.1%0.3%28.9%5.9%2.1%458.8K-6.7M-117.8K0.1910.87N/AN/A1,518290105,29237,057