BSX Options History — August 2012

In August 2012, BSX traded between $5.12 and $5.63. ATM implied volatility averaged 33.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 1.8% (HV 20d: 35.4%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.60.

Notable Days

  • 2012-08-10: Highest Volume — 4,693 contracts
  • 2012-08-16: Largest IV drop — 34.9% change
  • 2012-08-13: Highest IV Rank — 47.5%
  • 2012-08-30: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.44$5.12$5.63$5.21$5.40
Max Pain$4.22$4.00$5.00$5.00$4.00
ATM IV33.6%24.4%45.2%33.8%33.5%
Expected Move8.6%7.0%10.4%9.7%9.6%
HV 20d35.4%21.6%41.4%38.3%21.6%
HV 60d31.3%30.1%31.9%30.1%31.9%
IV Rank17.7%0.0%47.5%11.5%23.4%
IV Percentile23.6%0.0%72.2%19.4%22.2%
Term Structure1.2%-5.3%4.6%-3.1%0.7%
VWIV30.7%25.4%36.2%33.7%33.4%
Skew 25d0.3%-10.7%6.2%-10.4%-0.3%
Skew 10d8.2%-13.7%43.4%-13.7%6.0%
Call IV 25d31.2%24.8%45.3%44.2%32.2%
Put IV 25d31.5%28.3%38.0%33.8%31.8%
Bid-Ask Spread %14.533.8338.4916.9738.49
Gamma HHI0.320.270.380.360.29
Net GEX208.3K124.1K388.7K163.3K184.1K
Net DEX-3.3M-6.3M483.8K-136.5K-3.2M
Net VEX-73.6K-87.3K-66.3K-71.2K-75.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.012.820.260.28
Total Volume1,887.3485754,6932,687894
Total OI131,689.391106,975150,538142,439113,438

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$5.21$5.0033.8%9.7%38.3%11.5%33.7%-10.4%-3.1%163.3K-136.5K-71.2K0.2616.97N/AN/A2,139548106,77135,668
2012-08-02$5.12$5.0029.7%8.5%38.4%2.3%29.7%-10.7%0.2%158.5K483.8K-71.1K0.374.70N/AN/A537199108,28336,038
2012-08-03$5.31$5.0035.6%10.2%41.1%15.6%34.3%-6.9%-5.3%200.3K-1.2M-69.6K1.014.14N/AN/A943957108,43836,183
2012-08-06$5.26$5.0035.9%8.6%41.1%16.4%34.0%6.2%2.5%213.2K-1.5M-74.7K0.3023.52N/AN/A782234108,75636,524
2012-08-07$5.33$5.0035.1%8.5%41.0%14.6%31.1%-1.1%2.2%192.1K-1.5M-67.7K0.067.47N/AN/A1,68298109,26036,565
2012-08-08$5.38$4.0040.3%8.6%40.5%28.3%32.3%0.0%1.5%263.3K-3.3M-77.4K0.193.83N/AN/A768149110,15936,517
2012-08-09$5.50$4.0044.6%8.8%41.3%38.7%29.9%0.4%0.8%279.3K-3.9M-67.0K0.404.85N/AN/A1,392555110,55636,498
2012-08-10$5.54$4.0044.5%8.5%41.4%45.7%30.5%1.2%-0.6%388.7K-6.3M-87.3K1.3524.28N/AN/A1,9962,697110,91936,313
2012-08-13$5.51$4.0045.2%8.4%41.4%47.5%30.1%2.2%0.2%327.1K-5.0M-79.2K1.134.35N/AN/A525591111,94038,352
2012-08-14$5.46$4.0031.5%8.9%41.3%8.0%31.1%1.6%0.7%124.1K-3.4M-68.6K1.1723.73N/AN/A380445112,30438,234
2012-08-15$5.53$4.0042.4%7.9%41.3%39.4%27.6%2.7%1.9%187.5K-5.0M-75.5K0.487.43N/AN/A1,875907112,43437,813
2012-08-16$5.51$4.0027.6%7.9%41.3%0.0%32.0%1.3%2.5%186.1K-4.6M-74.2K0.204.80N/AN/A3,324658110,85637,257
2012-08-17$5.59$4.0027.3%7.8%39.4%0.0%27.4%2.4%1.1%196.1K-4.5M-73.4K0.254.38N/AN/A1,493376109,69137,326
2012-08-20$5.61$4.0024.9%7.1%38.3%0.0%29.0%4.1%3.0%201.1K-4.5M-73.8K1.347.74N/AN/A1,8092,42179,50727,468
2012-08-21$5.63$4.0024.4%7.0%37.9%0.0%27.2%3.6%4.2%205.0K-4.5M-72.6K0.063.95N/AN/A2,54414880,86828,847
2012-08-22$5.52$4.0026.6%7.6%38.0%5.7%27.6%1.5%2.8%211.8K-4.1M-73.4K0.398.42N/AN/A1,01940282,50728,865
2012-08-23$5.40$4.0028.7%8.2%28.6%11.0%28.6%-3.4%4.1%173.8K-2.9M-73.8K2.828.63N/AN/A22262582,83329,131
2012-08-24$5.50$4.0031.0%8.9%23.9%16.9%30.1%2.2%3.3%202.2K-3.4M-77.9K0.249.79N/AN/A82919682,91329,510
2012-08-27$5.43$4.0032.2%9.2%24.0%20.0%25.4%-1.9%1.7%193.4K-3.4M-76.9K0.8332.04N/AN/A31526083,41529,628
2012-08-28$5.48$4.0031.4%9.0%24.1%17.9%0.0%4.2%4.6%186.3K-3.6M-72.4K0.5329.49N/AN/A38420383,37729,804
2012-08-29$5.55$4.0029.5%8.5%24.3%13.2%35.2%2.5%0.2%203.1K-4.2M-73.5K0.0323.82N/AN/A3,4539283,37929,932
2012-08-30$5.43$4.0036.2%10.4%24.9%30.2%36.2%5.9%-1.5%151.1K-2.6M-66.3K0.0137.38N/AN/A1,3271683,75630,023
2012-08-31$5.40$4.0033.5%9.6%21.6%23.4%33.4%-0.3%0.7%184.1K-3.2M-75.0K0.2838.49N/AN/A69719783,41530,023