BSX Options History — September 2012

In September 2012, BSX traded between $5.41 and $5.82. ATM implied volatility averaged 27.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.6% (HV 20d: 20.8%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.27.

Notable Days

  • 2012-09-05: Highest Volume — 4,144 contracts
  • 2012-09-13: Largest IV spike — 28.5% change
  • 2012-09-04: Highest IV Rank — 23.9%
  • 2012-09-04: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.67$5.41$5.82$5.41$5.74
Max Pain$4.84$4.00$5.00$4.00$5.00
ATM IV27.3%19.9%33.7%33.7%24.7%
Expected Move8.2%7.1%9.7%9.7%7.1%
HV 20d20.8%17.9%22.1%21.3%17.9%
HV 60d30.0%28.5%32.1%31.8%28.6%
IV Rank15.2%0.0%23.9%23.9%11.1%
IV Percentile4.9%0.0%23.8%23.8%1.6%
Term Structure0.6%-0.9%4.4%1.7%4.4%
VWIV30.5%23.5%37.4%33.7%36.8%
Skew 25d6.9%-2.4%11.7%-2.4%9.8%
Skew 10d13.1%4.7%39.5%4.7%9.3%
Call IV 25d28.7%24.8%36.8%36.8%24.8%
Put IV 25d35.6%33.2%39.0%34.4%34.6%
Bid-Ask Spread %16.903.4032.9732.9717.48
Gamma HHI0.320.280.380.290.38
Net GEX276.1K160.5K353.7K160.5K353.7K
Net DEX-5.5M-7.6M-2.8M-2.8M-5.3M
Net VEX-69.7K-79.6K-63.3K-70.6K-65.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.051.210.100.13
Total Volume1,325.9471814,144803631
Total OI119,650.737113,995124,327113,995119,344

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$5.41$4.0033.7%9.7%21.3%23.9%33.7%-2.4%1.7%160.5K-2.8M-70.6K0.1032.97N/AN/A7277683,80130,194
2012-09-05$5.52$4.0026.3%7.5%21.9%5.0%37.4%3.1%-0.3%188.0K-3.8M-68.1K0.9227.22N/AN/A2,1581,98684,00330,198
2012-09-06$5.55$4.0029.1%8.4%21.8%12.2%23.5%11.7%1.4%225.3K-4.9M-76.7K0.1628.19N/AN/A1,45023985,90531,909
2012-09-07$5.63$5.0022.1%8.1%21.0%0.0%28.9%6.1%0.6%259.7K-5.8M-79.6K0.4514.56N/AN/A94842286,08732,101
2012-09-10$5.60$5.0026.1%8.5%21.0%9.7%34.3%5.6%-0.9%220.9K-4.8M-70.4K0.224.97N/AN/A1483386,63232,241
2012-09-11$5.58$5.0019.9%8.4%20.9%0.0%36.5%5.8%0.3%186.9K-4.7M-69.7K0.0515.94N/AN/A1,2056586,69132,221
2012-09-12$5.64$5.0021.7%8.6%20.9%4.2%29.9%4.9%-0.0%266.5K-6.1M-76.7K0.1016.60N/AN/A8749187,67332,286
2012-09-13$5.78$5.0027.9%8.0%22.1%18.4%28.7%6.4%0.5%280.2K-6.5M-67.3K0.1719.56N/AN/A2,18237987,97132,321
2012-09-14$5.82$5.0028.5%8.2%22.0%20.0%28.5%7.3%0.1%338.3K-7.4M-69.7K0.0514.95N/AN/A2,38810889,10432,294
2012-09-17$5.78$5.0029.0%8.3%21.8%21.0%28.9%8.0%-0.5%326.5K-7.0M-69.1K0.0824.26N/AN/A1,0658690,05732,264
2012-09-18$5.75$5.0029.4%8.4%21.9%22.1%29.5%6.5%-0.6%293.3K-6.9M-69.2K0.1214.38N/AN/A6707890,70132,274
2012-09-19$5.76$5.0028.8%8.3%21.9%20.6%30.4%9.2%1.3%324.6K-7.1M-71.5K0.0625.27N/AN/A2,12013290,95032,274
2012-09-20$5.79$5.0028.2%8.1%20.5%19.1%28.2%11.3%1.5%342.5K-7.6M-69.3K1.2122.99N/AN/A15118392,06132,266
2012-09-21$5.79$5.0027.8%8.0%18.4%18.3%27.8%10.8%1.5%351.4K-7.6M-67.8K0.274.39N/AN/A45012392,02131,556
2012-09-24$5.64$5.0028.5%8.2%20.4%20.0%28.6%6.0%0.9%275.9K-4.1M-68.0K0.214.07N/AN/A1,30127987,31330,309
2012-09-25$5.63$5.0029.9%8.6%19.7%23.2%30.0%7.5%-0.4%276.6K-4.4M-66.4K0.163.43N/AN/A1,03816387,83430,424
2012-09-26$5.61$5.0029.2%8.4%19.6%21.4%29.5%5.1%-0.2%274.8K-4.0M-65.7K0.513.40N/AN/A48224788,44730,582
2012-09-27$5.66$5.0028.1%8.1%19.4%19.0%28.1%8.3%1.0%301.0K-4.5M-63.3K0.0526.39N/AN/A4892688,45230,603
2012-09-28$5.74$5.0024.7%7.1%17.9%11.1%36.8%9.8%4.4%353.7K-5.3M-65.0K0.1317.48N/AN/A5597288,79530,549