BSX Options History — October 2012

In October 2012, BSX traded between $5.07 and $5.81. ATM implied volatility averaged 30.8%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 10.0% (HV 20d: 20.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2012-10-19: Highest Volume — 5,153 contracts
  • 2012-10-09: Largest IV spike — 24.2% change
  • 2012-10-09: Highest IV Rank — 52.2%
  • 2012-10-18: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.48$5.07$5.81$5.69$5.14
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV30.8%25.6%39.2%26.8%32.0%
Expected Move8.6%7.3%9.3%7.7%9.2%
HV 20d20.8%17.1%25.2%18.1%24.8%
HV 60d26.6%21.9%28.8%28.5%21.9%
IV Rank29.0%14.9%52.2%16.0%32.9%
IV Percentile19.5%2.4%66.7%3.6%25.8%
Term Structure-1.0%-3.3%2.4%2.1%-1.4%
VWIV31.5%25.6%37.6%37.6%31.5%
Skew 25d5.8%-6.6%34.7%11.2%34.7%
Skew 10d16.5%-8.6%105.5%9.9%105.5%
Call IV 25d32.8%26.7%41.3%27.3%41.3%
Put IV 25d38.6%23.1%76.1%38.4%76.1%
Bid-Ask Spread %25.8514.0642.8025.8529.03
Gamma HHI0.370.300.440.390.34
Net GEX230.5K-1.1K534.3K340.8K-1.1K
Net DEX-3.0M-7.8M864.3K-5.0M575.1K
Net VEX-55.7K-74.0K-44.5K-61.4K-44.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.054.060.160.20
Total Volume1,596.6671515,1534272,023
Total OI120,609116,271124,990119,843120,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$5.69$5.0026.8%7.7%18.1%16.0%37.6%11.2%2.1%340.8K-5.0M-61.4K0.1625.85N/AN/A3676089,30430,539
2012-10-02$5.66$5.0026.7%7.7%18.3%15.8%36.1%14.4%0.8%315.7K-4.5M-60.6K0.2630.11N/AN/A1203189,48230,573
2012-10-03$5.69$5.0026.7%7.7%17.1%17.2%26.1%9.9%0.7%344.6K-4.8M-61.2K0.4123.49N/AN/A35514689,55030,561
2012-10-04$5.81$5.0025.6%7.3%18.4%14.9%25.6%-3.6%2.4%534.3K-7.8M-74.0K0.3232.13N/AN/A1,63852889,76830,605
2012-10-05$5.76$5.0026.8%8.1%18.2%17.9%28.4%1.9%-0.0%418.0K-5.7M-60.4K3.4224.07N/AN/A13947590,29630,801
2012-10-08$5.75$5.0031.6%8.5%18.1%30.5%29.7%1.8%-1.2%408.1K-5.8M-60.2K0.0625.79N/AN/A1,76011290,40030,557
2012-10-09$5.60$5.0039.2%8.7%20.6%52.2%30.4%3.5%-1.4%294.4K-4.2M-60.0K0.2424.26N/AN/A41810190,43230,623
2012-10-10$5.57$5.0036.7%8.9%20.3%45.4%31.4%4.3%-2.7%255.7K-3.5M-57.2K1.5427.41N/AN/A16224990,62330,668
2012-10-11$5.58$5.0030.7%8.8%18.0%29.3%30.7%4.9%-1.3%278.1K-4.0M-59.3K0.0523.24N/AN/A7824290,63030,632
2012-10-12$5.57$5.0031.0%8.9%17.7%30.1%31.1%4.5%-1.9%280.9K-3.9M-59.0K0.8614.06N/AN/A29325291,14230,637
2012-10-15$5.63$5.0028.8%8.3%18.2%24.2%35.0%4.9%-0.1%307.6K-4.2M-54.1K0.1428.02N/AN/A73710091,33730,837
2012-10-16$5.66$5.0030.2%8.7%18.3%28.0%34.0%7.0%-2.5%375.7K-5.2M-60.3K1.9614.59N/AN/A5841,14591,91830,853
2012-10-17$5.62$5.0031.6%9.1%18.4%31.8%32.3%5.6%-3.3%324.7K-4.4M-55.4K0.1224.52N/AN/A4,51354792,10230,482
2012-10-18$5.40$5.0032.4%9.3%22.8%33.9%33.3%-1.9%-0.5%146.7K-2.1M-54.1K0.3031.21N/AN/A3,01390993,83330,267
2012-10-19$5.22$5.0031.8%9.1%25.1%32.2%31.8%19.3%-2.0%58.8K-226.4K-47.8K1.4426.18N/AN/A2,1103,04394,50930,481
2012-10-22$5.23$5.0032.4%9.3%24.0%33.8%32.0%17.6%-2.1%53.8K-161.3K-49.7K0.5142.80N/AN/A89945987,89528,376
2012-10-23$5.10$5.0032.1%9.2%25.1%33.0%32.0%-5.5%-2.6%20.3K864.3K-45.5K0.4231.42N/AN/A1,26953488,21428,337
2012-10-24$5.07$5.0031.4%9.0%25.1%31.1%31.3%-3.1%-1.7%27.9K776.5K-46.9K0.8016.51N/AN/A71857489,06728,453
2012-10-25$5.12$5.0030.5%8.7%25.2%28.6%30.5%-6.6%-0.4%37.5K258.1K-48.4K4.0617.75N/AN/A2701,09689,47828,913
2012-10-26$5.17$5.0031.2%8.9%24.8%30.6%31.2%-3.1%-1.2%18.6K268.3K-49.1K0.2830.43N/AN/A74621189,53529,981
2012-10-31$5.14$5.0032.0%9.2%24.8%32.9%31.5%34.7%-1.4%-1.1K575.1K-44.5K0.2029.03N/AN/A1,69033390,12329,975