BSX Options History — November 2012

In November 2012, BSX traded between $5.08 and $5.69. ATM implied volatility averaged 31.2%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.0% (HV 20d: 28.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2012-11-26: Highest Volume — 11,979 contracts
  • 2012-11-26: Largest IV spike — 22.2% change
  • 2012-11-06: Highest IV Rank — 41.9%
  • 2012-11-28: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.33$5.08$5.69$5.24$5.54
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV31.2%27.6%35.4%32.8%31.8%
Expected Move8.8%7.9%9.8%9.4%9.1%
HV 20d28.2%24.0%29.9%26.2%29.1%
HV 60d23.8%22.1%25.1%22.2%25.0%
IV Rank30.7%21.0%41.9%35.0%32.2%
IV Percentile25.4%6.3%50.8%31.7%28.6%
Term Structure-0.4%-2.8%2.3%-2.8%-0.7%
VWIV31.2%28.0%36.3%32.9%31.6%
Skew 25d2.6%-9.8%17.0%-7.5%2.7%
Skew 10d8.7%-12.9%78.2%-9.6%11.7%
Call IV 25d31.9%22.5%42.1%40.2%32.4%
Put IV 25d34.5%30.3%50.2%32.8%35.1%
Bid-Ask Spread %21.064.0936.2329.138.21
Gamma HHI0.410.310.630.340.56
Net GEX138.7K-19.4K383.7K36.5K354.5K
Net DEX-3.6M-9.5M237.5K-648.2K-7.8M
Net VEX-52.9K-63.0K-47.2K-47.2K-60.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.012.270.110.43
Total Volume3,145.57141411,9792,508414
Total OI121,686.429109,818128,408121,597124,859

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$5.24$5.0032.8%9.4%26.2%35.0%32.9%-7.5%-2.8%36.5K-648.2K-47.2K0.1129.13N/AN/A2,25525391,33430,263
2012-11-02$5.20$5.0032.3%9.3%26.0%33.7%32.3%-9.8%-2.4%37.2K-571.6K-48.2K0.4525.44N/AN/A55024793,37730,509
2012-11-05$5.34$5.0034.3%8.8%26.8%38.9%0.0%0.4%-0.9%113.7K-2.7M-53.6K0.1623.45N/AN/A90414193,77730,437
2012-11-06$5.35$5.0035.4%8.9%26.9%41.9%31.2%1.8%-1.1%115.0K-2.8M-52.5K0.1527.24N/AN/A1,66325793,68930,457
2012-11-07$5.16$5.0033.9%8.7%29.2%37.8%30.4%1.2%-0.3%17.9K-673.1K-49.6K2.2736.23N/AN/A8021,82393,55730,484
2012-11-08$5.08$5.0030.0%8.7%28.4%27.3%36.3%3.2%-0.1%-12.3K237.5K-48.8K0.2023.07N/AN/A4208493,69031,064
2012-11-09$5.15$5.0031.6%8.6%29.2%31.7%29.0%-1.5%0.1%6.9K-606.1K-47.6K0.6425.85N/AN/A85954793,89030,692
2012-11-12$5.21$5.0029.1%8.6%29.6%25.1%30.1%-0.1%-0.6%28.6K-1.3M-48.5K0.0310.55N/AN/A1,9214894,56731,100
2012-11-13$5.19$5.0028.7%8.6%29.6%23.9%30.0%-0.5%-0.0%28.3K-1.4M-48.6K0.8425.89N/AN/A71760495,41631,114
2012-11-14$5.12$5.0027.9%8.4%29.3%21.8%29.5%0.3%1.2%-19.4K-745.7K-49.6K0.6427.24N/AN/A2,0951,33195,66031,631
2012-11-15$5.11$5.0029.4%8.4%29.1%25.8%29.4%10.4%0.3%10.2K-1.4M-50.3K1.7132.65N/AN/A21737296,68931,585
2012-11-16$5.14$5.0029.4%8.4%29.3%25.7%29.4%10.5%0.5%51.0K-1.7M-49.0K0.4229.66N/AN/A2,7701,16896,79131,617
2012-11-19$5.21$5.0028.0%8.0%26.8%21.9%28.0%17.0%1.9%99.4K-2.0M-48.8K0.1032.61N/AN/A1,93420185,98623,832
2012-11-20$5.23$5.0028.5%8.2%24.0%23.5%28.5%-1.0%0.8%110.7K-2.4M-49.2K0.2719.82N/AN/A3,13884386,09823,836
2012-11-21$5.50$5.0032.7%9.4%29.9%34.7%31.3%1.0%-1.9%198.1K-5.4M-53.8K0.0822.57N/AN/A7,22855386,53123,619
2012-11-23$5.59$5.0027.6%7.9%28.4%21.0%30.2%4.1%2.3%265.2K-6.8M-56.1K0.374.09N/AN/A2,45589788,78223,877
2012-11-26$5.66$5.0033.8%9.7%28.3%37.5%33.8%6.6%-1.1%335.1K-8.3M-62.4K0.108.54N/AN/A10,8941,08590,33724,368
2012-11-27$5.63$5.0033.2%9.5%28.5%36.1%33.2%5.2%-1.0%379.9K-9.5M-62.1K0.0810.19N/AN/A5,85745297,11124,950
2012-11-28$5.69$5.0034.0%9.8%28.5%38.2%34.0%3.9%-1.8%371.9K-9.5M-63.0K0.059.27N/AN/A5,02426897,50825,205
2012-11-29$5.63$5.0031.5%9.0%28.8%31.4%32.1%5.8%-1.2%383.7K-8.9M-60.4K0.0110.58N/AN/A2,7471999,84225,284
2012-11-30$5.54$5.0031.8%9.1%29.1%32.2%31.6%2.7%-0.7%354.5K-7.8M-60.8K0.438.21N/AN/A28912599,57025,289