BSX Options History — December 2012

In December 2012, BSX traded between $5.52 and $5.82. ATM implied volatility averaged 32.5%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 11.2% (HV 20d: 21.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-12-24: Highest Volume — 11,234 contracts
  • 2012-12-13: Largest IV drop — 8.9% change
  • 2012-12-04: Highest IV Rank — 46.5%
  • 2012-12-04: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.68$5.52$5.82$5.52$5.73
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV32.5%29.2%37.1%35.4%31.1%
Expected Move9.1%8.4%10.6%10.2%8.9%
HV 20d21.3%15.1%28.9%28.9%18.3%
HV 60d24.4%24.1%25.0%24.7%25.0%
IV Rank39.3%32.4%46.5%42.1%38.8%
IV Percentile36.8%14.3%68.7%58.3%25.0%
Term Structure0.6%-5.7%3.4%-4.7%1.4%
VWIV32.0%29.2%36.8%36.8%30.8%
Skew 25d2.8%-12.2%9.5%2.0%3.8%
Skew 10d3.0%-16.6%25.2%3.4%-13.8%
Call IV 25d32.7%28.4%37.6%36.1%33.6%
Put IV 25d35.5%20.3%40.2%38.1%37.3%
Bid-Ask Spread %10.683.1419.607.553.14
Gamma HHI0.640.560.740.570.72
Net GEX400.1K246.9K579.1K342.3K305.9K
Net DEX-9.1M-11.0M-5.3M-7.7M-6.8M
Net VEX-58.0K-63.6K-46.1K-59.0K-46.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.001.150.070.81
Total Volume1,923.529911,2343,5165,024
Total OI127,995.25121,360131,641125,081121,618

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$5.52$5.0035.4%10.2%28.9%42.1%36.8%2.0%-4.7%342.3K-7.7M-59.0K0.077.55N/AN/A3,28223499,68225,399
2012-12-04$5.55$5.0037.1%10.6%27.6%46.5%0.0%3.2%-5.7%366.1K-8.1M-63.2K0.0412.89N/AN/A58324102,27725,559
2012-12-05$5.57$5.0034.5%9.9%27.6%39.4%35.6%1.9%-3.6%377.0K-8.2M-62.5K0.189.99N/AN/A1,149202102,58325,557
2012-12-06$5.59$5.0033.9%9.7%23.6%38.1%30.0%4.9%-2.3%389.1K-8.5M-61.6K0.0015.35N/AN/A2990103,22525,562
2012-12-07$5.60$5.0034.9%8.9%22.5%41.0%31.7%1.6%1.9%392.5K-8.8M-63.6K0.0113.04N/AN/A1,2398103,34525,562
2012-12-10$5.71$5.0036.8%9.0%22.9%46.1%31.6%5.8%2.1%456.3K-10.4M-62.8K0.437.88N/AN/A1,446625103,63125,562
2012-12-11$5.74$5.0034.4%9.0%22.8%39.6%31.5%-1.2%0.7%460.8K-10.7M-61.1K0.256.68N/AN/A1,576398103,87825,929
2012-12-12$5.67$5.0034.0%9.0%23.4%42.9%31.7%0.1%1.5%431.5K-9.9M-62.1K0.026.51N/AN/A63311104,30226,211
2012-12-13$5.63$5.0031.0%8.9%22.8%33.7%31.0%3.7%2.1%407.8K-9.2M-60.9K0.305.65N/AN/A342102104,60826,212
2012-12-14$5.67$5.0030.9%8.9%22.7%38.3%30.8%5.8%1.8%432.0K-9.7M-60.9K0.5116.57N/AN/A476243104,84426,238
2012-12-17$5.74$5.0031.6%9.1%22.8%40.7%31.6%9.5%0.5%482.7K-10.3M-59.4K0.206.97N/AN/A1,222248104,71626,465
2012-12-18$5.79$5.0029.9%8.6%22.7%34.8%35.0%1.2%2.5%520.3K-11.0M-58.5K0.9518.39N/AN/A196186104,33326,641
2012-12-19$5.74$5.0030.1%8.6%23.2%35.6%30.9%8.0%2.4%412.8K-9.9M-57.3K0.799.76N/AN/A646508104,84226,531
2012-12-20$5.81$5.0029.2%8.4%16.1%32.4%29.2%5.4%3.4%444.0K-10.8M-56.6K0.249.12N/AN/A2,159520103,79026,518
2012-12-21$5.82$5.0029.6%8.5%15.3%33.9%29.4%5.4%2.8%579.1K-10.7M-57.5K0.7216.95N/AN/A588423104,79626,845
2012-12-24$5.78$5.0030.9%8.8%15.1%38.1%32.9%-0.3%1.1%345.0K-9.5M-53.7K1.154.42N/AN/A5,2246,01097,73524,640
2012-12-26$5.70$5.0032.8%9.4%15.9%44.8%32.8%1.3%0.3%321.2K-8.9M-54.4K1.1119.60N/AN/A72881198,64028,709
2012-12-27$5.70$5.0030.2%8.7%15.4%35.9%30.3%5.1%2.6%289.4K-6.9M-52.0K0.038.30N/AN/A6302095,72025,640
2012-12-28$5.58$5.0032.2%9.2%16.8%42.8%35.4%-12.2%1.7%246.9K-5.3M-47.2K0.4914.95N/AN/A30515095,90025,660
2012-12-31$5.73$5.0031.1%8.9%18.3%38.8%30.8%3.8%1.4%305.9K-6.8M-46.1K0.813.14N/AN/A2,7812,24395,87725,741