BSX Options History — January 2013

In January 2013, BSX traded between $5.89 and $7.47. ATM implied volatility averaged 31.9%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 9.2% (HV 20d: 22.7%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2013-01-29: Highest Volume — 19,792 contracts
  • 2013-01-10: Largest IV spike — 52.8% change
  • 2013-01-28: Highest IV Rank — 58.0%
  • 2013-01-28: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.55$5.89$7.47$5.89$7.47
Max Pain$5.62$5.00$6.00$5.00$6.00
ATM IV31.9%21.6%36.6%27.7%31.6%
Expected Move9.5%7.9%10.5%7.9%9.1%
HV 20d22.7%20.3%24.9%20.3%21.8%
HV 60d24.8%23.4%26.2%25.6%24.5%
IV Rank41.8%6.1%58.0%27.1%40.6%
IV Percentile42.6%0.4%78.6%6.7%33.3%
Term Structure-2.2%-5.3%4.8%3.3%-1.9%
VWIV33.9%27.7%40.4%27.7%31.5%
Skew 25d0.3%-3.6%4.4%-2.2%3.6%
Skew 10d-0.4%-14.7%28.4%-4.7%10.2%
Call IV 25d34.5%23.3%39.6%29.9%27.6%
Put IV 25d34.8%27.7%43.0%27.7%31.2%
Bid-Ask Spread %12.854.7724.094.7724.09
Gamma HHI0.580.360.820.790.36
Net GEX601.8K410.7K879.0K410.7K471.5K
Net DEX-24.1M-34.5M-9.5M-9.5M-34.5M
Net VEX-78.2K-88.9K-50.8K-50.8K-85.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.030.450.160.20
Total Volume6,496.4762,20319,7922,2032,506
Total OI121,834.85778,819159,892124,23490,464

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$5.89$5.0027.7%7.9%20.3%27.1%27.7%-2.2%3.3%410.7K-9.5M-50.8K0.164.77N/AN/A1,90529897,55026,684
2013-01-03$5.95$5.0029.2%8.4%20.5%32.3%29.2%-2.1%4.8%437.7K-10.8M-54.9K0.035.83N/AN/A9,30927298,82226,645
2013-01-04$5.92$5.0027.6%9.7%20.7%26.8%33.8%2.9%-2.7%595.4K-12.2M-59.2K0.0919.83N/AN/A9,713833105,74026,788
2013-01-07$5.98$5.0028.7%9.9%20.8%30.8%34.4%1.9%-3.6%789.8K-15.4M-68.9K0.337.28N/AN/A6,3842,116113,78826,884
2013-01-08$6.12$5.0028.2%9.6%22.0%28.8%33.4%1.3%-2.1%879.0K-19.5M-76.1K0.1311.20N/AN/A3,224405117,77027,521
2013-01-09$6.28$5.0021.6%9.4%22.6%6.1%33.0%-3.6%-1.8%751.5K-22.8M-75.5K0.0614.45N/AN/A6,203354117,45427,804
2013-01-10$6.30$5.0033.0%9.5%22.6%45.5%33.3%-3.1%-1.5%705.1K-22.7M-75.4K0.2819.65N/AN/A3,8871,079116,31627,991
2013-01-11$6.36$5.0034.9%10.0%21.8%52.0%34.6%-0.3%-3.2%659.9K-23.1M-78.4K0.1820.36N/AN/A3,301586117,08328,869
2013-01-14$6.32$6.0035.0%10.0%21.7%52.3%35.8%-2.9%-2.5%673.3K-23.1M-78.3K0.0919.47N/AN/A4,235372117,88829,182
2013-01-15$6.51$6.0034.5%9.9%23.3%50.6%34.3%-0.3%-3.1%454.6K-27.0M-77.4K0.3811.01N/AN/A8,3843,175118,99929,490
2013-01-16$6.45$6.0035.2%10.1%23.9%53.2%35.5%-0.7%-4.4%496.9K-25.6M-82.7K0.107.76N/AN/A5,993612122,18832,343
2013-01-17$6.61$6.0034.9%10.0%24.8%52.0%36.5%0.7%-3.6%551.7K-30.2M-85.1K0.2911.13N/AN/A4,0491,188126,32232,441
2013-01-18$6.70$6.0034.4%9.9%24.2%50.3%35.6%1.5%-2.7%537.8K-31.5M-86.6K0.116.39N/AN/A4,618508127,04632,846
2013-01-22$6.86$6.0035.6%10.2%24.8%54.6%36.7%1.3%-3.7%530.6K-24.8M-86.4K0.278.63N/AN/A3,8781,05961,06317,756
2013-01-23$6.86$6.0035.5%10.2%24.9%54.1%35.9%-1.1%-3.6%573.9K-25.3M-88.1K0.099.55N/AN/A2,58624563,25017,696
2013-01-24$6.84$6.0034.7%9.9%24.6%51.2%40.4%1.5%-3.4%580.6K-25.3M-87.2K0.099.55N/AN/A5,21246764,08317,897
2013-01-25$6.86$6.0034.6%9.9%23.3%51.2%34.9%1.4%-2.9%602.3K-27.6M-88.9K0.059.54N/AN/A3,73019967,25718,058
2013-01-28$6.86$6.0036.6%10.5%23.3%58.0%38.4%3.4%-5.3%664.0K-28.4M-87.8K0.066.62N/AN/A9,20551869,47018,173
2013-01-29$7.10$6.0027.7%7.9%22.0%27.2%27.7%4.4%-1.0%705.1K-32.2M-83.0K0.1920.08N/AN/A16,5713,22170,64918,576
2013-01-30$7.31$6.0029.1%8.3%22.2%32.0%29.1%-1.4%-0.7%565.7K-33.7M-86.8K0.4522.65N/AN/A2,7781,24870,82220,864
2013-01-31$7.47$6.0031.6%9.1%21.8%40.6%31.5%3.6%-1.9%471.5K-34.5M-85.0K0.2024.09N/AN/A2,09441268,55421,910