BSX Options History — February 2013

In February 2013, BSX traded between $7.23 and $7.70. ATM implied volatility averaged 29.4%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.9% (HV 20d: 26.5%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.37.

Notable Days

  • 2013-02-05: Highest Volume — 9,586 contracts
  • 2013-02-04: Largest IV spike — 31.8% change
  • 2013-02-04: Highest IV Rank — 51.0%
  • 2013-02-25: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.48$7.23$7.70$7.64$7.39
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV29.4%26.3%34.6%26.3%30.9%
Expected Move8.4%7.6%9.1%8.1%8.9%
HV 20d26.5%22.1%29.4%22.1%25.1%
HV 60d23.8%23.2%25.2%24.3%23.2%
IV Rank33.0%22.2%51.0%22.2%38.3%
IV Percentile21.8%3.6%66.3%3.6%32.1%
Term Structure1.2%-0.3%2.6%0.8%0.3%
VWIV29.5%26.7%31.8%28.6%27.4%
Skew 25d1.5%-2.8%4.8%4.8%-0.6%
Skew 10d8.1%-5.1%70.4%5.2%0.5%
Call IV 25d28.9%25.9%35.2%26.0%31.1%
Put IV 25d30.3%29.5%32.4%30.8%30.6%
Bid-Ask Spread %11.365.1518.5511.0315.94
Gamma HHI0.340.290.410.340.31
Net GEX270.5K67.4K499.6K459.7K140.9K
Net DEX-25.8M-40.2M-11.1M-37.3M-13.3M
Net VEX-87.3K-90.6K-83.7K-83.7K-87.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.032.170.130.34
Total Volume2,862.7376979,5863,299697
Total OI84,35666,808102,27591,08369,309

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$7.64$7.0026.3%8.1%22.1%22.2%28.6%4.8%0.8%459.7K-37.3M-83.7K0.1311.03N/AN/A2,91938068,94422,139
2013-02-04$7.45$7.0034.6%8.8%25.1%51.0%30.3%0.5%-0.3%499.6K-34.6M-86.5K0.127.00N/AN/A1,21114770,19422,358
2013-02-05$7.67$7.0027.9%8.0%25.9%27.8%29.2%4.0%1.6%487.1K-37.8M-83.9K0.1411.14N/AN/A8,4381,14870,49122,454
2013-02-06$7.66$7.0029.2%7.9%26.0%32.4%27.7%3.0%1.9%474.7K-40.2M-84.7K0.1218.55N/AN/A1,35615674,47523,366
2013-02-07$7.64$7.0027.3%7.8%25.8%25.8%29.0%2.7%1.9%457.6K-36.0M-84.9K0.089.56N/AN/A2,18917369,21923,461
2013-02-08$7.70$7.0026.5%7.6%25.7%23.2%26.7%3.6%2.6%443.2K-37.1M-88.3K0.036.57N/AN/A2,0755870,73723,560
2013-02-11$7.63$7.0028.5%8.2%26.6%30.0%28.7%2.3%1.1%418.9K-35.9M-87.2K0.4816.04N/AN/A1,49672270,98923,598
2013-02-12$7.59$7.0027.8%8.0%26.5%27.6%30.0%2.4%1.0%428.1K-35.2M-87.3K2.1713.66N/AN/A2,6735,78871,30024,282
2013-02-13$7.45$7.0031.0%8.9%27.1%38.5%30.4%2.3%-0.3%187.5K-32.3M-88.5K0.335.57N/AN/A4,1361,34671,40929,814
2013-02-14$7.53$7.0027.7%7.9%26.5%27.1%30.0%2.6%1.4%204.6K-33.1M-88.5K0.2213.30N/AN/A2,96364771,29230,742
2013-02-15$7.54$7.0027.2%7.8%25.8%25.6%30.7%3.1%1.1%190.7K-32.7M-90.6K0.065.69N/AN/A2,73415571,01331,262
2013-02-19$7.50$7.0029.6%8.5%26.0%33.6%29.1%0.7%2.2%182.7K-13.8M-89.1K0.149.18N/AN/A2,04128644,25822,550
2013-02-20$7.29$7.0030.1%8.6%27.7%35.5%29.6%-2.8%0.8%105.2K-11.8M-86.9K0.2416.81N/AN/A1,57937544,79122,705
2013-02-21$7.26$7.0030.2%8.6%27.8%35.7%29.8%0.4%0.6%88.9K-11.4M-89.2K0.6310.48N/AN/A92657944,78922,923
2013-02-22$7.37$7.0030.3%8.7%28.1%36.0%30.2%1.1%0.8%123.3K-12.7M-89.2K0.067.91N/AN/A1,5239344,95523,119
2013-02-25$7.23$7.0031.9%9.1%29.2%41.6%31.8%-2.8%1.0%67.4K-11.1M-87.9K0.5218.34N/AN/A1,11157845,42423,173
2013-02-26$7.31$7.0030.8%8.8%29.4%38.0%30.9%-0.6%1.7%80.3K-12.1M-87.3K0.705.15N/AN/A42229745,45923,373
2013-02-27$7.33$7.0030.4%8.7%26.9%36.6%29.8%1.0%2.1%99.3K-12.4M-87.4K0.5513.92N/AN/A62834745,60423,233
2013-02-28$7.39$7.0030.9%8.9%25.1%38.3%27.4%-0.6%0.3%140.9K-13.3M-87.5K0.3415.94N/AN/A52017745,92923,380