BSX Options History — March 2013

In March 2013, BSX traded between $7.27 and $7.81. ATM implied volatility averaged 27.5%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.0% (HV 20d: 19.5%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-03-28: Highest Volume — 7,227 contracts
  • 2013-03-07: Largest IV spike — 61.2% change
  • 2013-03-18: Highest IV Rank — 49.8%
  • 2013-03-07: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.46$7.27$7.81$7.37$7.81
Max Pain$7.45$7.00$8.00$7.00$8.00
ATM IV27.5%15.1%31.9%28.5%28.0%
Expected Move8.8%8.0%9.6%8.2%8.0%
HV 20d19.5%17.3%23.8%23.8%21.2%
HV 60d23.7%23.2%24.3%23.2%23.9%
IV Rank35.6%0.0%49.8%30.1%38.5%
IV Percentile23.3%0.0%47.6%14.7%14.7%
Term Structure-1.2%-3.1%3.3%3.3%1.0%
VWIV30.7%27.5%33.6%27.5%28.4%
Skew 25d2.5%-1.2%5.7%-1.2%1.1%
Skew 10d8.6%-0.5%21.7%0.0%-0.5%
Call IV 25d29.9%26.9%32.0%28.5%30.9%
Put IV 25d32.4%27.3%36.1%27.3%32.0%
Bid-Ask Spread %19.193.2429.1526.9028.50
Gamma HHI0.310.290.380.310.29
Net GEX274.8K87.2K371.7K87.2K341.5K
Net DEX-14.3M-18.6M-10.8M-13.2M-18.6M
Net VEX-84.0K-87.7K-79.5K-87.7K-87.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.023.930.350.11
Total Volume2,120.151237,2277197,227
Total OI72,282.267,85879,95069,81073,925

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$7.37$7.0028.5%8.2%23.8%30.1%27.5%-1.2%3.3%87.2K-13.2M-87.7K0.3526.90N/AN/A53418546,29223,518
2013-03-04$7.36$7.0030.6%9.3%22.2%37.1%31.2%5.7%-1.1%99.4K-13.0M-86.3K0.4019.67N/AN/A32312846,39823,691
2013-03-05$7.38$7.0031.3%9.1%20.4%39.7%31.0%3.6%-1.1%105.4K-13.5M-84.5K0.0816.41N/AN/A1,87514246,41123,002
2013-03-06$7.52$7.0015.1%8.9%18.7%0.0%31.5%0.4%-2.3%282.5K-16.5M-79.5K0.3914.17N/AN/A1,02839647,40223,042
2013-03-07$7.43$7.0024.3%9.6%19.1%27.4%33.6%3.0%-2.3%163.5K-14.7M-84.0K0.0811.29N/AN/A2,61122047,68423,385
2013-03-08$7.49$7.0015.4%9.5%19.4%0.9%32.9%2.2%-3.1%323.1K-17.2M-85.4K0.063.24N/AN/A9896349,48023,324
2013-03-11$7.50$7.0023.5%9.4%19.1%24.9%32.4%4.2%-2.2%335.3K-17.0M-81.3K0.1618.71N/AN/A2,19234449,85723,297
2013-03-12$7.59$7.0019.4%8.5%19.5%12.9%29.4%4.8%-0.2%371.7K-17.6M-81.7K0.0716.17N/AN/A1,95913549,52123,521
2013-03-13$7.53$7.0029.7%8.5%19.6%43.5%30.5%2.5%-0.6%359.7K-17.2M-82.8K3.8515.49N/AN/A7873,03051,03023,472
2013-03-14$7.52$7.0028.8%8.3%18.4%40.7%29.0%3.5%-0.4%295.0K-15.7M-83.4K0.0213.42N/AN/A2,6515351,42426,404
2013-03-15$7.39$7.0031.6%9.1%19.0%49.1%30.8%3.8%-1.8%360.4K-15.0M-85.9K1.5021.77N/AN/A1,6742,50553,59926,351
2013-03-18$7.32$8.0031.9%9.1%19.2%49.8%32.7%4.3%-2.1%335.0K-11.4M-83.6K0.9727.69N/AN/A52951248,22819,630
2013-03-19$7.27$8.0030.1%8.6%19.2%44.6%30.2%4.0%-1.1%329.5K-10.8M-82.4K1.3918.65N/AN/A1,9682,74448,48020,147
2013-03-20$7.45$8.0030.8%8.8%18.6%46.7%30.5%1.8%-1.7%286.1K-12.5M-86.0K0.0920.28N/AN/A4924648,76622,821
2013-03-21$7.37$8.0029.9%8.6%19.0%44.0%29.8%0.5%-1.8%274.9K-11.5M-84.4K0.0916.89N/AN/A6005549,02822,831
2013-03-22$7.40$8.0030.3%8.7%18.3%45.3%30.6%1.1%-2.1%279.6K-11.7M-84.9K3.9315.23N/AN/A7328749,26322,825
2013-03-25$7.32$8.0031.2%8.9%17.3%47.8%31.0%0.8%-2.2%272.0K-11.0M-81.3K0.2423.24N/AN/A992449,29423,095
2013-03-26$7.44$8.0031.0%8.9%17.8%47.2%29.7%1.3%-2.1%283.6K-12.5M-82.0K0.0926.83N/AN/A7816849,31823,073
2013-03-27$7.65$8.0029.0%8.3%20.3%41.5%30.5%3.6%-0.9%310.0K-15.6M-84.8K0.1129.15N/AN/A2,77629849,74623,069
2013-03-28$7.81$8.0028.0%8.0%21.2%38.5%28.4%1.1%1.0%341.5K-18.6M-87.6K0.1128.50N/AN/A6,50072750,86223,063