BSX Options History — April 2013

In April 2013, BSX traded between $7.09 and $7.92. ATM implied volatility averaged 32.7%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.8% (HV 20d: 23.9%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2013-04-19: Highest Volume — 11,805 contracts
  • 2013-04-25: Largest IV drop — 25.2% change
  • 2013-04-23: Highest IV Rank — 68.3%
  • 2013-04-23: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.57$7.09$7.92$7.80$7.49
Max Pain$6.68$6.00$8.00$8.00$7.00
ATM IV32.7%27.2%37.3%31.7%28.7%
Expected Move9.3%7.8%10.7%9.1%8.2%
HV 20d23.9%21.2%26.5%21.2%23.9%
HV 60d23.7%22.5%24.5%23.5%22.5%
IV Rank53.4%37.2%68.3%49.2%42.0%
IV Percentile56.9%8.7%91.7%49.2%19.8%
Term Structure-2.4%-5.1%0.3%-1.4%-0.9%
VWIV32.8%28.4%37.8%32.3%28.6%
Skew 25d3.3%-0.8%11.3%8.2%0.0%
Skew 10d7.2%-2.2%23.2%14.1%1.5%
Call IV 25d31.9%26.1%37.1%28.3%28.9%
Put IV 25d35.2%28.9%41.6%36.5%28.9%
Bid-Ask Spread %24.365.8643.2620.6824.04
Gamma HHI0.360.290.470.350.32
Net GEX448.0K125.5K759.2K439.8K361.1K
Net DEX-14.9M-21.7M-7.9M-19.0M-12.2M
Net VEX-92.9K-106.7K-86.8K-88.5K-93.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.006.310.130.01
Total Volume3,020.77327611,8052,968410
Total OI86,717.13677,39897,22877,39885,771

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$7.80$8.0031.7%9.1%21.2%49.2%32.3%8.2%-1.4%439.8K-19.0M-88.5K0.1320.68N/AN/A2,61735154,09923,299
2013-04-02$7.89$8.0029.9%8.6%21.3%44.0%31.2%9.5%-0.1%475.8K-21.4M-92.2K0.4431.83N/AN/A2,3521,03555,32223,487
2013-04-03$7.75$8.0031.8%9.1%22.6%49.5%32.2%7.0%0.3%444.5K-18.2M-91.3K0.1243.26N/AN/A4,49053855,35124,349
2013-04-04$7.92$8.0030.9%8.8%22.9%46.9%28.4%11.3%0.3%517.0K-21.7M-93.8K0.2127.75N/AN/A1,34127956,67624,766
2013-04-05$7.86$6.0030.5%9.0%22.6%45.8%32.1%1.9%-2.5%519.1K-20.3M-94.3K0.3020.55N/AN/A98729256,72224,908
2013-04-08$7.81$6.0033.5%9.1%22.8%54.7%32.1%0.8%-1.9%524.4K-19.3M-90.5K0.4515.98N/AN/A80336257,11725,060
2013-04-09$7.82$6.0034.0%9.0%22.8%56.1%32.0%0.1%-2.1%539.6K-19.5M-90.3K0.0018.49N/AN/A10,8045157,47225,284
2013-04-10$7.79$6.0032.1%8.7%22.5%50.4%32.3%0.8%-1.3%632.4K-20.1M-106.7K0.3022.07N/AN/A1,57947767,35825,295
2013-04-11$7.67$6.0031.5%9.0%23.1%48.7%31.5%1.2%-1.9%580.2K-17.0M-103.3K0.0428.64N/AN/A7,16531966,90725,577
2013-04-12$7.66$6.0031.7%9.1%23.1%49.3%32.1%1.2%-2.1%759.2K-17.0M-102.6K0.1426.41N/AN/A1,40419571,64325,585
2013-04-15$7.47$6.0034.9%10.0%24.1%61.1%33.9%0.7%-3.5%546.3K-13.5M-98.6K0.4826.66N/AN/A82239671,40725,582
2013-04-16$7.43$6.0035.9%10.3%23.9%64.1%36.3%4.3%-4.1%495.8K-12.2M-92.9K0.4323.59N/AN/A1,48263871,17525,350
2013-04-17$7.28$6.0034.8%10.0%24.9%60.7%37.8%5.4%-3.3%395.8K-10.4M-88.0K0.1324.66N/AN/A1,27816071,30725,438
2013-04-18$7.09$6.0035.6%10.2%24.8%63.2%36.2%4.5%-3.6%125.5K-7.9M-86.8K2.1725.17N/AN/A8871,92570,75425,200
2013-04-19$7.27$6.0035.2%10.1%26.5%61.9%35.0%3.5%-2.9%381.7K-10.2M-87.6K6.3123.70N/AN/A1,61410,19170,62625,431
2013-04-22$7.27$7.0036.1%10.3%26.4%64.6%34.6%6.0%-3.3%320.7K-9.5M-88.4K0.1122.49N/AN/A1,12912957,86321,417
2013-04-23$7.35$7.0037.3%10.7%26.4%68.3%34.4%2.0%-5.1%349.1K-10.7M-88.2K0.2038.00N/AN/A59112158,74821,417
2013-04-24$7.36$7.0036.3%10.4%25.8%65.4%36.5%-0.8%-4.4%348.3K-10.7M-88.2K0.755.86N/AN/A1,7151,29358,73421,472
2013-04-25$7.54$7.0027.2%7.8%25.3%37.2%30.8%3.6%-1.8%402.7K-13.5M-95.8K2.0018.82N/AN/A1,1132,22660,04422,728
2013-04-26$7.45$7.0029.2%8.4%24.2%43.6%29.4%1.1%-2.5%335.8K-11.4M-88.5K0.3130.68N/AN/A47514560,75024,696
2013-04-29$7.49$7.0030.6%8.8%24.4%47.6%31.8%0.4%-3.9%362.0K-12.4M-94.3K0.1116.71N/AN/A2492760,80024,790
2013-04-30$7.49$7.0028.7%8.2%23.9%42.0%28.6%0.0%-0.9%361.1K-12.2M-93.7K0.0124.04N/AN/A405560,96924,802