BSX Options History — May 2013

In May 2013, BSX traded between $7.49 and $9.27. ATM implied volatility averaged 28.3%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 1.6% (HV 20d: 26.6%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2013-05-09: Highest Volume — 14,019 contracts
  • 2013-05-13: Largest IV spike — 62.4% change
  • 2013-05-13: Highest IV Rank — 61.2%
  • 2013-05-20: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.64$7.49$9.27$7.49$9.24
Max Pain$7.68$7.00$8.00$7.00$8.00
ATM IV28.3%21.5%35.0%27.9%29.6%
Expected Move8.1%7.0%8.8%8.0%8.5%
HV 20d26.6%22.5%30.7%23.2%27.6%
HV 60d24.2%21.3%26.1%21.9%25.3%
IV Rank40.6%19.8%61.2%39.5%44.7%
IV Percentile24.9%1.6%79.0%14.3%34.5%
Term Structure0.7%-1.1%3.4%0.9%-0.2%
VWIV28.8%24.9%31.9%27.1%29.6%
Skew 25d1.5%-8.4%6.2%0.4%2.6%
Skew 10d6.7%-13.6%43.3%1.9%8.8%
Call IV 25d28.6%21.4%31.9%29.2%29.6%
Put IV 25d30.1%17.6%34.5%29.6%32.2%
Bid-Ask Spread %15.178.7123.1121.6911.38
Gamma HHI0.460.320.580.320.58
Net GEX543.4K344.7K1.3M357.5K629.8K
Net DEX-28.0M-44.2M-12.1M-12.1M-32.4M
Net VEX-126.6K-156.1K-88.9K-92.6K-156.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.021.140.210.06
Total Volume4,425.72759114,0197155,203
Total OI91,261.22779,406107,88885,67194,446

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$7.49$7.0027.9%8.0%23.2%39.5%27.1%0.4%0.9%357.5K-12.1M-92.6K0.2121.69N/AN/A59312260,86624,805
2013-05-02$7.61$7.0026.9%7.7%22.5%36.3%26.5%0.5%-1.1%386.7K-13.2M-91.3K0.1117.19N/AN/A5316061,29224,927
2013-05-03$7.69$7.0026.1%7.5%22.8%33.8%25.3%-8.4%-0.7%408.8K-14.6M-94.7K0.1523.11N/AN/A81812561,21124,952
2013-05-06$7.74$7.0025.8%7.0%22.9%32.9%24.9%4.7%3.4%434.3K-15.3M-88.9K0.1911.59N/AN/A55010361,44824,917
2013-05-07$7.69$7.0026.0%7.1%23.0%33.5%24.9%-1.7%2.8%423.7K-14.5M-89.2K0.1010.70N/AN/A7016761,76425,012
2013-05-08$7.85$7.0024.0%7.0%24.1%27.6%25.2%4.8%2.7%508.2K-17.3M-93.2K0.1410.50N/AN/A83311862,18825,017
2013-05-09$8.30$7.0024.9%7.5%30.4%30.2%26.1%1.1%2.1%586.2K-27.8M-97.1K1.1420.74N/AN/A6,5547,46562,22124,959
2013-05-10$8.45$8.0021.5%7.9%30.7%19.8%27.6%1.1%2.0%344.7K-27.8M-113.3K0.3012.73N/AN/A6,7482,04761,93831,008
2013-05-13$8.65$8.0035.0%8.5%29.2%61.2%30.4%6.2%0.3%412.9K-32.1M-119.4K0.1712.55N/AN/A7,0121,21564,29632,570
2013-05-14$8.70$8.0032.8%8.2%28.8%54.7%31.1%2.1%1.5%456.4K-34.4M-132.1K0.0217.22N/AN/A5,8349767,56633,413
2013-05-15$9.10$8.0026.2%8.7%29.6%34.2%31.9%3.2%0.2%656.0K-42.5M-137.0K0.1418.01N/AN/A9,9361,44070,12833,339
2013-05-16$9.04$8.0030.0%8.6%27.0%46.1%30.3%1.2%1.1%1.3M-43.1M-136.8K0.3421.60N/AN/A5,3311,81873,67333,653
2013-05-17$9.10$8.0029.1%8.3%26.6%43.0%30.5%2.2%2.2%805.4K-44.2M-138.3K0.1317.23N/AN/A4,04753372,83135,057
2013-05-20$9.25$8.0030.6%8.8%26.3%47.9%31.7%1.2%-0.4%487.5K-31.0M-139.3K0.4314.08N/AN/A6,1402,61056,34423,062
2013-05-21$9.23$8.0030.6%8.8%26.8%47.9%31.2%1.8%-0.1%510.9K-31.2M-149.3K0.1812.60N/AN/A2,19739859,83524,946
2013-05-22$9.13$8.0029.5%8.4%27.8%44.3%30.1%2.0%0.6%515.7K-29.7M-149.7K0.3413.98N/AN/A2,75193360,60925,203
2013-05-23$9.16$8.0029.2%8.4%27.4%43.4%29.1%3.0%0.3%523.4K-29.8M-152.5K0.3114.35N/AN/A2,84487361,31825,778
2013-05-24$9.08$8.0028.8%8.3%27.1%42.2%29.2%2.2%0.5%529.3K-29.2M-154.7K0.669.92N/AN/A1,08572162,47926,512
2013-05-28$9.22$8.0029.3%8.4%27.1%43.9%29.5%1.9%-0.6%549.2K-31.3M-153.5K0.5013.00N/AN/A1,09154363,06227,052
2013-05-29$9.16$8.0029.0%8.3%27.5%42.8%30.3%1.9%-0.3%534.1K-30.6M-153.1K0.4920.80N/AN/A82640163,38027,394
2013-05-30$9.27$8.0029.0%8.3%27.3%42.8%31.2%-0.8%-0.8%550.5K-32.2M-153.2K0.068.71N/AN/A3,82622663,51827,758
2013-05-31$9.24$8.0029.6%8.5%27.6%44.7%29.6%2.6%-0.2%629.8K-32.4M-156.1K0.0611.38N/AN/A4,88631766,49327,953