BSX Options History — June 2013

In June 2013, BSX traded between $9.00 and $9.64. ATM implied volatility averaged 30.5%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.0% (HV 20d: 25.5%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2013-06-11: Highest Volume — 10,192 contracts
  • 2013-06-13: Largest IV drop — 14.6% change
  • 2013-06-12: Highest IV Rank — 59.9%
  • 2013-06-11: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.31$9.00$9.64$9.41$9.27
Max Pain$8.80$8.00$9.00$8.00$9.00
ATM IV30.5%27.7%34.5%30.8%27.7%
Expected Move8.6%7.9%8.9%8.8%7.9%
HV 20d25.5%21.1%31.8%27.8%26.1%
HV 60d26.3%25.2%27.0%25.2%26.3%
IV Rank49.0%41.8%59.9%48.4%41.8%
IV Percentile43.8%14.7%81.0%46.8%14.7%
Term Structure2.9%-1.0%5.7%-1.0%5.7%
VWIV30.8%27.4%35.6%27.4%28.4%
Skew 25d1.0%-7.8%5.3%0.5%0.7%
Skew 10d3.3%-12.5%12.6%11.3%9.7%
Call IV 25d31.3%29.5%33.8%30.5%29.9%
Put IV 25d32.3%24.7%36.7%30.9%30.6%
Bid-Ask Spread %13.867.2526.957.7611.66
Gamma HHI0.650.560.730.600.72
Net GEX657.2K549.9K803.4K654.1K662.0K
Net DEX-32.6M-39.9M-24.7M-34.7M-28.5M
Net VEX-153.4K-159.5K-146.6K-154.1K-146.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.020.860.070.14
Total Volume2,512.0570010,1922,866851
Total OI96,012.6583,454105,39194,20585,022

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$9.41$8.0030.8%8.8%27.8%48.4%27.4%0.5%-1.0%654.1K-34.7M-154.1K0.077.76N/AN/A2,68817866,02328,182
2013-06-04$9.15$8.0029.4%8.4%30.9%43.9%29.5%-4.6%0.2%608.4K-30.4M-152.7K0.077.89N/AN/A1,0337365,89528,218
2013-06-05$9.00$8.0029.7%8.5%31.8%44.9%30.3%-7.8%-0.1%571.8K-27.5M-153.1K0.099.80N/AN/A1,78016565,79428,231
2013-06-06$9.18$8.0030.8%8.8%31.7%48.4%31.8%5.3%-0.2%597.5K-31.0M-152.2K0.587.80N/AN/A3,6142,08565,70828,282
2013-06-07$9.30$9.0030.1%8.7%26.3%46.2%30.4%3.3%3.4%639.8K-32.9M-153.9K0.1411.67N/AN/A1,25517365,94630,239
2013-06-10$9.45$9.0034.3%8.8%26.2%59.3%30.2%1.6%3.3%664.6K-35.6M-152.1K0.307.25N/AN/A5,4871,63366,42130,285
2013-06-11$9.44$9.0034.5%8.9%25.4%59.9%31.3%1.9%2.4%686.5K-36.1M-158.7K0.0718.78N/AN/A9,55863469,23731,796
2013-06-12$9.42$9.0034.5%8.8%25.5%59.9%35.6%2.4%2.9%711.0K-35.3M-157.9K0.1111.67N/AN/A1,49816669,94432,330
2013-06-13$9.58$9.0029.5%8.5%21.1%44.4%30.4%1.5%2.9%767.9K-38.7M-158.9K0.2016.88N/AN/A69713870,46832,442
2013-06-14$9.51$9.0029.5%8.5%21.2%44.4%29.9%1.7%3.1%732.8K-37.4M-157.6K0.1414.29N/AN/A96513870,45832,409
2013-06-17$9.64$9.0029.7%8.5%21.5%44.9%31.7%0.3%3.9%803.4K-39.9M-154.4K0.0816.34N/AN/A1,77514670,67132,406
2013-06-18$9.54$9.0029.3%8.4%21.4%47.2%29.4%0.3%3.7%757.2K-37.8M-159.5K0.1012.19N/AN/A7947671,00832,448
2013-06-19$9.40$9.0030.0%8.6%22.1%49.4%30.7%3.4%3.5%655.1K-36.2M-153.1K0.8626.95N/AN/A2,2271,92571,34532,450
2013-06-20$9.11$9.0030.3%8.7%24.6%50.6%32.2%1.1%4.2%600.4K-30.6M-154.0K0.0414.25N/AN/A1,2394972,20233,184
2013-06-21$9.14$9.0030.1%8.6%24.6%49.8%31.2%1.7%3.4%622.0K-32.2M-151.7K0.1813.56N/AN/A1,40825272,22933,162
2013-06-24$9.21$9.0030.6%8.8%24.5%51.7%32.9%1.4%3.6%607.0K-27.9M-149.1K0.4120.48N/AN/A1,32753963,61019,844
2013-06-25$9.03$9.0030.8%8.8%24.9%52.1%31.4%1.3%3.4%549.9K-24.7M-150.5K0.8620.73N/AN/A37632463,75620,169
2013-06-26$9.25$9.0029.6%8.5%26.3%48.4%31.0%1.5%4.3%641.4K-28.0M-148.0K0.1417.10N/AN/A74210363,89020,184
2013-06-27$9.22$9.0028.3%8.1%26.0%44.0%30.1%2.4%5.6%611.0K-27.5M-150.1K0.0210.08N/AN/A2,0933764,14020,225
2013-06-28$9.27$9.0027.7%7.9%26.1%41.8%28.4%0.7%5.7%662.0K-28.5M-146.6K0.1411.66N/AN/A74510664,80720,215