BSX Options History — July 2013

In July 2013, BSX traded between $9.15 and $10.97. ATM implied volatility averaged 31.1%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.7% (HV 20d: 30.4%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.47.

Notable Days

  • 2013-07-25: Highest Volume — 22,688 contracts
  • 2013-07-25: Largest IV drop — 17.7% change
  • 2013-07-22: Highest IV Rank — 72.9%
  • 2013-07-22: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.80$9.15$10.97$9.37$10.92
Max Pain$8.14$8.00$9.00$9.00$8.00
ATM IV31.1%27.7%37.0%29.3%27.8%
Expected Move9.1%7.9%10.6%8.4%8.0%
HV 20d30.4%21.8%49.5%25.5%48.4%
HV 60d28.5%25.5%36.0%26.3%36.0%
IV Rank53.1%42.0%72.9%47.3%42.2%
IV Percentile50.9%16.3%95.6%32.9%16.7%
Term Structure-0.2%-5.2%5.7%4.3%1.3%
VWIV32.4%27.7%37.4%29.6%28.7%
Skew 25d0.7%-4.3%3.4%1.6%1.2%
Skew 10d2.0%-7.7%12.0%12.0%1.4%
Call IV 25d32.8%29.6%38.3%29.9%29.8%
Put IV 25d33.5%27.6%39.4%31.5%31.0%
Bid-Ask Spread %11.394.6716.4015.1311.73
Gamma HHI0.630.360.790.740.36
Net GEX698.4K530.0K831.0K718.6K730.9K
Net DEX-34.8M-51.5M-26.0M-29.7M-49.3M
Net VEX-143.7K-166.4K-134.8K-148.1K-161.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.031.321.320.12
Total Volume3,466.27312422,6889632,756
Total OI89,145.45581,186102,99885,325102,998

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$9.37$9.0029.3%8.4%25.5%47.3%29.6%1.6%4.3%718.6K-29.7M-148.1K1.3215.13N/AN/A41554865,07920,246
2013-07-02$9.17$9.0028.2%8.1%24.7%43.5%28.2%-3.7%4.9%602.4K-26.6M-145.1K0.1712.54N/AN/A5349265,15120,698
2013-07-03$9.15$9.0027.7%7.9%23.9%42.0%27.7%-4.3%5.7%584.4K-26.0M-143.2K0.7212.46N/AN/A725265,21320,751
2013-07-05$9.30$8.0028.0%9.3%23.5%43.1%31.8%3.4%-0.2%663.6K-28.4M-142.6K0.808.18N/AN/A33826965,23420,711
2013-07-08$9.37$8.0030.3%9.1%23.2%50.7%33.4%1.3%0.1%687.8K-29.7M-141.3K0.527.56N/AN/A1,46276665,21920,873
2013-07-09$9.15$8.0029.2%9.3%24.0%47.0%32.4%2.0%-0.3%530.0K-26.0M-140.4K0.425.86N/AN/A64026864,91221,488
2013-07-10$9.23$8.0028.1%9.3%24.3%43.1%32.6%1.9%-0.7%544.1K-26.8M-137.9K0.5511.95N/AN/A66736464,87521,664
2013-07-11$9.46$8.0032.2%9.2%25.9%57.0%31.7%0.7%-0.3%719.7K-30.8M-137.6K0.4516.40N/AN/A2,3731,06764,89721,829
2013-07-12$9.61$8.0031.5%9.0%25.8%54.6%32.0%0.6%-0.5%821.5K-32.8M-139.0K0.2711.75N/AN/A96626364,68722,634
2013-07-15$9.57$8.0031.9%9.2%25.7%56.0%33.4%0.9%-0.8%803.9K-32.5M-135.5K0.5210.49N/AN/A1,64286064,51822,338
2013-07-16$9.47$8.0033.6%9.6%25.5%61.6%33.5%1.3%-1.6%679.6K-30.5M-135.4K0.387.83N/AN/A53920664,57423,111
2013-07-17$9.54$8.0032.9%9.4%25.4%59.3%33.3%-0.9%-2.0%733.0K-31.6M-134.8K0.3711.98N/AN/A1,67261964,67423,207
2013-07-18$9.60$8.0032.7%9.4%24.9%58.6%32.9%-0.5%-0.9%683.3K-32.2M-135.2K0.039.89N/AN/A1,3874764,86323,392
2013-07-19$9.67$8.0033.1%9.5%21.8%60.0%36.0%-0.9%-1.8%762.1K-33.1M-138.3K0.1611.33N/AN/A3,54155065,48623,423
2013-07-22$10.02$8.0037.0%10.6%24.7%72.9%37.1%2.2%-4.8%725.9K-37.1M-138.1K0.0913.43N/AN/A7,71672560,88820,298
2013-07-23$9.70$8.0037.0%10.6%27.9%72.7%37.4%-0.2%-5.2%776.6K-33.7M-143.1K0.6913.68N/AN/A2,2901,57864,34620,666
2013-07-24$9.61$8.0035.4%10.2%27.0%67.5%36.0%1.2%-3.6%771.2K-31.4M-144.4K0.5713.54N/AN/A2,4861,41764,93822,099
2013-07-25$10.83$8.0029.1%8.3%49.1%46.6%30.5%1.8%0.3%831.0K-51.5M-135.8K1.234.67N/AN/A10,19712,49165,08222,740
2013-07-26$10.96$8.0028.7%8.2%48.9%45.4%31.3%2.9%1.7%625.3K-48.8M-157.1K0.3211.56N/AN/A5,0181,59465,23032,584
2013-07-29$10.97$8.0030.4%8.7%49.0%51.1%31.7%1.6%-0.2%675.6K-49.9M-160.6K0.3913.79N/AN/A2,7081,04467,64533,373
2013-07-30$10.83$8.0029.2%8.4%49.5%46.9%31.5%2.2%0.6%694.4K-47.6M-166.4K0.1514.89N/AN/A1,75526468,70733,859
2013-07-31$10.92$8.0027.8%8.0%48.4%42.2%28.7%1.2%1.3%730.9K-49.3M-161.5K0.1211.73N/AN/A2,46229468,99434,004