BSX Options History — August 2013

In August 2013, BSX traded between $10.58 and $11.35. ATM implied volatility averaged 26.7%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 12.4% (HV 20d: 39.1%). Max pain ranged from $8.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2013-08-27: Highest Volume — 12,146 contracts
  • 2013-08-15: Largest IV spike — 16.7% change
  • 2013-08-30: Highest IV Rank — 49.9%
  • 2013-08-05: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.08$10.58$11.35$11.15$10.58
Max Pain$10.27$8.00$11.00$8.00$11.00
ATM IV26.7%24.9%29.0%27.6%27.1%
Expected Move7.8%7.2%8.4%7.9%7.8%
HV 20d39.1%16.5%48.6%48.4%23.5%
HV 60d34.1%33.2%36.1%36.1%34.3%
IV Rank42.6%32.5%49.9%41.7%49.9%
IV Percentile13.2%5.2%33.3%14.7%16.3%
Term Structure3.4%1.0%5.8%1.2%4.6%
VWIV27.8%25.1%32.6%27.4%28.2%
Skew 25d2.3%0.3%4.3%1.2%4.3%
Skew 10d6.5%-0.9%17.6%3.0%17.6%
Call IV 25d27.6%25.5%29.3%28.8%25.8%
Put IV 25d29.9%27.1%31.8%30.0%30.1%
Bid-Ask Spread %12.994.4025.1617.028.89
Gamma HHI0.360.290.480.340.37
Net GEX632.0K347.5K1.3M700.5K359.3K
Net DEX-44.4M-57.4M-25.1M-53.3M-25.1M
Net VEX-169.7K-190.5K-155.5K-155.5K-189.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.084.080.724.08
Total Volume3,254.95596212,14610,7332,773
Total OI101,635.86485,460113,297103,035101,168

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$11.15$8.0027.6%7.9%48.4%41.7%27.4%1.2%1.2%700.5K-53.3M-155.5K0.7217.02N/AN/A6,2494,48468,79734,238
2013-08-02$11.24$8.0028.0%8.0%48.3%42.9%27.0%1.2%1.0%614.6K-53.4M-162.9K0.3015.28N/AN/A3,30099468,61836,694
2013-08-05$11.22$10.0028.8%8.4%48.5%45.6%32.6%3.2%1.8%689.1K-54.5M-164.5K0.258.16N/AN/A2,84571570,71436,882
2013-08-06$11.18$10.0028.9%8.4%47.2%45.8%29.2%3.4%2.3%718.3K-53.4M-173.2K0.146.77N/AN/A3,41146171,85837,084
2013-08-07$11.11$10.0027.7%8.3%47.5%41.9%29.0%2.5%2.5%781.3K-53.5M-167.6K0.186.54N/AN/A1,12920473,13337,267
2013-08-08$11.32$10.0027.1%8.3%47.3%39.9%29.0%3.7%2.1%739.7K-57.2M-167.4K0.554.40N/AN/A1,41577873,26337,387
2013-08-09$11.35$10.0026.0%8.2%47.3%36.3%29.1%1.9%2.8%716.4K-57.2M-169.2K0.247.04N/AN/A1,80944373,48037,827
2013-08-12$11.33$10.0027.7%8.3%47.2%41.9%29.0%2.9%2.5%730.3K-57.4M-163.4K0.2313.11N/AN/A1,60337673,92738,230
2013-08-13$11.24$10.0025.7%8.1%47.1%35.1%27.9%3.5%2.7%781.8K-56.0M-167.7K0.1211.84N/AN/A1,45217274,32138,449
2013-08-14$11.28$10.0024.9%8.1%47.1%32.5%29.6%2.6%2.8%783.4K-57.2M-166.4K0.5311.92N/AN/A1,20864374,79738,500
2013-08-15$11.00$10.0029.0%8.3%48.6%46.2%29.6%1.6%2.3%1.1M-50.0M-172.1K0.3613.33N/AN/A2,44587773,91538,905
2013-08-16$11.06$10.0026.7%7.7%48.6%42.6%26.7%1.9%3.8%1.3M-52.5M-171.2K1.0413.20N/AN/A2,2742,37273,75638,958
2013-08-19$10.99$11.0026.5%7.6%47.6%41.8%26.9%0.3%2.8%467.2K-33.8M-168.5K0.8712.76N/AN/A86275257,01428,446
2013-08-20$11.01$11.0026.1%7.5%45.5%45.8%26.4%2.0%4.2%443.5K-34.2M-167.9K0.9318.16N/AN/A70765657,08029,052
2013-08-21$11.10$11.0026.2%7.5%45.2%45.9%26.4%2.2%4.6%435.9K-35.6M-165.2K0.1518.60N/AN/A1,12616557,21029,525
2013-08-22$11.18$11.0026.4%7.6%16.8%46.7%26.5%2.7%4.2%449.3K-36.4M-168.0K0.8720.47N/AN/A57450157,70529,665
2013-08-23$11.14$11.0025.3%7.2%16.5%42.2%25.3%2.1%5.3%467.8K-36.0M-166.4K0.7625.16N/AN/A1,4291,08457,80729,598
2013-08-26$11.28$11.0024.9%7.2%17.0%40.9%25.1%1.5%5.4%461.8K-38.5M-163.0K0.3811.60N/AN/A1,38552658,49730,538
2013-08-27$10.70$11.0026.2%7.5%25.3%46.2%28.1%2.0%5.3%416.3K-28.0M-169.6K0.8917.93N/AN/A6,4175,72959,40630,924
2013-08-28$10.69$11.0025.7%7.4%25.1%43.9%26.4%1.7%5.7%355.3K-27.3M-184.3K0.8310.40N/AN/A2,3491,95362,72036,312
2013-08-29$10.66$11.0025.2%7.2%23.7%41.8%26.9%2.5%5.8%347.5K-26.4M-190.5K0.0813.27N/AN/A8887464,29438,028
2013-08-30$10.58$11.0027.1%7.8%23.5%49.9%28.2%4.3%4.6%359.3K-25.1M-189.6K4.088.89N/AN/A5462,22764,59936,569