BSX Options History — September 2013

In September 2013, BSX traded between $10.90 and $11.99. ATM implied volatility averaged 32.1%, placing in the 70.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 0.8% (HV 20d: 32.9%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2013-09-05: Highest Volume — 11,654 contracts
  • 2013-09-05: Largest IV spike — 21.0% change
  • 2013-09-30: Highest IV Rank — 82.9%
  • 2013-09-10: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.65$10.90$11.99$10.90$11.74
Max Pain$10.80$10.00$11.00$11.00$11.00
ATM IV32.1%25.5%35.1%27.0%35.1%
Expected Move9.4%7.3%10.2%7.7%10.1%
HV 20d32.9%26.2%35.9%26.2%30.1%
HV 60d36.1%34.6%37.1%34.7%35.9%
IV Rank70.6%43.2%82.9%49.3%82.9%
IV Percentile69.7%6.7%92.5%15.9%92.5%
Term Structure1.9%-0.8%6.9%5.7%1.5%
VWIV34.0%28.3%36.4%28.3%36.4%
Skew 25d0.1%-1.8%2.3%2.3%-0.9%
Skew 10d2.2%-3.5%14.8%2.9%-0.9%
Call IV 25d34.5%28.4%37.8%29.1%37.8%
Put IV 25d34.6%28.9%37.4%31.3%36.9%
Bid-Ask Spread %13.252.9929.6014.7920.47
Gamma HHI0.370.320.430.370.33
Net GEX739.0K425.3K957.0K439.0K816.4K
Net DEX-48.2M-56.8M-31.9M-32.4M-48.1M
Net VEX-181.0K-189.2K-174.3K-183.0K-174.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.050.800.310.28
Total Volume3,166.358111,6541,6802,057
Total OI109,627.35101,182117,528101,182107,429

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$10.90$11.0027.0%7.7%26.2%49.3%28.3%2.3%5.7%439.0K-32.4M-183.0K0.3114.79N/AN/A1,28139964,74636,436
2013-09-04$10.93$11.0025.5%7.3%26.2%43.2%29.7%0.4%6.9%425.3K-31.9M-189.2K0.8018.10N/AN/A32325864,81536,656
2013-09-05$11.57$11.0030.9%8.8%33.2%65.5%30.4%0.8%3.8%520.7K-45.5M-175.0K0.152.99N/AN/A10,1441,51064,82536,838
2013-09-06$11.50$10.0029.7%10.0%32.8%60.7%35.8%1.6%-0.8%701.3K-46.5M-185.9K0.439.16N/AN/A2,4261,04770,49437,481
2013-09-09$11.99$10.0031.7%10.1%35.8%68.8%36.1%1.1%-0.6%762.3K-56.2M-176.2K0.0910.90N/AN/A4,94445570,94038,193
2013-09-10$11.95$10.0031.2%10.2%35.9%66.7%35.9%1.3%-0.6%778.1K-55.4M-175.8K0.257.87N/AN/A2,68566371,25138,454
2013-09-11$11.92$10.0030.1%9.6%35.7%62.2%34.1%0.6%1.4%768.5K-54.0M-175.8K0.519.88N/AN/A5,1392,60371,04638,948
2013-09-12$11.91$11.0033.7%9.7%35.7%77.0%34.7%0.0%1.4%846.9K-56.0M-184.2K0.297.63N/AN/A96928374,87440,837
2013-09-13$11.84$11.0033.2%9.5%34.4%75.1%33.7%0.3%1.7%850.1K-53.6M-189.0K0.238.20N/AN/A1,75640175,06140,986
2013-09-16$11.92$11.0034.8%10.0%34.4%81.6%35.1%0.8%1.2%884.6K-56.7M-182.6K0.679.25N/AN/A92061376,01641,305
2013-09-17$11.90$11.0033.5%9.6%34.2%76.5%34.4%-0.4%2.3%944.7K-56.4M-182.4K0.0910.18N/AN/A9969176,21441,314
2013-09-18$11.93$11.0033.9%9.7%34.2%77.9%35.8%-0.2%1.6%957.0K-56.8M-180.7K0.0929.60N/AN/A3,45432175,96741,346
2013-09-19$11.74$11.0032.5%9.3%34.9%72.1%34.7%-1.8%2.4%871.6K-52.2M-181.4K0.1012.35N/AN/A2,57525275,74841,263
2013-09-20$11.63$11.0032.3%9.3%35.1%71.4%33.5%-0.8%2.5%747.1K-49.7M-178.8K0.2415.31N/AN/A1,85845276,05141,441
2013-09-23$11.50$11.0033.9%9.7%35.4%78.2%35.9%0.4%1.4%645.2K-41.3M-180.0K0.7014.70N/AN/A3,4312,39768,74332,799
2013-09-24$11.46$11.0033.4%9.6%35.2%75.8%33.5%-1.2%1.3%667.3K-41.7M-178.5K0.4917.12N/AN/A66032470,75634,427
2013-09-25$11.45$11.0033.5%9.6%29.0%76.4%34.0%-0.9%1.6%669.4K-40.7M-183.5K0.4318.55N/AN/A82535771,03434,483
2013-09-26$11.67$11.0032.7%9.4%29.5%73.1%33.3%-1.0%2.4%753.0K-45.8M-179.7K0.0511.50N/AN/A2,64412371,46434,437
2013-09-27$11.52$11.0034.1%9.8%30.0%78.7%34.5%-1.1%0.6%731.9K-43.0M-184.3K0.3816.44N/AN/A1,22146972,94334,486
2013-09-30$11.74$11.0035.1%10.1%30.1%82.9%36.4%-0.9%1.5%816.4K-48.1M-174.3K0.2820.47N/AN/A1,60145672,94334,486