BSX Options History — November 2013

In November 2013, BSX traded between $11.57 and $12.05. ATM implied volatility averaged 25.4%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.9% (HV 20d: 28.4%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2013-11-08: Highest Volume — 19,850 contracts
  • 2013-11-14: Largest IV spike — 31.1% change
  • 2013-11-14: Highest IV Rank — 51.1%
  • 2013-11-12: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.87$11.57$12.05$11.75$11.58
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV25.4%21.6%28.5%24.3%27.4%
Expected Move9.9%9.8%10.1%9.8%9.9%
HV 20d28.4%23.2%32.6%30.5%23.8%
HV 60d28.2%24.9%29.9%28.0%24.9%
IV Rank39.2%24.8%51.1%35.1%46.5%
IV Percentile11.2%2.0%30.2%3.2%22.2%
Term Structure1.2%-0.3%2.5%2.5%1.4%
VWIV35.0%33.2%41.0%33.6%34.5%
Skew 25d3.4%1.1%7.7%7.7%5.4%
Skew 10d6.8%2.0%12.7%12.7%9.0%
Call IV 25d26.7%21.1%28.8%21.1%24.4%
Put IV 25d30.0%27.1%33.1%28.7%29.8%
Bid-Ask Spread %11.188.8421.449.6510.52
Gamma HHI0.340.250.590.310.27
Net GEX1.5M638.5K3.7M1.3M791.0K
Net DEX-48.1M-62.8M-35.5M-46.4M-35.5M
Net VEX-192.9K-212.0K-181.1K-193.0K-197.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.073.140.230.14
Total Volume5,201.784519,8501,0632,329
Total OI143,120.35124,870163,007138,075147,257

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$11.75$12.0024.3%9.8%30.5%35.1%0.0%7.7%2.5%1.3M-46.4M-193.0K0.239.65N/AN/A86519895,87942,196
2013-11-04$11.99$12.0024.4%9.8%31.2%35.5%33.6%2.3%0.9%1.6M-55.5M-181.1K0.788.84N/AN/A2,5722,00395,65142,207
2013-11-05$12.00$12.0024.1%9.9%30.6%34.0%34.5%2.5%1.1%1.6M-54.7M-184.9K0.9212.17N/AN/A1,6561,52396,05443,703
2013-11-06$11.91$12.0023.6%9.8%29.8%32.3%34.3%1.8%1.3%1.4M-50.6M-189.1K0.399.80N/AN/A60623996,50145,077
2013-11-07$11.64$12.0026.0%9.9%30.6%41.3%34.7%3.6%1.7%1.1M-39.8M-187.9K1.329.22N/AN/A1,9282,54096,63445,253
2013-11-08$11.88$12.0021.6%9.8%31.5%24.8%34.2%5.2%0.2%1.5M-48.9M-188.4K0.2715.86N/AN/A15,6654,18597,38646,590
2013-11-11$12.05$12.0025.5%10.1%30.2%39.6%34.1%4.4%0.3%2.5M-62.8M-206.4K1.2710.72N/AN/A4,1845,318109,05749,424
2013-11-12$11.91$12.0025.1%10.1%30.2%38.0%34.7%4.6%0.1%2.3M-54.8M-206.1K3.1410.59N/AN/A5271,653108,54552,882
2013-11-13$11.93$12.0021.8%10.0%28.8%25.4%34.9%3.9%-0.1%2.7M-52.0M-212.0K1.809.64N/AN/A1,2922,326108,48854,063
2013-11-14$11.96$12.0028.5%9.9%28.8%51.1%0.0%3.8%-0.3%3.7M-52.6M-205.7K1.639.77N/AN/A8301,356107,92954,486
2013-11-15$11.89$12.0027.6%10.0%28.7%47.4%34.8%2.6%0.7%2.4M-45.7M-192.4K0.709.60N/AN/A2,3271,639107,96755,040
2013-11-18$11.57$12.0028.2%9.9%30.1%49.7%38.4%2.8%0.7%638.5K-37.1M-186.6K0.2621.44N/AN/A5,5331,45782,48742,383
2013-11-19$11.96$12.0027.7%9.9%32.6%47.8%33.8%2.2%0.8%1.1M-50.4M-193.3K0.8810.81N/AN/A2,0791,83886,61342,761
2013-11-20$11.97$12.0026.5%9.9%32.6%43.3%35.1%3.0%1.5%1.2M-50.1M-194.1K0.0712.13N/AN/A8,32256587,91743,881
2013-11-21$11.93$12.0025.9%10.0%23.2%40.8%41.0%2.8%1.9%1.0M-46.6M-188.3K0.7610.09N/AN/A1,20592086,09443,729
2013-11-22$12.05$12.0024.3%9.8%23.3%35.1%33.2%2.1%2.3%1.2M-50.8M-185.1K0.9611.84N/AN/A3,5223,39786,77444,295
2013-11-25$11.89$12.0024.7%9.9%23.9%36.6%34.5%1.1%2.2%970.9K-46.5M-187.6K0.5011.12N/AN/A1,35768589,17747,282
2013-11-26$11.73$12.0025.5%10.0%23.6%39.6%0.0%2.0%2.2%809.7K-41.4M-184.1K1.2410.90N/AN/A4,4705,53389,49447,318
2013-11-27$11.71$12.0025.8%9.9%23.4%40.6%0.0%4.0%1.6%862.9K-39.1M-194.5K0.538.86N/AN/A3,5131,87791,93951,994
2013-11-29$11.58$12.0027.4%9.9%23.8%46.5%0.0%5.4%1.4%791.0K-35.5M-197.5K0.1410.52N/AN/A2,04628393,91753,340