BSX Options History — December 2013

In December 2013, BSX traded between $11.18 and $12.17. ATM implied volatility averaged 27.9%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.7% (HV 20d: 30.6%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2013-12-12: Highest Volume — 110,297 contracts
  • 2013-12-26: Largest IV spike — 16.2% change
  • 2013-12-11: Highest IV Rank — 72.0%
  • 2013-12-26: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.68$11.18$12.17$11.63$12.02
Max Pain$10.29$10.00$12.00$12.00$10.00
ATM IV27.9%23.0%34.1%27.6%23.0%
Expected Move10.1%9.8%11.6%9.9%10.0%
HV 20d30.6%23.3%34.2%23.7%31.1%
HV 60d27.4%23.6%28.5%24.9%28.2%
IV Rank48.7%30.0%72.0%47.6%30.0%
IV Percentile32.2%2.8%81.0%23.4%2.8%
Term Structure4.4%-1.2%8.4%1.3%8.4%
VWIV35.2%33.7%37.6%37.6%34.9%
Skew 25d0.2%-2.6%3.7%2.9%-0.9%
Skew 10d1.6%-4.9%12.6%9.9%-1.0%
Call IV 25d29.6%26.3%33.6%28.7%27.9%
Put IV 25d29.8%26.3%34.2%31.6%26.9%
Bid-Ask Spread %25.247.9488.657.9423.13
Gamma HHI0.410.280.580.280.58
Net GEX2.1M696.5K3.6M895.6K2.9M
Net DEX-49.8M-79.7M-24.4M-37.5M-69.2M
Net VEX-251.0K-303.1K-184.0K-190.5K-265.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.022.830.510.04
Total Volume13,280.143861110,2971,6342,341
Total OI219,204.714147,822265,125147,822239,164

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$11.63$12.0027.6%9.9%23.7%47.6%37.6%2.9%1.3%895.6K-37.5M-190.5K0.517.94N/AN/A1,08455094,87152,951
2013-12-03$11.82$12.0026.8%9.9%23.3%44.4%34.0%3.2%1.4%1.2M-43.6M-189.1K0.7115.42N/AN/A7,0805,06195,05352,779
2013-12-04$11.31$12.0030.5%9.8%27.9%58.3%35.1%3.7%-1.2%785.2K-25.5M-184.0K0.2817.02N/AN/A30,6928,441100,56553,053
2013-12-05$11.34$10.0030.4%10.1%27.9%58.1%0.0%2.8%-0.6%1.4M-30.5M-210.8K0.2714.62N/AN/A5,9121,610127,34956,522
2013-12-06$11.85$10.0030.0%10.3%31.3%56.7%36.2%1.1%2.6%2.8M-58.0M-234.5K0.1513.52N/AN/A3,930605131,20757,375
2013-12-09$11.72$10.0033.2%10.1%30.7%68.7%0.0%0.4%2.4%2.8M-51.3M-223.7K0.4717.45N/AN/A7,4353,475133,08357,573
2013-12-10$11.58$10.0033.0%10.1%30.4%67.8%0.0%1.2%2.7%2.7M-43.9M-226.8K0.3129.11N/AN/A1,302400138,00860,032
2013-12-11$11.18$10.0034.1%9.9%32.5%72.0%35.3%0.7%2.4%1.1M-24.4M-199.6K0.2412.94N/AN/A30,2047,338138,56860,196
2013-12-12$11.48$10.0028.6%10.2%34.1%51.4%35.8%-2.6%5.4%2.5M-41.4M-214.3K0.3513.58N/AN/A81,77128,526151,97666,199
2013-12-13$11.39$10.0028.4%10.1%34.2%50.6%35.2%-1.0%4.7%1.7M-37.2M-246.1K2.8312.99N/AN/A4,44312,591163,37173,315
2013-12-16$11.40$10.0028.9%10.1%34.1%52.5%35.0%-0.3%4.9%696.5K-35.8M-303.1K2.1330.54N/AN/A1,7433,714179,06184,132
2013-12-17$11.44$10.0028.9%10.1%32.9%52.6%35.1%0.1%4.8%813.9K-39.0M-296.3K0.3522.23N/AN/A1,061374180,09385,032
2013-12-18$11.54$10.0027.6%10.2%30.6%47.5%0.0%-1.2%5.1%1.6M-44.3M-289.8K0.6246.22N/AN/A846528179,85484,873
2013-12-19$11.62$10.0027.6%10.3%30.7%47.4%34.8%-0.4%5.6%1.9M-47.6M-294.7K0.7035.41N/AN/A782551179,53484,310
2013-12-20$11.84$10.0023.7%10.1%31.6%32.5%0.0%-0.0%8.1%2.8M-57.7M-290.2K1.0925.29N/AN/A4,0574,429179,82184,224
2013-12-23$11.97$10.0024.4%10.1%31.6%35.5%34.9%0.0%7.3%2.9M-66.2M-281.6K0.1233.96N/AN/A3,065376165,11669,222
2013-12-24$11.99$10.0023.7%10.1%31.2%32.8%0.0%-1.8%8.1%3.1M-72.7M-284.2K0.0823.67N/AN/A97681165,84469,181
2013-12-26$12.17$10.0027.6%11.6%31.2%47.4%0.0%-0.9%5.1%3.6M-79.7M-297.0K0.0288.65N/AN/A2,57357165,75969,204
2013-12-27$12.06$10.0024.3%10.1%31.4%35.0%33.7%-1.1%6.8%3.2M-71.6M-277.3K0.3922.23N/AN/A5,7522,266166,17469,206
2013-12-30$12.02$10.0024.2%10.1%31.1%34.5%0.0%-0.5%7.7%2.8M-69.6M-271.9K0.6024.18N/AN/A539322168,21971,230
2013-12-31$12.02$10.0023.0%10.0%31.1%30.0%34.9%-0.9%8.4%2.9M-69.2M-265.8K0.0423.13N/AN/A2,25190167,94171,223