BSX Options History — January 2014

In January 2014, BSX traded between $11.91 and $13.98. ATM implied volatility averaged 28.6%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 4.0% (HV 20d: 24.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2014-01-08: Highest Volume — 48,547 contracts
  • 2014-01-16: Largest IV spike — 144.1% change
  • 2014-01-31: Highest IV Rank — 81.5%
  • 2014-01-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.11$11.91$13.98$11.91$13.53
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV28.6%12.5%36.1%23.8%36.1%
Expected Move9.8%9.4%10.0%10.0%9.6%
HV 20d24.5%20.3%30.8%30.8%27.7%
HV 60d28.1%26.5%29.7%28.2%27.4%
IV Rank53.0%0.0%81.5%32.9%81.5%
IV Percentile46.5%0.0%93.7%4.8%93.7%
Term Structure0.2%-4.1%8.6%7.5%-4.1%
VWIV34.6%32.8%38.7%34.4%33.8%
Skew 25d0.2%-10.4%1.8%-2.6%-0.2%
Skew 10d2.2%-16.9%8.6%-5.1%6.0%
Call IV 25d32.7%27.5%36.7%29.0%36.7%
Put IV 25d32.9%17.1%37.5%26.4%36.5%
Bid-Ask Spread %22.2315.1532.6223.2415.94
Gamma HHI0.550.330.840.540.33
Net GEX5.1M2.5M7.0M2.5M7.0M
Net DEX-112.8M-154.1M-62.1M-62.3M-116.5M
Net VEX-315.0K-366.3K-243.7K-249.5K-365.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.071.680.321.68
Total Volume12,884.0951,73948,5472,7512,565
Total OI228,447.952154,656259,891238,588243,298

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$11.91$10.0023.8%10.0%30.8%32.9%0.0%-2.6%7.5%2.5M-62.3M-249.5K0.3223.24N/AN/A2,089662167,33371,255
2014-01-03$11.93$10.0022.2%10.0%26.0%27.1%34.4%-10.4%8.6%2.5M-62.1M-243.7K0.2523.56N/AN/A1,388351168,54171,387
2014-01-06$12.33$10.0024.4%9.9%28.1%35.3%33.2%1.0%0.5%4.3M-89.1M-261.8K0.1729.67N/AN/A23,4764,051168,12571,076
2014-01-07$12.44$10.0024.7%9.9%24.0%36.5%36.0%0.6%0.4%5.7M-98.2M-281.7K0.1017.22N/AN/A2,383248185,68774,204
2014-01-08$12.79$10.0027.8%10.0%25.0%48.3%34.7%-0.0%2.1%5.1M-113.8M-268.8K0.0924.55N/AN/A44,6803,867159,60074,324
2014-01-09$12.78$10.0026.2%10.0%24.3%42.3%34.5%0.9%1.6%5.7M-121.3M-335.6K0.1020.07N/AN/A3,210328180,95376,871
2014-01-10$13.11$10.0022.3%10.0%20.3%27.4%33.9%1.1%2.1%6.0M-135.7M-315.4K0.3523.62N/AN/A15,0305,231169,12276,986
2014-01-13$12.92$10.0026.7%9.9%20.5%44.1%34.8%1.5%0.6%4.7M-118.7M-312.0K0.1119.24N/AN/A4,645491165,26681,280
2014-01-14$13.18$10.0022.7%10.0%20.4%28.9%34.3%0.9%1.5%4.9M-132.9M-307.0K0.3930.13N/AN/A2,6281,025163,78681,395
2014-01-15$13.34$10.0012.5%9.9%20.3%0.0%34.3%0.7%1.2%4.4M-142.5M-308.9K0.1115.22N/AN/A8,761943163,74181,225
2014-01-16$13.55$10.0030.5%9.6%20.5%62.1%33.9%1.1%0.5%4.4M-154.1M-306.1K0.1029.65N/AN/A5,574533166,82281,806
2014-01-17$13.51$10.0030.3%9.5%20.8%61.5%34.9%1.2%0.7%4.5M-152.1M-307.0K0.1120.23N/AN/A3,491374167,37982,105
2014-01-21$13.98$10.0033.0%9.5%22.8%70.7%35.1%0.9%-2.7%3.6M-117.6M-308.2K0.1719.58N/AN/A37,5816,214130,42824,228
2014-01-22$13.87$10.0032.6%9.5%23.3%69.4%34.3%-0.5%-2.4%5.3M-131.4M-334.2K1.1832.62N/AN/A6,7908,042152,00928,742
2014-01-23$13.65$10.0032.8%9.4%24.8%70.3%32.8%1.1%-2.7%5.0M-114.4M-349.2K0.2020.36N/AN/A2,018396151,86432,523
2014-01-24$13.34$10.0034.5%9.9%26.9%76.2%34.6%1.3%-1.9%5.1M-100.3M-344.3K0.0716.81N/AN/A26,2171,783151,76732,655
2014-01-27$13.21$10.0034.5%9.9%27.1%76.1%35.3%1.6%-2.3%6.0M-97.1M-352.7K0.6332.21N/AN/A2,3401,470174,04634,081
2014-01-28$13.28$10.0033.4%9.8%26.7%72.2%34.9%1.0%-2.3%6.4M-101.4M-350.5K0.5419.76N/AN/A21,70311,758175,47634,913
2014-01-29$13.18$10.0033.3%9.7%26.9%72.0%38.7%1.8%-0.9%6.5M-88.8M-347.6K1.0415.15N/AN/A908945196,08243,270
2014-01-30$13.56$10.0035.3%9.6%28.1%78.8%33.4%0.9%-3.8%6.9M-117.5M-366.3K0.1018.03N/AN/A3,966411196,25045,506
2014-01-31$13.53$10.0036.1%9.6%27.7%81.5%33.8%-0.2%-4.1%7.0M-116.5M-365.0K1.6815.94N/AN/A9561,609197,47045,828