BSX Options History — February 2014

In February 2014, BSX traded between $12.76 and $13.39. ATM implied volatility averaged 25.1%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 2.8% (HV 20d: 28.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.76.

Notable Days

  • 2014-02-25: Highest Volume — 47,146 contracts
  • 2014-02-04: Largest IV drop — 29.1% change
  • 2014-02-03: Highest IV Rank — 87.4%
  • 2014-02-05: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.09$12.76$13.39$13.01$13.10
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV25.1%18.6%37.8%37.8%23.4%
Expected Move9.7%9.5%10.0%10.0%9.5%
HV 20d28.0%24.6%32.1%32.1%24.6%
HV 60d28.1%27.3%28.8%28.7%28.0%
IV Rank43.6%21.0%87.4%87.4%37.9%
IV Percentile19.0%1.2%96.8%96.8%6.0%
Term Structure3.4%-4.0%7.3%-4.0%1.4%
VWIV33.6%32.3%35.5%33.6%33.2%
Skew 25d2.4%1.1%4.2%2.5%3.4%
Skew 10d4.4%-0.1%11.2%5.7%3.6%
Call IV 25d26.9%23.2%38.8%38.8%23.2%
Put IV 25d29.3%26.2%41.4%41.4%26.6%
Bid-Ask Spread %27.0212.8937.8320.2722.32
Gamma HHI0.420.290.740.360.29
Net GEX3.5M655.1K6.7M6.0M655.1K
Net DEX-51.9M-79.3M-27.7M-79.3M-35.8M
Net VEX-241.3K-334.5K-195.4K-334.5K-244.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.102.480.160.11
Total Volume10,865.4211,15247,14624,62014,536
Total OI183,313.05382,779247,955244,758130,869

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$13.01$10.0037.8%10.0%32.1%87.4%33.6%2.5%-4.0%6.0M-79.3M-334.5K0.1620.27N/AN/A21,2913,329197,93746,821
2014-02-04$12.85$10.0026.8%9.7%30.7%49.4%33.8%1.9%1.9%6.0M-63.4M-304.5K0.7812.89N/AN/A19,88215,490200,13347,822
2014-02-05$12.76$10.0026.7%10.0%30.8%49.1%33.5%1.8%1.9%3.9M-45.2M-277.3K1.4914.26N/AN/A1,4292,131171,11152,085
2014-02-06$12.83$10.0025.2%9.9%29.2%43.9%0.0%2.5%2.8%3.0M-39.9M-250.1K1.9222.09N/AN/A6791,307146,19342,967
2014-02-07$13.10$10.0022.2%9.8%30.1%33.5%0.0%3.1%4.3%3.4M-49.6M-247.4K2.4814.27N/AN/A2,5096,226146,38742,596
2014-02-10$12.91$10.0022.3%9.8%29.2%34.0%0.0%2.9%4.7%2.6M-38.1M-239.2K1.2026.07N/AN/A1,0571,268146,47847,900
2014-02-11$12.85$10.0019.3%9.8%28.8%23.4%33.9%2.4%5.5%2.3M-33.5M-229.0K0.1529.37N/AN/A11,7521,737147,05548,718
2014-02-12$12.96$10.0018.6%9.8%28.0%21.0%34.1%2.6%5.8%4.1M-45.5M-238.9K0.7734.28N/AN/A1,3051,001156,03949,693
2014-02-13$13.03$10.0023.6%9.7%27.7%38.2%0.0%2.5%7.3%4.5M-49.7M-236.5K1.4132.20N/AN/A678959156,64450,435
2014-02-14$13.30$10.0024.0%9.8%28.1%39.9%34.2%2.3%6.6%3.9M-72.5M-226.7K0.2736.54N/AN/A4,3381,191156,40951,025
2014-02-18$13.38$10.0025.8%9.6%28.2%45.8%32.6%1.6%5.3%4.9M-75.4M-233.3K0.1425.65N/AN/A2,713369158,13451,810
2014-02-19$13.06$10.0025.3%9.6%26.2%44.4%33.8%1.1%5.2%6.7M-55.1M-218.7K1.1329.39N/AN/A2,8513,229157,67151,929
2014-02-20$13.23$10.0025.6%9.6%26.8%45.4%33.0%3.7%5.4%4.1M-70.6M-214.0K0.1837.83N/AN/A979173157,98451,388
2014-02-21$13.14$10.0025.3%9.7%26.4%44.2%34.6%2.2%5.6%5.5M-73.5M-202.8K0.1827.59N/AN/A2,256412158,18351,482
2014-02-24$13.08$10.0024.9%9.6%25.2%42.9%35.5%4.2%1.2%860.8K-27.7M-195.4K0.3636.64N/AN/A1,69261161,29821,481
2014-02-25$13.39$10.0028.2%9.6%26.4%54.2%32.3%2.7%0.1%1.0M-33.1M-204.0K0.1026.86N/AN/A43,0174,12962,59422,041
2014-02-26$13.34$10.0026.6%9.6%26.4%48.6%32.4%1.6%1.3%1.8M-51.2M-236.8K1.3027.35N/AN/A9,77912,70087,69024,857
2014-02-27$13.30$10.0025.5%9.6%26.3%45.0%0.0%1.4%1.7%871.1K-46.0M-251.0K0.3037.50N/AN/A5,7141,72491,73337,356
2014-02-28$13.10$10.0023.4%9.5%24.6%37.9%33.2%3.4%1.4%655.1K-35.8M-244.2K0.1122.32N/AN/A13,0991,43791,88438,985