BSX Options History — March 2014

In March 2014, BSX traded between $12.74 and $13.70. ATM implied volatility averaged 24.8%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.4% (HV 20d: 23.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2014-03-21: Highest Volume — 12,819 contracts
  • 2014-03-31: Largest IV spike — 9.6% change
  • 2014-03-14: Highest IV Rank — 48.5%
  • 2014-03-27: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.17$12.74$13.70$13.00$13.52
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV24.8%23.5%26.5%25.1%26.3%
Expected Move9.4%9.1%9.5%9.4%9.1%
HV 20d23.4%21.0%25.5%24.7%25.5%
HV 60d25.5%24.5%28.0%28.0%26.2%
IV Rank42.5%38.0%48.5%43.7%47.6%
IV Percentile15.3%6.0%32.5%16.3%32.5%
Term Structure4.3%-0.3%5.8%0.6%3.6%
VWIV33.2%31.6%39.6%34.5%34.7%
Skew 25d1.8%0.1%4.2%4.2%1.3%
Skew 10d4.2%-1.3%13.7%6.5%13.7%
Call IV 25d25.1%23.2%26.8%25.0%24.8%
Put IV 25d27.0%25.7%29.3%29.3%26.1%
Bid-Ask Spread %38.7526.3051.7037.5834.65
Gamma HHI0.410.310.670.320.39
Net GEX-254.4K-4.9M1.7M100.4K1.7M
Net DEX-33.3M-55.9M-7.4M-29.1M-41.2M
Net VEX-218.0K-242.6K-183.4K-224.8K-224.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.051.700.330.05
Total Volume3,873.8144612,8193,3477,201
Total OI123,250.61999,380134,455124,879106,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$13.00$10.0025.1%9.4%24.7%43.7%34.5%4.2%0.6%100.4K-29.1M-224.8K0.3337.58N/AN/A2,51683184,49340,386
2014-03-04$13.23$10.0023.5%9.4%21.3%38.0%32.5%2.9%1.7%162.4K-38.3M-229.0K0.3426.72N/AN/A3,2481,08984,66040,809
2014-03-05$13.38$10.0025.1%9.2%21.0%43.7%32.3%1.6%1.6%547.3K-43.2M-238.1K0.0729.07N/AN/A5,24735185,64441,143
2014-03-06$13.55$10.0026.0%9.1%21.1%46.8%32.5%0.8%-0.3%880.4K-51.0M-242.6K0.1736.10N/AN/A3,57462187,90141,433
2014-03-07$13.70$10.0023.8%9.2%21.3%39.3%32.2%1.3%4.2%1.2M-55.9M-241.6K0.0640.76N/AN/A4,60526188,24641,568
2014-03-10$13.46$10.0025.7%9.5%21.4%45.5%31.6%1.8%4.4%675.6K-47.9M-236.5K0.4536.16N/AN/A3,9001,74889,76841,684
2014-03-11$13.18$10.0024.3%9.3%22.2%40.7%31.7%3.1%4.7%-317.7K-35.6M-231.4K0.2044.17N/AN/A3,88078589,40343,048
2014-03-12$12.88$10.0023.5%9.3%23.7%38.1%32.3%1.7%5.4%-858.5K-21.8M-218.9K0.8841.65N/AN/A1,7801,56388,12243,463
2014-03-13$12.74$10.0025.4%9.4%23.8%44.5%33.8%2.4%4.6%-722.0K-14.0M-210.0K0.5137.32N/AN/A2,2541,14188,18544,749
2014-03-14$13.01$10.0026.5%9.5%25.0%48.5%0.0%2.0%4.2%-1.2M-26.5M-224.4K0.1641.84N/AN/A1,45123288,53145,231
2014-03-17$12.98$10.0025.5%9.5%23.7%44.9%32.2%0.9%5.4%-2.1M-25.6M-214.0K1.1143.05N/AN/A9181,02288,73645,334
2014-03-18$13.21$10.0025.0%9.4%24.6%43.2%33.0%3.1%5.5%-1.7M-37.3M-213.9K0.2546.88N/AN/A1,25131488,95245,503
2014-03-19$13.15$10.0024.7%9.4%23.0%42.1%0.0%2.1%5.4%-3.6M-39.5M-208.1K0.0751.70N/AN/A2,51218888,74845,495
2014-03-20$13.10$10.0024.6%9.4%22.5%41.9%0.0%1.8%5.7%-4.9M-35.3M-205.2K0.0649.04N/AN/A1,2978188,73745,401
2014-03-21$12.82$10.0023.8%9.4%23.7%39.1%32.8%0.1%5.6%-1.3M-7.4M-183.4K1.7038.71N/AN/A4,7408,07988,32345,424
2014-03-24$12.84$10.0024.5%9.4%23.7%41.4%39.6%0.3%5.8%952.8K-22.0M-189.4K0.0944.70N/AN/A1,78015373,32526,055
2014-03-25$13.26$10.0024.6%9.3%25.0%41.7%0.0%2.0%4.8%1.3M-31.1M-202.2K0.4540.38N/AN/A2,6421,19873,35426,136
2014-03-26$13.23$10.0024.3%9.5%25.0%40.7%31.8%1.7%5.4%1.3M-31.5M-199.4K0.0627.54N/AN/A5,63232174,52426,920
2014-03-27$13.21$10.0024.4%9.5%25.0%41.2%33.6%1.6%5.8%1.3M-32.8M-219.2K0.1339.50N/AN/A3955178,75726,932
2014-03-28$13.20$10.0024.0%9.5%24.4%39.6%33.6%1.6%5.7%1.4M-33.1M-221.6K0.4626.30N/AN/A34115779,61026,960
2014-03-31$13.52$10.0026.3%9.1%25.5%47.6%34.7%1.3%3.6%1.7M-41.2M-224.5K0.0534.65N/AN/A6,85934279,61026,960