BSX Options History — April 2014

In April 2014, BSX traded between $12.61 and $13.77. ATM implied volatility averaged 28.8%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 4.6% (HV 20d: 33.5%). 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 4 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2014-04-28: Highest Volume — 17,912 contracts
  • 2014-04-10: Largest IV spike — 34.6% change
  • 2014-04-28: Highest IV Rank — 74.0%
  • 2014-04-14: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.38$12.61$13.77$13.62$12.61
Max Pain$11.14$10.00$12.00$10.00$12.00
ATM IV28.8%22.8%33.9%25.1%25.9%
Expected Move9.2%8.9%9.6%8.9%9.2%
HV 20d33.5%24.4%42.8%25.0%42.7%
HV 60d28.2%25.1%31.8%26.2%30.8%
IV Rank56.5%35.8%74.0%43.8%46.2%
IV Percentile50.4%4.4%86.5%20.2%31.0%
Term Structure-1.1%-5.2%5.8%4.0%-0.8%
VWIV32.8%30.8%35.3%33.0%32.2%
Skew 25d2.1%-0.8%4.6%0.1%0.5%
Skew 10d4.5%-6.1%15.7%-4.1%-6.1%
Call IV 25d29.9%20.6%33.8%26.1%27.6%
Put IV 25d32.0%25.1%36.1%26.2%28.0%
Bid-Ask Spread %27.3114.7451.0735.3818.03
Gamma HHI0.390.280.440.430.31
Net GEX1.7M739.0K2.4M2.1M973.8K
Net DEX-36.5M-49.5M-15.8M-45.1M-15.8M
Net VEX-195.0K-230.2K-144.7K-230.2K-144.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.031.320.490.12
Total Volume3,302.42958617,9122,6647,045
Total OI105,413.33393,531112,137111,362100,533

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$13.62$10.0025.1%8.9%25.0%43.8%33.0%0.1%4.0%2.1M-45.1M-230.2K0.4935.38N/AN/A1,79287284,35927,003
2014-04-02$13.69$10.0023.9%8.9%24.7%39.4%32.3%4.6%5.2%2.3M-47.5M-225.3K0.3835.87N/AN/A65124883,63027,102
2014-04-03$13.77$10.0023.6%8.9%24.4%38.3%33.2%4.5%5.8%2.4M-49.5M-227.7K0.2121.40N/AN/A96820783,53227,218
2014-04-04$13.50$12.0023.2%9.4%25.2%37.0%33.5%0.8%-0.3%2.0M-42.4M-216.5K0.0345.45N/AN/A4,89416783,82327,047
2014-04-07$13.22$12.0024.8%9.5%25.5%42.5%32.6%2.4%0.0%1.4M-33.1M-207.7K0.6731.33N/AN/A54936782,30927,114
2014-04-08$12.91$12.0023.3%9.5%25.8%37.5%35.3%1.7%-0.5%1.0M-24.4M-191.9K0.2945.67N/AN/A76222382,43027,335
2014-04-09$13.54$12.0022.8%9.1%29.7%35.8%30.9%2.8%-1.2%1.9M-41.6M-212.7K0.3220.00N/AN/A1,52549382,52627,342
2014-04-10$12.93$12.0030.8%9.5%34.1%63.1%33.1%1.4%-0.2%962.6K-25.0M-194.3K1.0629.75N/AN/A53756882,30527,485
2014-04-11$12.69$12.0031.8%9.5%33.9%66.7%33.0%1.3%-1.3%739.0K-18.1M-180.6K0.2629.17N/AN/A1,91348982,34927,583
2014-04-14$13.31$10.0032.1%9.6%38.1%67.6%32.5%2.6%-1.5%1.3M-35.5M-197.0K0.1224.75N/AN/A1,73820383,40727,902
2014-04-15$13.35$10.0032.8%9.5%37.6%70.3%32.9%2.7%-1.9%1.6M-38.2M-201.1K0.4923.39N/AN/A1,28163284,13827,932
2014-04-16$13.50$10.0032.4%9.4%37.7%68.9%0.0%2.5%-1.9%1.8M-42.3M-197.4K0.0623.11N/AN/A5553184,26627,871
2014-04-17$13.65$10.0031.1%9.0%37.8%64.4%0.0%1.9%-1.8%2.1M-46.0M-195.0K0.1251.07N/AN/A1,02511984,06327,861
2014-04-21$13.72$10.0031.5%8.9%36.8%65.7%0.0%2.8%-3.3%2.1M-41.6M-190.7K0.4925.12N/AN/A68033573,13820,393
2014-04-22$13.75$10.0031.5%8.9%36.8%65.8%34.3%2.4%-3.6%2.1M-43.2M-187.0K0.1421.16N/AN/A1,61323073,35620,641
2014-04-23$13.69$12.0032.0%8.9%35.2%67.6%0.0%2.4%-4.5%2.0M-41.7M-186.3K0.4831.04N/AN/A1,58175373,08920,613
2014-04-24$13.75$12.0032.1%8.9%35.2%67.7%32.4%2.3%-4.4%2.1M-42.7M-187.9K1.3217.27N/AN/A58577174,02820,817
2014-04-25$13.38$12.0033.9%9.3%36.7%73.9%33.6%1.9%-5.0%1.8M-34.0M-180.5K0.3214.78N/AN/A45714773,98321,416
2014-04-28$13.58$12.0033.9%8.9%37.1%74.0%30.8%2.3%-5.2%2.0M-38.0M-178.4K0.0814.74N/AN/A16,6541,25874,15221,469
2014-04-29$12.73$12.0026.8%9.2%42.8%49.6%31.4%-0.8%-1.0%1.4M-20.9M-163.2K0.1815.02N/AN/A12,2382,19585,03521,085
2014-04-30$12.61$12.0025.9%9.2%42.7%46.2%32.2%0.5%-0.8%973.8K-15.8M-144.7K0.1218.03N/AN/A6,31073578,16422,369