BSX Options History — May 2014

In May 2014, BSX traded between $12.60 and $13.15. ATM implied volatility averaged 24.5%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 7.7% (HV 20d: 32.2%). 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 18 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-05-06: Highest Volume — 11,172 contracts
  • 2014-05-13: Largest IV drop — 14.9% change
  • 2014-05-05: Highest IV Rank — 70.5%
  • 2014-05-06: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.83$12.60$13.15$12.60$12.83
Max Pain$11.24$10.00$12.00$10.00$10.00
ATM IV24.5%20.5%32.9%27.7%21.2%
Expected Move9.2%9.0%9.4%9.3%9.1%
HV 20d32.2%18.4%43.4%42.6%19.2%
HV 60d30.6%30.2%31.1%30.7%30.3%
IV Rank41.4%27.8%70.5%52.5%30.1%
IV Percentile21.8%1.2%80.2%46.0%2.4%
Term Structure1.2%-2.8%4.1%-1.8%0.2%
VWIV32.2%30.1%36.9%30.1%30.4%
Skew 25d1.9%-0.2%3.1%0.4%0.6%
Skew 10d4.0%-6.9%8.2%-6.9%-0.6%
Call IV 25d24.3%20.7%32.0%28.9%22.3%
Put IV 25d26.2%22.8%31.8%29.3%22.9%
Bid-Ask Spread %18.3713.7031.6416.7626.34
Gamma HHI0.350.250.520.270.25
Net GEX1.4M392.8K3.1M1.2M502.8K
Net DEX-17.7M-36.4M-7.8M-16.8M-12.8M
Net VEX-133.2K-171.2K-109.3K-146.0K-113.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.064.020.060.85
Total Volume3,155.66732211,1725,555388
Total OI90,79658,108123,253102,80063,605

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$12.60$10.0027.7%9.3%42.6%52.5%0.0%0.4%-1.8%1.2M-16.8M-146.0K0.0616.76N/AN/A5,22932680,08922,711
2014-05-02$12.81$10.0029.3%9.2%43.1%58.0%30.1%-0.2%-2.8%1.8M-24.7M-161.3K0.1114.12N/AN/A7,89683784,40822,960
2014-05-05$13.07$12.0032.9%9.3%43.4%70.5%32.6%1.9%1.4%2.8M-36.4M-171.2K0.8214.16N/AN/A1,5981,30690,63623,013
2014-05-06$12.95$12.0028.8%9.4%42.9%56.4%33.4%2.2%1.8%2.7M-30.7M-165.3K0.2713.70N/AN/A8,8272,34590,91523,637
2014-05-07$12.77$12.0028.3%9.3%42.4%54.6%32.7%1.9%1.6%2.2M-21.9M-156.0K1.1714.37N/AN/A29234291,59025,514
2014-05-08$12.80$12.0026.4%9.3%38.4%48.1%32.2%2.1%2.1%3.1M-25.0M-157.8K0.2815.40N/AN/A48313597,55125,702
2014-05-09$12.73$12.0026.3%9.3%34.9%47.6%36.9%2.1%2.0%1.9M-18.4M-146.1K1.0315.63N/AN/A66368588,89625,663
2014-05-12$12.93$12.0028.1%9.3%34.6%53.9%31.0%2.5%2.4%2.5M-25.5M-148.8K0.0717.44N/AN/A5,81743489,07325,896
2014-05-13$12.80$12.0023.9%9.2%30.1%39.4%0.0%2.7%2.8%2.6M-20.3M-159.6K0.2716.56N/AN/A3,46493794,03526,016
2014-05-14$12.79$12.0023.5%9.2%30.0%37.9%0.0%2.4%2.9%2.1M-13.6M-120.3K0.1017.01N/AN/A2,06520482,88626,588
2014-05-15$12.69$12.0024.0%9.2%29.7%39.8%32.3%2.1%3.5%1.1M-7.8M-109.3K3.3617.39N/AN/A6652,23381,49326,372
2014-05-16$12.80$12.0022.8%9.1%29.5%35.8%31.8%1.7%4.1%1.4M-8.2M-110.9K2.1316.73N/AN/A2,7015,75481,72026,903
2014-05-19$12.83$12.0021.6%9.1%29.4%31.4%0.0%3.0%1.3%409.8K-11.9M-113.1K0.1718.50N/AN/A1,26121141,51016,598
2014-05-20$12.62$12.0022.1%9.1%29.7%33.0%30.5%2.3%0.6%392.8K-10.4M-114.0K0.4415.98N/AN/A1,34959042,42016,729
2014-05-21$12.80$12.0021.2%9.1%30.4%30.0%31.1%1.0%1.0%508.6K-13.0M-113.4K0.8319.72N/AN/A1,4021,16143,01516,455
2014-05-22$12.68$10.0020.8%9.0%30.4%28.7%31.1%2.0%0.7%460.7K-11.7M-112.5K4.0217.07N/AN/A4171,67843,83116,791
2014-05-23$12.83$10.0020.5%9.0%29.5%27.8%0.0%1.7%0.3%496.5K-12.9M-117.8K0.5717.55N/AN/A68239144,10618,010
2014-05-27$12.95$10.0021.5%9.0%29.2%31.2%0.0%3.1%0.2%601.1K-15.2M-120.3K0.1731.64N/AN/A5148744,63518,179
2014-05-28$13.15$10.0021.6%9.0%18.4%31.4%0.0%3.1%-0.1%761.8K-18.7M-122.3K0.1523.49N/AN/A5017744,92318,224
2014-05-29$12.99$10.0021.5%9.0%18.6%31.1%34.3%1.9%0.1%638.5K-15.9M-117.4K0.5526.23N/AN/A20811445,19718,221
2014-05-30$12.83$10.0021.2%9.1%19.2%30.1%30.4%0.6%0.2%502.8K-12.8M-113.9K0.8526.34N/AN/A21017845,33718,268