BSX Options History — June 2014

In June 2014, BSX traded between $12.58 and $13.18. ATM implied volatility averaged 22.3%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.3% (HV 20d: 18.0%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-06-18: Highest Volume — 6,578 contracts
  • 2014-06-18: Largest IV spike — 8.9% change
  • 2014-06-18: Highest IV Rank — 48.3%
  • 2014-06-17: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.80$12.58$13.18$12.88$12.77
Max Pain$10.72$10.00$15.00$10.00$14.00
ATM IV22.3%20.7%26.5%21.7%21.9%
Expected Move8.8%8.1%9.2%9.0%8.2%
HV 20d18.0%16.3%20.4%18.4%16.8%
HV 60d29.2%28.3%30.1%30.1%28.4%
IV Rank34.0%28.4%48.3%31.9%32.6%
IV Percentile11.0%1.6%44.8%4.8%9.5%
Term Structure4.0%-0.1%7.1%-0.1%5.4%
VWIV31.5%27.9%35.1%30.7%28.1%
Skew 25d1.6%-1.3%8.3%2.5%0.1%
Skew 10d4.6%-6.0%17.5%3.3%17.5%
Call IV 25d22.9%15.9%28.4%22.5%24.7%
Put IV 25d24.5%19.6%27.7%25.0%24.8%
Bid-Ask Spread %25.0411.3937.6425.0111.39
Gamma HHI0.260.210.310.250.26
Net GEX470.6K293.9K776.2K529.9K336.1K
Net DEX-12.4M-19.0M-8.2M-13.8M-11.9M
Net VEX-107.9K-115.2K-101.4K-111.0K-104.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.045.820.070.05
Total Volume1,627.6671666,578166694
Total OI64,907.33359,11175,08863,73662,201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$12.88$10.0021.7%9.0%18.4%31.9%30.7%2.5%-0.1%529.9K-13.8M-111.0K0.0725.01N/AN/A1551145,41918,317
2014-06-03$12.97$10.0021.2%9.0%17.0%30.2%30.3%7.4%0.3%592.4K-15.1M-115.1K0.6726.73N/AN/A24716545,48218,317
2014-06-04$13.05$10.0020.9%8.9%16.9%29.0%30.7%8.3%0.5%645.8K-16.4M-113.9K0.2436.89N/AN/A1854545,57618,368
2014-06-05$13.18$10.0020.9%9.0%16.3%29.1%31.6%-1.3%0.5%776.2K-19.0M-115.2K0.2327.01N/AN/A66615145,68718,397
2014-06-06$13.13$10.0021.0%9.1%16.4%29.5%30.6%2.8%4.5%713.6K-18.0M-112.6K0.0730.45N/AN/A3682745,77318,447
2014-06-09$12.76$10.0021.3%9.0%19.4%30.5%32.7%0.9%4.4%422.8K-11.2M-107.5K0.8327.84N/AN/A55045745,99118,453
2014-06-10$12.84$10.0021.1%9.0%18.7%29.9%35.1%3.5%4.6%446.3K-12.1M-106.7K0.1035.60N/AN/A1,29912446,31818,881
2014-06-11$12.87$10.0021.0%9.0%18.4%29.3%31.4%2.7%5.0%472.9K-13.0M-107.4K1.2830.29N/AN/A28636746,32218,969
2014-06-12$12.80$10.0021.2%9.1%18.5%30.0%33.9%2.4%5.1%416.6K-11.5M-104.8K0.3337.64N/AN/A50516946,45319,292
2014-06-13$12.80$10.0022.2%9.1%18.2%33.7%35.1%1.7%5.0%445.1K-11.6M-104.9K0.0432.80N/AN/A1,2574946,49619,300
2014-06-16$12.92$10.0022.9%9.2%18.3%36.0%31.4%-0.2%4.5%560.5K-14.9M-105.4K0.4226.22N/AN/A85836147,22019,325
2014-06-17$12.60$10.0024.3%9.2%20.4%40.8%34.3%1.2%4.3%335.7K-8.2M-101.4K1.0131.82N/AN/A2,4132,43947,53219,525
2014-06-18$12.64$10.0026.5%9.2%19.6%48.3%32.3%-0.7%3.1%401.3K-9.7M-107.2K0.1228.43N/AN/A5,89967948,59920,411
2014-06-19$12.66$10.0025.5%9.2%18.9%44.9%30.6%-0.9%3.7%526.0K-9.1M-105.7K5.8225.66N/AN/A9475,51152,68420,081
2014-06-20$12.71$10.0023.8%9.2%18.6%39.1%0.0%1.4%5.3%687.4K-9.5M-109.5K0.2625.68N/AN/A1,26433453,54321,545
2014-06-23$12.62$0.0023.7%8.3%18.3%38.9%0.0%0.3%4.4%330.5K-11.2M-105.4K0.7813.60N/AN/A85867241,97617,135
2014-06-24$12.58$0.0022.2%8.2%17.9%33.7%0.0%1.2%5.4%317.2K-10.5M-105.2K1.6211.94N/AN/A44572342,48117,681
2014-06-25$12.70$0.0022.8%8.2%17.2%35.5%27.9%-0.3%5.3%293.9K-11.1M-108.6K0.0713.45N/AN/A1,49910042,50718,356
2014-06-26$12.63$15.0021.8%8.1%16.9%32.2%28.2%0.3%5.6%325.9K-10.7M-106.8K2.9813.60N/AN/A13239443,43718,356
2014-06-27$12.76$14.0020.7%8.2%16.8%28.4%0.0%1.1%7.1%307.6K-11.3M-106.7K0.4113.82N/AN/A62125543,48818,713
2014-06-30$12.77$14.0021.9%8.2%16.8%32.6%28.1%0.1%5.4%336.1K-11.9M-104.3K0.0511.39N/AN/A6583643,48818,713