BSX Options History — July 2014

In July 2014, BSX traded between $12.46 and $13.29. ATM implied volatility averaged 24.8%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.8% (HV 20d: 19.0%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2014-07-23: Highest Volume — 6,398 contracts
  • 2014-07-10: Largest IV spike — 36.7% change
  • 2014-07-14: Highest IV Rank — 59.1%
  • 2014-07-09: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.96$12.46$13.29$12.99$12.78
Max Pain$13.82$13.00$15.00$13.00$13.00
ATM IV24.8%20.8%29.6%20.8%24.1%
Expected Move8.0%7.6%8.3%8.2%7.9%
HV 20d19.0%14.2%25.1%17.7%25.1%
HV 60d22.8%19.3%28.3%28.3%20.0%
IV Rank42.6%28.8%59.1%28.8%40.0%
IV Percentile34.8%2.4%70.6%2.4%27.8%
Term Structure0.4%-3.4%7.1%7.1%-0.7%
VWIV28.9%25.7%35.5%35.5%29.8%
Skew 25d1.3%-0.1%3.9%0.0%0.9%
Skew 10d3.3%-0.6%10.1%0.2%-0.6%
Call IV 25d26.7%21.2%30.4%24.6%25.3%
Put IV 25d28.0%24.2%30.7%24.6%26.1%
Bid-Ask Spread %11.989.9216.2710.8510.81
Gamma HHI0.290.230.380.340.23
Net GEX384.9K-52.5K747.7K520.8K-52.5K
Net DEX-14.4M-21.1M-7.7M-15.5M-9.5M
Net VEX-101.8K-108.3K-93.8K-106.1K-103.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.055.920.160.38
Total Volume1,879.9093696,3981,1282,143
Total OI65,75060,18869,35063,32369,189

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$12.99$13.0020.8%8.2%17.7%28.8%35.5%0.0%7.1%520.8K-15.5M-106.1K0.1610.85N/AN/A97015844,42318,900
2014-07-02$13.13$13.0021.6%8.2%18.0%31.4%27.3%0.8%5.9%634.2K-17.5M-108.3K0.2211.38N/AN/A55712244,87218,976
2014-07-03$13.11$14.0021.7%8.2%17.6%31.7%27.6%1.6%6.1%620.8K-17.1M-108.0K0.4111.11N/AN/A31112945,14319,045
2014-07-07$13.02$14.0021.7%8.3%17.7%31.8%0.0%1.8%-0.1%586.6K-16.4M-104.5K0.8913.08N/AN/A31828345,18419,122
2014-07-08$13.00$14.0021.6%8.2%14.3%31.6%28.4%2.7%0.1%516.0K-15.4M-100.0K0.2710.85N/AN/A41811145,28319,225
2014-07-09$13.02$15.0020.9%8.3%14.2%29.1%30.1%1.9%0.3%578.4K-16.1M-103.5K0.2713.23N/AN/A90524445,45119,248
2014-07-10$13.10$15.0028.6%8.3%14.3%55.5%29.0%3.3%-0.6%589.9K-17.3M-106.5K1.1213.10N/AN/A21724446,14619,346
2014-07-11$13.29$15.0028.0%8.3%14.9%53.5%27.9%2.4%0.4%747.7K-21.1M-106.6K2.5110.54N/AN/A6351,59446,33219,419
2014-07-14$13.03$14.0029.6%8.2%16.7%59.1%29.1%0.1%-1.0%579.3K-16.6M-103.8K0.4110.84N/AN/A2,5241,03746,57819,909
2014-07-15$12.85$14.0028.5%8.1%17.2%55.5%0.0%0.7%-0.6%518.7K-12.6M-101.9K0.5111.99N/AN/A1,24163748,35920,323
2014-07-16$12.87$14.0028.9%8.1%14.5%56.6%25.7%0.3%-1.4%586.7K-13.1M-103.5K0.1013.85N/AN/A3373248,35620,742
2014-07-17$12.46$14.0029.4%8.2%18.7%58.5%30.3%0.6%-0.8%241.3K-7.7M-93.8K0.3310.24N/AN/A3,0361,01348,07020,178
2014-07-18$12.67$14.0027.3%7.9%19.7%51.2%0.0%0.4%0.3%361.8K-9.7M-95.3K5.9214.18N/AN/A5983,54349,00720,343
2014-07-21$12.55$14.0027.4%7.9%19.9%51.6%0.0%-0.1%-2.0%158.2K-8.9M-96.4K0.4916.27N/AN/A1,17257240,99519,193
2014-07-22$12.85$14.0026.7%7.8%21.5%48.9%31.4%0.6%-2.4%188.8K-12.4M-96.0K0.7711.86N/AN/A1,6781,29741,66819,573
2014-07-23$13.02$14.0028.3%7.8%21.9%54.7%28.5%1.8%-3.4%328.8K-15.0M-101.2K1.5315.74N/AN/A2,5333,86542,91420,186
2014-07-24$13.26$14.0022.8%7.7%22.5%35.6%27.3%3.9%-0.3%331.8K-18.5M-102.9K0.2010.13N/AN/A92018443,69622,753
2014-07-25$13.11$13.0021.4%7.6%22.9%30.7%27.1%1.4%1.1%234.7K-16.2M-101.6K0.619.92N/AN/A51731643,96922,799
2014-07-28$12.97$13.0021.9%7.7%23.1%32.6%26.9%1.8%0.7%75.2K-13.1M-97.2K3.2510.59N/AN/A3591,16843,90822,870
2014-07-29$12.89$13.0022.4%7.7%23.2%34.2%0.0%0.4%0.2%-5.5K-11.6M-99.4K0.0512.93N/AN/A5152743,75623,638
2014-07-30$13.14$13.0022.5%7.9%23.4%34.7%0.0%2.0%0.4%125.2K-15.9M-100.6K0.8110.03N/AN/A1,5901,28843,82023,593
2014-07-31$12.78$13.0024.1%7.9%25.1%40.0%29.8%0.9%-0.7%-52.5K-9.5M-103.7K0.3810.81N/AN/A1,55259144,69224,497