BSX Options History — August 2014

In August 2014, BSX traded between $12.26 and $12.88. ATM implied volatility averaged 21.7%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 5.0% (HV 20d: 26.7%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2014-08-11: Highest Volume — 12,741 contracts
  • 2014-08-07: Largest IV spike — 19.9% change
  • 2014-08-07: Highest IV Rank — 52.8%
  • 2014-08-08: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.53$12.26$12.88$12.59$12.68
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV21.7%17.0%27.8%24.1%17.0%
Expected Move7.9%7.6%8.5%7.9%7.6%
HV 20d26.7%21.7%31.0%25.6%23.3%
HV 60d21.6%20.0%22.3%20.0%22.1%
IV Rank32.0%15.7%52.8%40.2%15.7%
IV Percentile16.4%0.4%65.5%28.6%0.4%
Term Structure2.7%-0.1%4.4%-0.1%4.1%
VWIV28.3%25.6%32.5%31.9%25.8%
Skew 25d2.4%0.5%3.9%1.6%3.2%
Skew 10d4.2%-4.2%16.9%5.1%16.9%
Call IV 25d21.0%16.6%25.5%23.8%16.6%
Put IV 25d23.4%18.8%28.5%25.4%19.8%
Bid-Ask Spread %11.428.5217.5012.2711.32
Gamma HHI0.290.230.410.230.32
Net GEX-160.4K-297.8K-39.6K-160.7K-105.2K
Net DEX-3.3M-10.0M3.5M-5.3M-6.0M
Net VEX-104.5K-115.3K-90.1K-99.3K-108.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.3211.551.551.12
Total Volume2,174.1911612,7417751,582
Total OI65,469.66751,88880,71869,10858,185

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$12.59$13.0024.1%7.9%25.6%40.2%31.9%1.6%-0.1%-160.7K-5.3M-99.3K1.5512.27N/AN/A30447144,20824,900
2014-08-04$12.81$13.0023.0%7.9%26.4%36.3%0.0%1.1%2.8%-176.4K-8.8M-99.2K0.3211.09N/AN/A50616444,32925,098
2014-08-05$12.88$13.0023.8%8.0%26.5%39.1%0.0%2.3%2.6%-155.6K-10.0M-98.7K0.4312.83N/AN/A38416444,57625,063
2014-08-06$12.85$13.0023.2%7.9%26.5%36.9%32.5%2.1%2.6%-204.3K-9.1M-98.5K1.0015.02N/AN/A868644,77025,157
2014-08-07$12.26$13.0027.8%8.4%31.0%52.8%28.6%3.9%1.7%-153.3K182.2K-90.1K0.6913.00N/AN/A1,5791,09644,79225,222
2014-08-08$12.33$13.0025.7%8.5%30.5%45.7%30.6%2.9%2.1%-155.2K189.8K-94.4K4.9610.02N/AN/A7123,53345,47726,069
2014-08-11$12.26$13.0026.7%8.3%29.9%49.2%30.9%3.2%2.2%-172.9K1.5M-90.8K2.958.52N/AN/A3,2299,51245,88327,252
2014-08-12$12.37$13.0022.6%8.3%29.9%34.8%29.1%3.4%3.1%-297.8K3.5M-103.5K1.739.03N/AN/A1,4252,46447,87131,400
2014-08-13$12.48$13.0020.6%8.2%30.1%28.2%27.8%2.6%3.2%-290.6K477.6K-110.4K0.558.75N/AN/A1,06958548,88931,829
2014-08-14$12.58$13.0022.1%7.9%28.0%33.2%0.0%1.6%4.2%-168.5K-336.9K-108.7K0.5210.66N/AN/A1,12758749,01331,034
2014-08-15$12.46$13.0022.5%8.0%27.5%34.7%28.0%2.1%4.4%-187.0K1.3M-104.9K1.2312.14N/AN/A1,8362,26149,18931,280
2014-08-18$12.64$13.0018.9%7.7%27.8%22.2%26.4%1.7%2.2%-185.1K-5.9M-110.8K0.419.43N/AN/A2,6611,09728,58923,299
2014-08-19$12.59$13.0018.5%7.6%26.5%20.9%26.1%3.6%3.4%-87.1K-5.8M-111.2K1.489.66N/AN/A32548130,33623,670
2014-08-20$12.60$13.0019.0%7.6%25.9%22.4%31.2%3.5%3.0%-82.6K-5.9M-111.3K0.7210.15N/AN/A1,6261,16430,57123,929
2014-08-21$12.66$13.0019.4%7.6%25.0%23.8%25.6%3.5%1.8%-39.6K-7.0M-115.3K1.8817.50N/AN/A28353131,71024,707
2014-08-22$12.49$13.0021.7%7.9%25.1%31.9%26.7%2.8%2.5%-96.2K-4.2M-112.7K1.8811.47N/AN/A18835431,74125,074
2014-08-25$12.46$13.0020.6%7.9%24.9%27.9%26.4%1.5%2.1%-125.9K-3.2M-109.0K0.6312.74N/AN/A49331131,66725,209
2014-08-26$12.44$13.0020.7%7.9%24.9%28.3%27.5%1.9%2.5%-132.8K-2.7M-107.8K11.5511.09N/AN/A5158931,88025,377
2014-08-27$12.38$13.0019.7%7.9%23.6%24.9%26.2%0.8%3.3%-184.3K-1.7M-105.5K0.519.77N/AN/A773931,84425,952
2014-08-28$12.35$13.0019.0%7.9%21.7%22.5%0.0%0.5%3.2%-207.0K-751.1K-104.6K2.6013.38N/AN/A17445231,85525,967
2014-08-29$12.68$13.0017.0%7.6%23.3%15.7%25.8%3.2%4.1%-105.2K-6.0M-108.0K1.1211.32N/AN/A74583731,95926,226