BSX Options History — September 2014

In September 2014, BSX traded between $11.81 and $12.59. ATM implied volatility averaged 22.4%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.5% (HV 20d: 19.9%). 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 21 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2014-09-19: Highest Volume — 9,130 contracts
  • 2014-09-11: Largest IV spike — 13.0% change
  • 2014-09-16: Highest IV Rank — 42.4%
  • 2014-09-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.27$11.81$12.59$12.59$11.81
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV22.4%18.7%24.8%18.7%23.3%
Expected Move7.8%7.5%7.9%7.6%7.8%
HV 20d19.9%17.6%23.3%22.5%18.3%
HV 60d22.2%21.5%22.7%22.1%22.3%
IV Rank34.4%21.4%42.4%21.4%37.2%
IV Percentile24.2%1.6%46.4%1.6%32.1%
Term Structure2.7%1.1%4.4%3.4%4.1%
VWIV27.5%25.9%30.7%27.2%30.4%
Skew 25d2.3%-1.8%4.4%1.9%0.7%
Skew 10d5.6%-3.9%11.4%4.4%-0.3%
Call IV 25d22.7%18.8%25.7%18.8%25.7%
Put IV 25d25.0%19.9%26.9%20.7%26.4%
Bid-Ask Spread %8.526.9612.9912.407.19
Gamma HHI0.400.220.610.330.41
Net GEX-246.0K-553.3K-86.1K-161.2K-261.0K
Net DEX978.0K-4.5M5.4M-4.5M5.4M
Net VEX-96.5K-105.0K-89.6K-105.0K-92.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.129.681.480.97
Total Volume1,972.9521569,1301,108675
Total OI59,327.42954,63765,06458,26259,284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$12.59$13.0018.7%7.6%22.5%21.4%0.0%1.9%3.4%-161.2K-4.5M-105.0K1.4812.40N/AN/A44666231,67826,584
2014-09-03$12.44$13.0019.6%7.9%22.7%24.7%0.0%0.2%4.1%-242.9K-1.9M-100.9K1.7312.99N/AN/A13723731,69626,787
2014-09-04$12.24$13.0021.4%7.8%23.3%31.0%27.2%-1.8%1.1%-332.4K1.6M-97.0K9.6810.24N/AN/A4524,37631,67926,915
2014-09-05$12.01$13.0020.6%7.8%17.6%28.0%28.7%1.7%2.9%-381.0K4.8M-92.0K3.108.80N/AN/A3941,22231,79827,335
2014-09-08$12.32$13.0022.4%7.9%19.9%34.4%28.0%3.5%1.5%-310.9K928.6K-98.3K0.777.18N/AN/A82763832,02127,794
2014-09-09$12.38$13.0022.6%7.8%19.8%35.1%30.1%3.1%1.7%-300.9K123.9K-98.5K0.617.68N/AN/A1,23675732,03627,876
2014-09-10$12.51$13.0020.3%7.6%19.9%26.9%27.2%3.3%1.6%-230.9K-1.5M-100.6K0.137.28N/AN/A5677131,95628,205
2014-09-11$12.54$13.0022.9%7.5%19.7%36.0%0.0%2.3%1.6%-206.6K-2.3M-100.1K0.127.94N/AN/A1391732,07628,199
2014-09-12$12.50$13.0024.6%7.8%19.5%41.9%26.1%2.3%1.6%-226.4K-1.3M-98.5K0.126.96N/AN/A2242732,07628,212
2014-09-15$12.39$13.0024.3%7.9%19.4%40.7%26.5%2.2%2.2%-295.0K424.7K-93.4K2.348.39N/AN/A6681,56432,15928,232
2014-09-16$12.34$13.0024.8%7.9%18.7%42.4%26.6%2.6%1.3%-341.7K1.7M-92.3K0.417.99N/AN/A42117432,49328,527
2014-09-17$12.22$13.0023.4%7.8%18.9%37.7%26.5%2.4%2.7%-553.3K3.1M-89.6K0.5911.25N/AN/A1,08064132,82628,903
2014-09-18$12.42$13.0023.1%7.8%19.9%36.8%25.9%2.7%3.2%-86.1K1.2M-91.6K1.908.48N/AN/A2,2424,26232,36128,938
2014-09-19$12.41$13.0022.8%7.8%19.8%35.5%26.3%3.3%3.2%-95.8K2.7M-94.1K1.938.42N/AN/A3,1126,01834,05931,005
2014-09-22$12.33$13.0024.0%7.8%19.4%39.6%26.9%2.7%1.9%-106.8K-1.6M-100.0K1.237.14N/AN/A65580730,33724,300
2014-09-23$12.17$13.0023.1%7.8%19.9%36.6%0.0%3.4%3.3%-152.5K202.6K-98.5K1.348.71N/AN/A57577330,74625,032
2014-09-24$12.15$13.0022.5%7.8%19.9%34.4%26.6%2.6%3.5%-178.4K910.7K-98.6K0.637.51N/AN/A76948230,91725,598
2014-09-25$11.95$13.0022.6%7.7%20.6%35.0%26.7%2.9%3.5%-179.9K3.1M-93.8K1.577.88N/AN/A9161,43831,52125,968
2014-09-26$12.03$13.0021.6%7.7%20.8%31.5%0.0%4.4%4.4%-263.1K3.2M-96.9K0.577.23N/AN/A60834631,69627,067
2014-09-29$11.92$13.0022.8%7.8%18.2%35.6%30.7%2.4%4.2%-260.0K4.3M-94.7K7.737.37N/AN/A8968831,82127,163
2014-09-30$11.81$13.0023.3%7.8%18.3%37.2%30.4%0.7%4.1%-261.0K5.4M-92.0K0.977.19N/AN/A34333231,85427,430