BSX Options History — October 2014 In October 2014, BSX traded between $11.37 and $13.30. ATM implied volatility averaged 26.2%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.2% (HV 20d: 23.0%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.28.
Notable Days 2014-10-24 : Highest Volume — 19,666 contracts2014-10-13 : Largest IV spike — 21.7% change2014-10-16 : Highest IV Rank — 79.1%2014-10-15 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $12.21 $11.37 $13.30 $11.80 $13.30 Max Pain $13.00 $13.00 $13.00 $13.00 $13.00 ATM IV 26.2% 21.5% 33.6% 22.4% 22.3% Expected Move 7.9% 7.3% 8.9% 7.9% 7.5% HV 20d 23.0% 13.2% 30.3% 18.0% 29.6% HV 60d 23.1% 21.9% 24.8% 22.3% 22.1% IV Rank 50.8% 34.4% 79.1% 34.4% 39.0% IV Percentile 56.0% 14.3% 94.4% 23.8% 23.4% Term Structure -0.9% -4.6% 4.8% 4.8% 0.9% VWIV 28.6% 26.5% 36.1% 30.9% 28.4% Skew 25d 3.3% 1.1% 6.7% 1.7% 2.1% Skew 10d 7.8% 0.9% 14.4% 0.9% 10.4% Call IV 25d 26.1% 20.9% 31.4% 24.6% 22.5% Put IV 25d 29.4% 23.9% 36.7% 26.3% 24.6% Bid-Ask Spread % 10.54 7.26 16.12 8.58 10.01 Gamma HHI 0.31 0.18 0.57 0.41 0.57 Net GEX 270.9K -268.6K 1.3M -268.6K 1.3M Net DEX -5.0M -31.7M 11.8M 5.6M -31.7M Net VEX -103.5K -132.4K -83.8K -91.2K -129.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 0.05 3.77 0.98 0.55 Total Volume 6,097.174 807 19,666 1,025 2,149 Total OI 70,653.957 57,250 89,330 59,618 89,330
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $11.80 $13.00 22.4% 7.9% 18.0% 34.4% 30.9% 1.7% 4.8% -268.6K 5.6M -91.2K 0.98 8.58 N/A N/A 517 508 31,968 27,650 2014-10-02 $11.85 $13.00 25.2% 7.8% 17.4% 43.9% 26.7% 6.7% 2.6% -253.9K 5.1M -92.7K 0.05 8.05 N/A N/A 4,795 243 32,306 27,851 2014-10-03 $11.93 $13.00 24.3% 7.9% 16.4% 40.9% 28.1% 2.5% 2.9% 105.8K 2.2M -98.7K 0.83 8.96 N/A N/A 440 367 36,291 27,970 2014-10-06 $11.93 $13.00 25.5% 8.0% 13.2% 44.9% 28.1% 3.3% -1.7% 128.3K 2.2M -96.2K 2.96 7.26 N/A N/A 1,270 3,759 36,501 28,056 2014-10-07 $11.78 $13.00 26.6% 8.1% 13.6% 48.6% 27.9% 2.2% -2.3% 123.1K 3.5M -96.2K 2.76 8.83 N/A N/A 402 1,110 37,530 28,079 2014-10-08 $12.14 $13.00 26.8% 7.9% 17.3% 49.3% 27.8% 4.2% -1.5% 176.6K -1.8M -99.0K 2.96 12.43 N/A N/A 3,287 9,725 37,609 27,961 2014-10-09 $11.93 $13.00 26.1% 8.0% 18.1% 50.9% 28.0% 2.7% -2.1% 117.5K 3.0M -101.0K 1.16 10.32 N/A N/A 3,646 4,223 39,003 31,156 2014-10-10 $12.03 $13.00 25.1% 8.0% 18.5% 47.3% 28.2% 2.2% -2.2% 94.8K 1.3M -101.8K 1.46 11.16 N/A N/A 3,031 4,423 39,067 31,215 2014-10-13 $11.75 $13.00 30.6% 8.1% 19.9% 67.8% 28.7% 3.0% -2.6% -27.5K 6.3M -94.1K 1.06 8.60 N/A N/A 2,902 3,085 38,507 31,011 2014-10-14 $11.86 $13.00 29.0% 8.3% 20.4% 61.7% 29.2% 3.6% -3.2% -1.7K 5.5M -94.9K 1.91 14.02 N/A N/A 2,710 5,171 38,520 31,036 2014-10-15 $11.45 $13.00 33.2% 8.9% 23.4% 77.7% 30.4% 5.0% -3.4% -218.3K 11.8M -90.0K 1.23 16.12 N/A N/A 3,184 3,901 37,868 32,833 2014-10-16 $11.45 $13.00 33.6% 8.7% 22.3% 79.1% 31.2% 5.9% -4.6% -104.7K 9.3M -86.1K 1.74 10.28 N/A N/A 878 1,526 39,059 30,091 2014-10-17 $11.37 $13.00 32.2% 8.6% 22.3% 73.7% 36.1% 5.0% -3.8% -93.7K 8.7M -83.9K 0.51 10.52 N/A N/A 1,027 528 39,207 29,039 2014-10-20 $11.60 $13.00 29.2% 8.1% 23.9% 62.6% 28.9% 5.0% -2.2% -63.8K 3.2M -83.8K 0.59 10.30 N/A N/A 2,625 1,554 32,519 24,731 2014-10-21 $11.99 $13.00 27.7% 7.8% 26.8% 56.8% 27.5% 5.0% -3.0% -50.3K -281.3K -87.1K 0.88 9.10 N/A N/A 2,568 2,271 32,817 24,612 2014-10-22 $12.34 $13.00 25.3% 7.8% 28.8% 48.0% 27.5% 2.9% -0.4% -7.3K -6.0M -94.7K 0.22 15.57 N/A N/A 11,099 2,490 34,323 25,751 2014-10-23 $12.69 $13.00 22.1% 7.3% 29.5% 35.9% 28.7% 1.6% 0.1% 305.0K -13.7M -113.1K 0.61 13.86 N/A N/A 5,330 3,235 42,693 27,085 2014-10-24 $12.98 $13.00 21.5% 7.4% 30.3% 35.8% 27.3% 1.1% 0.4% 597.2K -20.9M -119.3K 0.68 8.34 N/A N/A 11,727 7,939 45,103 26,838 2014-10-27 $13.11 $13.00 22.8% 7.4% 30.0% 40.6% 28.1% 1.6% 0.4% 1.0M -25.6M -132.4K 3.77 8.95 N/A N/A 2,115 7,974 55,647 31,214 2014-10-28 $13.19 $13.00 23.2% 7.4% 29.5% 42.5% 26.5% 2.2% 0.0% 1.2M -28.0M -132.0K 0.90 10.40 N/A N/A 2,280 2,055 56,504 31,312 2014-10-29 $13.15 $13.00 23.3% 7.5% 29.6% 42.8% 26.5% 3.0% 0.2% 1.1M -26.9M -130.4K 0.62 10.84 N/A N/A 2,179 1,352 56,627 31,384 2014-10-30 $13.18 $13.00 23.5% 7.5% 29.6% 43.6% 26.9% 3.8% 0.2% 1.1M -27.3M -131.5K 0.97 9.90 N/A N/A 1,340 1,295 57,175 31,992 2014-10-31 $13.30 $13.00 22.3% 7.5% 29.6% 39.0% 28.4% 2.1% 0.9% 1.3M -31.7M -129.5K 0.55 10.01 N/A N/A 1,387 762 57,304 32,026
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