BSX Options History — November 2014

In November 2014, BSX traded between $12.81 and $13.69. ATM implied volatility averaged 25.0%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.6% (HV 20d: 23.4%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.38.

Notable Days

  • 2014-11-10: Highest Volume — 40,088 contracts
  • 2014-11-10: Largest IV spike — 19.7% change
  • 2014-11-11: Highest IV Rank — 69.0%
  • 2014-11-20: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.22$12.81$13.69$13.30$12.87
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV25.0%21.3%29.9%24.7%21.3%
Expected Move7.7%7.2%8.2%7.4%7.4%
HV 20d23.4%17.9%29.6%29.6%22.9%
HV 60d22.8%21.8%24.3%22.1%24.0%
IV Rank49.4%34.9%69.0%48.4%34.9%
IV Percentile51.3%12.3%86.1%53.6%12.3%
Term Structure0.9%-0.6%3.0%-0.6%3.0%
VWIV27.6%25.7%28.8%28.6%26.3%
Skew 25d1.8%-0.0%3.2%0.6%1.8%
Skew 10d3.5%-1.9%9.8%-0.5%1.9%
Call IV 25d24.7%22.5%26.6%25.1%22.5%
Put IV 25d26.5%23.0%29.8%25.8%24.3%
Bid-Ask Spread %9.997.3215.2211.589.30
Gamma HHI0.550.430.720.570.46
Net GEX439.2K-3.6M2.2M1.3M-673.6K
Net DEX-23.3M-46.7M-1.7M-30.8M-2.2M
Net VEX-144.7K-167.9K-118.1K-127.9K-149.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.216.552.100.21
Total Volume10,072.8951,02240,0883,5551,022
Total OI111,115.63289,486143,65389,486106,741

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$13.30$13.0024.7%7.4%29.6%48.4%28.6%0.6%-0.6%1.3M-30.8M-127.9K2.1011.58N/AN/A1,1462,40957,35932,127
2014-11-04$13.25$13.0024.1%7.5%29.1%45.9%27.2%1.5%-0.3%1.2M-29.7M-124.7K0.388.70N/AN/A2,7391,03157,52332,863
2014-11-05$13.34$13.0024.1%7.4%27.7%46.0%26.3%2.2%-0.3%1.4M-33.1M-125.1K0.5710.57N/AN/A1,70097658,23032,691
2014-11-06$13.37$13.0023.3%7.5%26.4%42.6%27.0%0.8%0.6%1.4M-33.0M-122.2K0.5913.77N/AN/A1,8851,10858,20932,888
2014-11-07$13.24$13.0022.7%7.4%27.0%40.3%28.6%2.5%-0.2%1.3M-30.1M-120.3K3.899.61N/AN/A1,6566,44158,39233,073
2014-11-10$13.43$13.0027.2%7.9%24.9%58.0%28.5%1.7%-0.5%1.5M-35.6M-124.3K0.8515.22N/AN/A21,62518,46359,01333,396
2014-11-11$13.43$13.0029.9%8.0%25.0%69.0%27.8%2.5%0.1%1.5M-34.6M-118.1K0.749.59N/AN/A9,3256,88758,38633,503
2014-11-12$13.42$13.0027.5%7.7%20.0%59.4%27.9%2.7%-0.0%944.0K-31.8M-155.8K0.568.35N/AN/A4,4382,46765,92048,808
2014-11-13$13.43$13.0026.9%7.9%19.9%56.9%28.5%2.3%0.1%885.2K-31.4M-158.2K0.258.61N/AN/A18,0894,58166,20649,846
2014-11-14$13.36$13.0026.3%7.9%19.7%54.4%27.6%1.6%0.6%1.2M-30.9M-167.1K1.2711.13N/AN/A3,1614,00375,97553,231
2014-11-17$13.37$13.0026.9%8.1%19.4%57.1%28.5%2.5%0.2%1.2M-29.9M-166.5K1.949.51N/AN/A3,7077,20979,86356,615
2014-11-18$13.69$13.0025.3%7.8%17.9%50.8%27.6%2.5%1.2%2.2M-46.7M-167.9K0.477.70N/AN/A4,8772,28180,21459,448
2014-11-19$13.09$13.0026.3%7.7%23.9%54.5%27.4%1.1%0.5%-895.3K-14.6M-157.8K0.4611.80N/AN/A8,6513,97580,62259,488
2014-11-20$12.95$13.0026.6%8.2%22.4%55.6%28.7%3.2%2.1%-1.9M-6.4M-156.3K0.508.68N/AN/A8,6454,33782,60860,305
2014-11-21$12.92$13.0024.6%8.0%21.0%47.9%28.8%2.0%3.0%-3.6M-1.7M-155.8K3.977.97N/AN/A3,41413,56282,87460,779
2014-11-24$13.14$13.0023.2%7.7%21.5%42.4%27.1%2.9%2.4%103.9K-12.7M-156.7K0.317.32N/AN/A4,7221,46558,62339,467
2014-11-25$12.85$13.0022.3%7.5%22.8%38.8%26.6%0.2%2.7%-307.9K-4.2M-149.0K0.687.71N/AN/A3,0732,09561,78240,832
2014-11-26$12.81$13.0021.4%7.2%22.8%35.3%25.7%-0.0%2.4%-405.6K-3.0M-146.1K6.5512.75N/AN/A5593,66162,42140,876
2014-11-28$12.87$13.0021.3%7.4%22.9%34.9%26.3%1.8%3.0%-673.6K-2.2M-149.6K0.219.30N/AN/A84417862,70344,038