BSX Options History — January 2015

In January 2015, BSX traded between $13.23 and $14.96. ATM implied volatility averaged 34.9%, placing in the 70.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 9.7% (HV 20d: 25.3%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2015-01-20: Highest Volume — 31,723 contracts
  • 2015-01-22: Largest IV drop — 25.2% change
  • 2015-01-13: Highest IV Rank — 100.0%
  • 2015-01-21: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.45$13.23$14.96$13.23$14.83
Max Pain$12.85$12.00$13.00$12.00$13.00
ATM IV34.9%26.9%49.3%34.5%35.4%
Expected Move10.3%8.9%14.1%10.7%10.1%
HV 20d25.3%20.7%28.1%20.7%27.8%
HV 60d24.3%22.7%25.8%24.5%24.0%
IV Rank70.4%48.5%100.0%83.8%56.8%
IV Percentile92.0%71.4%100.0%96.0%94.4%
Term Structure-0.9%-4.4%3.0%3.0%-2.2%
VWIV38.4%33.7%48.2%38.3%40.2%
Skew 25d9.4%6.6%12.4%6.6%9.9%
Skew 10d22.2%14.2%32.9%14.2%27.5%
Call IV 25d33.4%30.2%43.9%34.8%34.1%
Put IV 25d42.8%38.9%55.6%41.4%44.0%
Bid-Ask Spread %13.058.3325.268.8519.95
Gamma HHI0.270.240.340.340.24
Net GEX-97.9K-890.1K907.8K-890.1K-735.8K
Net DEX-34.3M-65.4M-7.2M-7.2M-18.2M
Net VEX-255.0K-315.2K-193.7K-216.3K-309.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.115.401.180.21
Total Volume12,108.554,09331,7239,4426,566
Total OI162,095115,433184,634144,362168,438

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$13.23$12.0034.5%10.7%20.7%83.8%38.3%6.6%3.0%-890.1K-7.2M-216.3K1.188.85N/AN/A4,3295,11363,22581,137
2015-01-05$13.81$12.0034.2%10.0%24.1%82.5%36.2%9.0%-2.6%-243.5K-31.3M-197.5K0.4811.73N/AN/A6,0332,91263,82681,735
2015-01-06$13.70$12.0033.3%10.5%24.4%79.3%40.3%9.0%-4.4%-274.9K-27.5M-204.7K2.6112.27N/AN/A2,0915,46566,14083,057
2015-01-07$14.03$13.0026.9%10.4%25.5%54.9%36.1%9.5%-1.7%335.9K-40.4M-193.7K0.2815.27N/AN/A23,1676,51265,24583,952
2015-01-08$14.56$13.0027.0%8.9%28.1%55.2%35.0%9.4%-0.1%907.8K-64.0M-208.3K0.738.33N/AN/A10,4677,60677,54087,747
2015-01-09$14.66$13.0028.5%9.2%24.1%60.9%36.8%8.6%0.6%798.8K-65.4M-210.2K4.369.18N/AN/A3,25914,19976,70891,776
2015-01-12$14.61$13.0033.9%9.5%24.0%81.6%38.2%8.0%-0.3%548.8K-60.4M-231.3K0.989.59N/AN/A2,8242,78177,235103,593
2015-01-13$14.47$13.0041.4%10.0%24.5%100.0%35.5%7.7%-1.0%559.3K-56.4M-232.7K0.4412.68N/AN/A7,2753,20577,869104,463
2015-01-14$14.52$13.0033.5%9.6%23.2%72.6%37.8%9.2%-0.8%593.6K-55.7M-245.6K0.3113.08N/AN/A5,1291,57878,721105,624
2015-01-15$14.32$13.0036.0%10.3%24.2%81.2%36.1%6.7%-1.7%599.3K-54.1M-233.2K0.708.94N/AN/A2,8311,97779,041105,176
2015-01-16$14.46$13.0034.1%9.8%24.3%70.0%33.7%8.6%-0.8%225.4K-59.2M-233.1K0.229.41N/AN/A3,43576479,193105,441
2015-01-20$14.33$13.0040.0%11.5%24.2%93.9%40.5%9.1%1.6%98.7K-19.4M-231.4K5.0414.66N/AN/A5,25026,47349,64365,790
2015-01-21$14.39$13.0049.3%14.1%23.8%100.0%48.2%11.7%-2.0%-561.6K-10.7M-299.3K5.4011.50N/AN/A3,55719,19353,56588,711
2015-01-22$14.94$13.0036.9%10.6%26.2%61.5%41.1%11.9%0.6%-711.0K-19.8M-314.8K1.6213.15N/AN/A6,1479,98456,417103,069
2015-01-23$14.90$13.0035.5%10.2%26.3%57.3%39.7%10.8%-2.0%-603.2K-20.7M-315.2K0.2525.26N/AN/A12,4103,08757,739102,583
2015-01-26$14.96$13.0032.7%9.4%26.3%48.5%33.7%11.8%-1.7%-562.9K-22.5M-305.7K0.1116.67N/AN/A5,26756158,239102,989
2015-01-27$14.74$13.0034.8%10.0%27.3%54.9%41.9%9.3%-0.2%-536.8K-21.5M-303.2K5.3513.40N/AN/A6453,44861,235103,258
2015-01-28$14.60$13.0034.7%10.0%27.8%54.7%38.7%9.5%-0.1%-863.0K-14.4M-304.6K0.6111.83N/AN/A5,0423,06258,880105,926
2015-01-29$14.86$13.0035.5%10.2%28.1%57.3%39.2%12.4%-2.7%-642.2K-17.7M-309.3K0.3615.28N/AN/A6,2852,24259,262107,712
2015-01-30$14.83$13.0035.4%10.1%27.8%56.8%40.2%9.9%-2.2%-735.8K-18.2M-309.6K0.2119.95N/AN/A5,4101,15660,107108,331