BSX Options History — February 2015

In February 2015, BSX traded between $14.45 and $16.94. ATM implied volatility averaged 29.6%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 5.0% (HV 20d: 34.6%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.36.

Notable Days

  • 2015-02-18: Highest Volume — 56,775 contracts
  • 2015-02-09: Largest IV spike — 41.7% change
  • 2015-02-02: Highest IV Rank — 62.2%
  • 2015-02-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.56$14.45$16.94$14.61$16.90
Max Pain$14.68$13.00$15.00$13.00$15.00
ATM IV29.6%25.8%37.1%37.1%26.7%
Expected Move8.7%7.6%10.6%10.6%7.7%
HV 20d34.6%23.1%48.6%28.6%47.2%
HV 60d28.6%24.2%33.5%24.2%33.4%
IV Rank38.8%27.0%62.2%62.2%30.0%
IV Percentile75.2%59.9%96.8%96.8%62.7%
Term Structure-1.7%-5.2%6.5%-3.7%-1.7%
VWIV31.9%26.7%44.3%44.3%29.3%
Skew 25d6.4%-0.3%13.4%11.9%0.4%
Skew 10d14.9%-0.1%31.8%28.6%2.6%
Call IV 25d29.8%26.8%36.7%36.5%28.3%
Put IV 25d36.2%28.4%49.2%48.4%28.7%
Bid-Ask Spread %9.193.7414.539.295.15
Gamma HHI0.290.220.400.250.37
Net GEX375.0K-1.2M2.6M-836.2K2.6M
Net DEX-42.4M-98.4M-6.5M-11.7M-67.4M
Net VEX-257.0K-304.8K-197.0K-304.8K-211.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.139.450.930.26
Total Volume12,452.2111,35956,7751,3599,733
Total OI184,410.789155,408231,849169,324161,456

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$14.61$13.0037.1%10.6%28.6%62.2%44.3%11.9%-3.7%-836.2K-11.7M-304.8K0.939.29N/AN/A70365660,755108,569
2015-02-03$14.69$13.0036.7%10.5%24.9%60.9%39.5%12.5%-1.4%-817.9K-15.4M-299.7K0.349.79N/AN/A7,3572,51360,790108,934
2015-02-04$14.97$13.0027.5%7.9%25.1%32.5%31.7%7.9%6.5%-236.3K-31.3M-275.2K0.3612.05N/AN/A11,5554,19062,441109,225
2015-02-05$15.14$15.0027.8%8.9%24.2%33.2%32.9%8.9%-0.9%-11.5K-36.4M-282.2K1.4710.27N/AN/A6,1068,99966,125111,529
2015-02-06$14.75$15.0025.8%8.9%23.1%27.0%32.3%10.8%-2.8%-667.5K-20.8M-286.8K1.6112.00N/AN/A5,3418,58766,887117,475
2015-02-09$14.45$15.0036.5%10.5%24.1%60.3%36.6%10.5%-5.2%-1.0M-6.5M-297.1K9.459.35N/AN/A1,44813,67968,762119,682
2015-02-10$14.69$15.0026.3%9.1%24.9%28.8%33.9%13.4%-3.6%-983.4K-13.9M-299.7K1.0512.39N/AN/A2,7462,88968,835127,900
2015-02-11$14.56$15.0031.5%9.0%24.8%44.8%33.8%10.9%-3.4%-1.2M-8.6M-301.0K1.2310.00N/AN/A2,4002,95170,304128,009
2015-02-12$14.73$15.0029.9%8.6%25.1%39.7%30.8%8.7%-2.0%-853.7K-17.8M-286.2K1.067.10N/AN/A2,3142,45571,097128,036
2015-02-13$14.99$15.0029.7%8.5%25.2%39.2%29.9%9.0%-2.0%-294.9K-31.3M-284.1K4.279.94N/AN/A1,9658,38271,824128,118
2015-02-17$14.81$15.0027.8%8.0%25.5%33.4%29.0%9.4%-0.8%-322.3K-23.1M-269.6K1.3111.52N/AN/A2,3183,04371,945128,586
2015-02-18$16.65$15.0030.4%8.7%48.1%41.5%31.4%2.7%-2.5%175.4K-90.0M-197.0K0.1814.53N/AN/A47,9608,81572,644128,710
2015-02-19$16.45$15.0029.9%8.6%48.6%40.0%30.0%1.2%-1.2%1.6M-95.3M-221.7K0.4210.01N/AN/A11,3414,72592,682130,369
2015-02-20$16.47$15.0028.0%8.0%47.2%34.1%27.9%1.3%-0.2%1.5M-98.4M-227.8K0.188.12N/AN/A3,44360997,510134,339
2015-02-23$16.29$15.0026.5%7.6%47.5%29.4%28.1%0.8%-0.0%1.5M-46.5M-217.2K1.133.74N/AN/A4,4545,04465,29490,180
2015-02-24$16.63$15.0030.2%8.7%47.8%40.8%30.4%-0.3%-3.6%1.7M-56.0M-208.0K0.136.01N/AN/A13,5551,77565,12590,283
2015-02-25$16.94$15.0026.4%7.6%47.4%29.1%26.7%0.2%-1.5%2.6M-68.3M-204.1K0.246.88N/AN/A9,6862,32771,36087,250
2015-02-26$16.83$15.0026.8%7.7%47.3%30.4%27.8%0.8%-2.0%2.6M-67.2M-208.6K0.296.48N/AN/A8,1902,33872,77188,004
2015-02-27$16.90$15.0026.7%7.7%47.2%30.0%29.3%0.4%-1.7%2.6M-67.4M-211.4K0.265.15N/AN/A7,7012,03273,17588,281