BSX Options History — March 2015

In March 2015, BSX traded between $16.42 and $18.08. ATM implied volatility averaged 23.3%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 13.8% (HV 20d: 37.1%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2015-03-17: Highest Volume — 15,772 contracts
  • 2015-03-10: Largest IV spike — 19.7% change
  • 2015-03-10: Highest IV Rank — 29.0%
  • 2015-03-10: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.26$16.42$18.08$17.09$17.77
Max Pain$16.73$15.00$17.00$15.00$17.00
ATM IV23.3%21.3%26.4%24.1%24.0%
Expected Move6.7%6.1%7.2%6.9%6.9%
HV 20d37.1%23.9%48.5%47.1%25.2%
HV 60d33.8%33.2%34.6%33.4%34.6%
IV Rank19.5%13.1%29.0%21.8%21.7%
IV Percentile34.7%11.5%59.1%42.1%45.6%
Term Structure2.6%-0.5%3.9%-0.3%3.2%
VWIV23.6%21.2%24.9%24.1%24.3%
Skew 25d2.1%-0.3%3.4%-0.3%1.8%
Skew 10d6.0%-1.5%12.2%-1.5%7.0%
Call IV 25d23.6%21.5%26.4%26.4%24.9%
Put IV 25d25.7%23.9%26.8%26.1%26.6%
Bid-Ask Spread %4.953.326.864.454.15
Gamma HHI0.390.220.600.430.31
Net GEX2.3M1.0M3.7M3.4M1.3M
Net DEX-68.7M-95.1M-50.6M-79.7M-62.6M
Net VEX-180.1K-207.5K-157.1K-184.4K-163.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.051.470.251.13
Total Volume6,258.09154615,77210,9976,859
Total OI145,882.545100,983174,299163,526105,505

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$17.09$15.0024.1%6.9%47.1%21.8%24.1%-0.3%-0.3%3.4M-79.7M-184.4K0.254.45N/AN/A8,7662,23175,03788,489
2015-03-03$16.74$15.0024.6%7.1%47.5%23.5%24.9%-0.3%-0.4%3.0M-62.8M-205.9K0.376.09N/AN/A5,5582,03573,98888,827
2015-03-04$16.81$15.0023.7%6.8%47.5%20.7%23.9%0.4%-0.5%3.0M-64.6M-205.9K0.684.08N/AN/A4,9643,37373,60485,833
2015-03-05$16.97$17.0021.4%6.5%47.3%13.5%22.5%3.4%3.9%3.5M-69.5M-200.1K0.476.61N/AN/A6,4423,05774,55286,754
2015-03-06$16.55$17.0022.8%6.6%48.5%18.0%24.9%3.4%3.2%2.7M-57.4M-195.7K1.476.81N/AN/A2,3723,49173,92486,993
2015-03-09$16.60$17.0022.0%6.5%47.2%15.5%24.4%3.4%3.0%2.7M-58.3M-176.8K1.166.86N/AN/A1,0411,21071,90087,679
2015-03-10$16.42$17.0026.4%7.2%46.6%29.0%24.2%2.5%2.9%2.1M-50.6M-194.2K0.915.71N/AN/A5,8985,37871,87688,644
2015-03-11$16.58$17.0023.1%6.6%46.4%18.8%23.2%3.3%3.1%2.5M-55.5M-207.5K0.214.32N/AN/A4529475,20793,693
2015-03-12$16.89$17.0022.5%6.5%46.3%17.0%22.6%2.6%3.8%3.3M-65.5M-199.7K0.144.74N/AN/A2,40433975,25593,793
2015-03-13$16.61$17.0022.8%6.5%47.0%18.0%24.1%2.9%3.0%2.7M-57.5M-196.0K0.053.67N/AN/A1,1896475,81093,970
2015-03-16$17.24$17.0023.6%6.8%48.2%20.5%23.5%3.1%3.1%3.7M-82.3M-176.4K0.164.20N/AN/A10,3651,61176,40494,014
2015-03-17$17.40$17.0024.7%7.1%47.6%23.7%23.8%2.3%2.1%3.0M-86.2M-179.9K0.784.78N/AN/A8,8676,90577,35094,900
2015-03-18$17.76$17.0023.6%6.8%25.5%20.5%24.2%2.1%2.2%3.2M-95.1M-182.1K0.105.70N/AN/A6,50464178,36095,939
2015-03-19$17.81$17.0022.7%6.5%24.9%17.4%23.4%2.0%2.9%3.2M-94.3M-167.5K0.114.73N/AN/A3,39037575,78291,233
2015-03-20$17.84$17.0022.1%6.3%24.9%15.8%22.2%1.1%3.2%1.1M-91.4M-159.7K0.226.34N/AN/A6,6531,47075,49291,574
2015-03-23$17.98$17.0021.3%6.1%24.3%13.1%22.2%2.4%3.6%1.1M-66.3M-157.8K0.735.39N/AN/A98172052,43448,549
2015-03-24$17.83$17.0022.1%6.3%23.9%15.6%21.2%1.3%3.6%1.0M-63.5M-159.9K0.183.84N/AN/A4,08574052,69649,121
2015-03-25$17.52$17.0023.0%6.6%24.4%18.4%23.5%1.9%2.3%1.1M-58.0M-165.9K0.064.98N/AN/A5,33733753,29449,237
2015-03-26$17.43$17.0024.7%7.1%24.3%23.7%24.4%1.9%3.9%1.2M-57.4M-165.6K0.543.79N/AN/A2,9631,60753,98349,450
2015-03-27$17.83$17.0023.7%6.8%25.4%20.7%23.8%1.2%2.5%1.3M-63.6M-160.2K0.294.22N/AN/A1,08731554,27949,549
2015-03-30$18.08$17.0023.8%6.8%25.6%21.1%23.8%3.0%2.8%1.3M-68.2M-157.1K0.993.32N/AN/A2,7662,74254,85649,587
2015-03-31$17.77$17.0024.0%6.9%25.2%21.7%24.3%1.8%3.2%1.3M-62.6M-163.3K1.134.15N/AN/A3,2193,64054,82550,680