BSX Options History — April 2015

In April 2015, BSX traded between $17.61 and $18.43. ATM implied volatility averaged 27.5%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 8.1% (HV 20d: 19.4%). Max pain ranged from $14.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2015-04-27: Highest Volume — 15,944 contracts
  • 2015-04-28: Largest IV drop — 28.3% change
  • 2015-04-27: Highest IV Rank — 51.1%
  • 2015-04-27: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.99$17.61$18.43$17.63$17.82
Max Pain$14.29$14.00$17.00$17.00$15.00
ATM IV27.5%23.0%33.5%23.5%24.4%
Expected Move8.0%6.7%9.6%6.8%7.0%
HV 20d19.4%15.0%25.5%25.5%15.3%
HV 60d32.6%31.7%33.8%33.8%32.1%
IV Rank32.3%18.6%51.1%20.2%22.9%
IV Percentile65.7%34.9%89.3%40.5%49.2%
Term Structure-2.2%-6.9%3.5%3.5%-1.3%
VWIV28.8%22.9%34.6%23.7%24.6%
Skew 25d2.5%-0.2%3.5%2.5%1.8%
Skew 10d6.3%2.9%10.0%7.9%4.8%
Call IV 25d27.5%23.8%32.8%23.8%24.7%
Put IV 25d30.0%24.2%35.6%26.3%26.5%
Bid-Ask Spread %4.073.196.764.184.18
Gamma HHI0.360.220.600.300.45
Net GEX1.4M578.8K2.8M1.2M1.1M
Net DEX-62.9M-76.4M-50.5M-55.7M-55.5M
Net VEX-155.9K-184.1K-138.4K-184.1K-161.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.462.261.280.85
Total Volume5,791.5712,54915,9448,3965,997
Total OI106,601.09599,387114,543105,995113,712

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$17.63$17.0023.5%6.8%25.5%20.2%23.7%2.5%3.5%1.2M-55.7M-184.1K1.284.18N/AN/A3,6854,71154,41451,581
2015-04-02$17.72$14.0023.0%7.8%25.3%18.6%29.0%2.9%-0.9%1.4M-59.5M-174.1K1.303.31N/AN/A2,2912,98155,46451,935
2015-04-06$17.69$14.0024.5%7.9%23.3%23.0%29.7%3.3%-1.3%1.5M-59.5M-165.8K1.284.21N/AN/A2,4473,14155,63051,910
2015-04-07$17.69$14.0024.3%7.9%23.3%22.4%31.0%2.5%-1.5%1.5M-59.0M-169.0K2.263.97N/AN/A1,3192,97955,83652,187
2015-04-08$17.89$14.0027.8%8.0%22.9%33.2%27.7%3.5%-1.5%1.6M-62.7M-167.7K0.734.74N/AN/A1,5121,09755,97852,001
2015-04-09$18.11$14.0028.0%8.0%23.0%33.9%28.3%2.4%-1.3%1.7M-68.6M-158.9K1.114.83N/AN/A2,6512,93456,16652,373
2015-04-10$18.09$14.0027.9%8.0%22.4%33.7%28.9%2.7%-0.9%1.8M-68.2M-160.3K1.646.76N/AN/A1,8202,98356,24552,406
2015-04-13$17.80$14.0028.1%8.1%22.3%34.4%28.7%3.1%-1.2%1.8M-62.1M-159.3K1.323.20N/AN/A1,5051,99456,26152,443
2015-04-14$17.88$14.0028.1%8.0%18.5%34.2%29.8%2.9%-1.6%2.0M-63.2M-157.0K0.674.77N/AN/A2,8861,92056,56652,527
2015-04-15$18.02$14.0027.8%8.0%18.4%33.2%29.6%2.8%-1.7%2.5M-68.5M-150.5K1.653.80N/AN/A1,2772,10956,68152,713
2015-04-16$18.13$14.0028.1%8.0%17.1%34.2%29.6%2.4%-2.1%2.8M-70.2M-149.0K1.213.42N/AN/A1,7072,06356,61052,755
2015-04-17$18.35$14.0028.9%8.3%17.6%36.7%28.7%2.8%-2.4%1.0M-76.4M-143.2K0.464.01N/AN/A6,3132,89156,35752,713
2015-04-20$18.21$14.0029.7%8.5%17.9%39.1%30.3%2.2%-3.8%1.1M-65.7M-139.4K1.143.36N/AN/A1,6371,87251,43148,002
2015-04-21$18.31$14.0030.0%8.6%17.8%40.1%30.3%2.5%-4.2%1.1M-65.8M-143.6K0.663.19N/AN/A2,6181,73051,41948,184
2015-04-22$18.41$14.0030.1%8.6%17.5%40.6%31.5%3.1%-4.1%1.1M-66.0M-142.8K1.203.82N/AN/A1,2701,51950,86548,522
2015-04-23$18.43$14.0030.7%8.8%16.0%42.5%31.8%3.5%-5.1%1.0M-66.7M-140.3K1.283.71N/AN/A1,1191,43050,92848,657
2015-04-24$18.35$14.0030.7%8.8%15.9%42.4%29.9%3.4%-5.1%1.0M-65.3M-141.3K1.943.33N/AN/A1,3412,60550,92248,826
2015-04-27$17.95$14.0033.5%9.6%16.3%51.1%34.6%2.9%-6.9%1.0M-59.0M-138.4K1.694.30N/AN/A5,92110,02351,13650,020
2015-04-28$17.76$15.0024.0%6.9%15.9%21.7%24.6%0.4%-2.1%578.8K-53.2M-163.1K0.914.11N/AN/A8,2417,47154,40757,297
2015-04-29$17.61$15.0023.4%6.7%15.0%19.9%22.9%-0.2%-0.9%995.9K-50.5M-164.3K1.104.25N/AN/A2,6672,94656,91557,628
2015-04-30$17.82$15.0024.4%7.0%15.3%22.9%24.6%1.8%-1.3%1.1M-55.5M-161.8K0.854.18N/AN/A3,2492,74857,12856,584