BSX Options History — May 2015

In May 2015, BSX traded between $17.16 and $18.29. ATM implied volatility averaged 21.6%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.2% (HV 20d: 20.4%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2015-05-01: Highest Volume — 10,998 contracts
  • 2015-05-11: Largest IV spike — 18.4% change
  • 2015-05-06: Highest IV Rank — 28.7%
  • 2015-05-05: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.75$17.16$18.29$17.73$18.28
Max Pain$17.90$15.00$19.00$15.00$18.00
ATM IV21.6%18.9%26.3%21.1%20.3%
Expected Move6.0%5.4%7.0%6.1%5.8%
HV 20d20.4%15.4%23.3%15.4%21.9%
HV 60d26.1%21.0%32.0%31.9%21.0%
IV Rank14.3%5.9%28.7%12.7%10.1%
IV Percentile20.6%1.6%59.5%9.5%7.5%
Term Structure2.0%0.4%4.3%1.0%3.3%
VWIV21.0%18.3%25.0%21.3%20.7%
Skew 25d2.8%2.0%4.1%2.3%2.6%
Skew 10d7.0%3.5%10.9%5.5%3.5%
Call IV 25d20.6%18.8%23.2%22.5%19.9%
Put IV 25d23.4%21.1%26.1%24.8%22.5%
Bid-Ask Spread %4.272.625.962.625.23
Gamma HHI0.400.260.790.440.35
Net GEX877.4K471.2K2.2M1.1M860.6K
Net DEX-38.5M-56.5M-24.0M-52.2M-31.9M
Net VEX-154.2K-164.6K-146.2K-163.8K-149.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.172.631.351.26
Total Volume5,563.195810,99810,9984,647
Total OI87,814.5549,999117,860113,73054,816

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$17.73$15.0021.1%6.1%15.4%12.7%21.3%2.3%1.0%1.1M-52.2M-163.8K1.352.62N/AN/A4,6776,32156,83956,891
2015-05-04$17.88$19.0022.3%6.3%15.6%16.5%22.2%2.7%3.0%1.2M-56.5M-161.1K0.295.96N/AN/A79222957,23758,551
2015-05-05$17.39$18.0025.8%7.0%18.6%27.2%21.2%3.0%1.2%892.7K-45.5M-157.8K0.565.42N/AN/A4,9482,75757,48158,661
2015-05-06$17.28$18.0026.3%6.9%18.1%28.7%23.7%2.7%2.3%893.8K-42.8M-164.6K0.954.51N/AN/A4,2844,05158,01558,728
2015-05-07$17.16$18.0025.1%6.8%17.4%25.1%24.2%3.2%2.3%884.2K-41.1M-151.4K0.973.41N/AN/A3,4583,36356,66557,300
2015-05-08$17.51$18.0021.9%6.0%19.2%15.1%21.1%2.7%3.6%1.0M-48.5M-150.8K0.713.25N/AN/A2,1871,56256,73357,574
2015-05-11$17.47$18.0025.9%6.7%18.4%27.6%25.0%3.2%2.1%1.1M-47.3M-152.4K2.635.13N/AN/A4381,15158,18158,811
2015-05-12$17.29$18.0025.6%6.5%18.6%26.4%22.1%3.1%2.5%663.7K-42.4M-152.4K1.034.46N/AN/A3,7543,86758,15659,704
2015-05-13$17.23$18.0022.2%6.4%18.3%16.1%20.5%4.1%3.3%480.6K-41.3M-146.2K1.003.98N/AN/A3,5493,54258,02159,792
2015-05-14$17.91$18.0020.3%5.8%23.3%10.0%20.5%2.6%3.9%2.2M-54.5M-149.3K0.785.09N/AN/A4,3453,39956,69259,831
2015-05-15$17.87$18.0019.5%5.6%22.8%7.6%19.8%2.5%4.3%471.2K-47.2M-153.1K0.593.67N/AN/A5,9343,52857,54860,251
2015-05-18$18.06$18.0019.7%5.7%23.0%8.4%19.8%2.5%1.1%631.3K-27.9M-151.2K0.173.82N/AN/A3,61960631,61618,383
2015-05-19$18.12$18.0019.4%5.6%23.0%7.3%19.6%2.0%0.9%776.0K-29.1M-159.8K0.273.72N/AN/A75720133,93618,872
2015-05-20$17.98$18.0019.2%5.5%23.0%6.6%19.3%2.5%1.2%735.7K-27.4M-155.0K1.334.38N/AN/A1,7142,28433,66419,037
2015-05-21$17.88$18.0018.9%5.4%23.0%5.9%19.1%2.4%1.1%743.5K-26.3M-154.6K1.933.18N/AN/A1,6143,11633,85919,114
2015-05-22$17.83$18.0018.9%5.4%23.0%5.9%18.3%2.3%1.3%711.2K-25.3M-155.6K2.044.12N/AN/A1,6063,27933,97519,838
2015-05-26$17.77$18.0020.1%5.8%21.7%9.6%20.3%2.4%0.4%669.2K-24.0M-156.3K1.965.27N/AN/A1,5763,08533,97919,871
2015-05-27$17.98$18.0019.4%5.6%21.8%7.4%20.6%2.9%1.0%772.1K-27.1M-148.9K1.973.71N/AN/A1,6093,17633,95219,846
2015-05-28$18.29$18.0020.6%5.9%22.2%11.2%20.9%3.6%0.5%827.7K-31.8M-149.7K1.014.52N/AN/A3,1063,13134,04419,827
2015-05-29$18.28$18.0020.3%5.8%21.9%10.1%20.7%2.6%3.3%860.6K-31.9M-149.3K1.265.23N/AN/A2,0542,59334,71620,100