BSX Options History — June 2015 In June 2015, BSX traded between $17.38 and $18.51. ATM implied volatility averaged 21.5%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.9% (HV 20d: 19.6%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.43.
Notable Days 2015-06-18 : Highest Volume — 9,656 contracts2015-06-10 : Largest IV drop — 18.0% change2015-06-09 : Highest IV Rank — 28.2%2015-06-09 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $17.88 $17.38 $18.51 $18.51 $17.73 Max Pain $18.00 $18.00 $18.00 $18.00 $18.00 ATM IV 21.5% 18.7% 26.1% 21.0% 23.8% Expected Move 6.1% 5.4% 6.9% 6.0% 6.8% HV 20d 19.6% 17.2% 22.6% 22.1% 18.7% HV 60d 19.6% 18.6% 21.1% 21.1% 18.9% IV Rank 13.7% 5.2% 28.2% 12.3% 21.1% IV Percentile 20.3% 0.8% 59.9% 12.7% 45.6% Term Structure 3.0% 0.3% 5.0% 0.3% 2.1% VWIV 21.7% 18.7% 24.8% 21.1% 24.8% Skew 25d 2.6% 1.0% 3.7% 2.0% 1.3% Skew 10d 6.0% 1.0% 11.4% 5.7% 3.2% Call IV 25d 21.0% 18.6% 24.9% 21.0% 24.9% Put IV 25d 23.6% 21.2% 26.1% 23.0% 26.1% Bid-Ask Spread % 10.07 3.56 26.70 4.98 8.23 Gamma HHI 0.33 0.26 0.58 0.32 0.32 Net GEX 778.7K 372.3K 1.6M 922.2K 720.8K Net DEX -25.8M -35.0M -16.8M -35.0M -24.9M Net VEX -151.2K -162.3K -144.7K -149.3K -147.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.41 2.86 1.17 1.32 Total Volume 5,360.5 2,123 9,656 6,202 5,162 Total OI 57,477.136 52,405 63,045 55,476 55,190
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-06-01 $18.51 $18.00 21.0% 6.0% 22.1% 12.3% 21.1% 2.0% 0.3% 922.2K -35.0M -149.3K 1.17 4.98 N/A N/A 2,857 3,345 35,289 20,187 2015-06-02 $18.29 $18.00 22.1% 6.3% 22.6% 15.8% 22.2% 2.4% 0.3% 922.1K -31.9M -160.3K 1.81 4.41 N/A N/A 755 1,368 36,467 20,990 2015-06-03 $18.24 $18.00 22.1% 6.3% 19.9% 15.6% 22.3% 3.7% 0.3% 853.1K -30.4M -162.3K 1.43 3.56 N/A N/A 2,491 3,574 36,698 21,756 2015-06-04 $17.90 $18.00 22.5% 6.5% 21.1% 17.0% 22.2% 2.5% 2.7% 770.1K -26.1M -158.4K 1.95 9.48 N/A N/A 1,633 3,179 36,697 21,791 2015-06-05 $17.85 $18.00 22.0% 6.4% 20.9% 15.5% 21.8% 3.3% 2.8% 780.0K -24.6M -158.9K 1.12 6.16 N/A N/A 2,736 3,058 36,758 21,761 2015-06-08 $17.68 $18.00 23.5% 6.5% 20.1% 20.1% 24.1% 3.0% 2.7% 766.8K -22.8M -153.6K 1.49 9.20 N/A N/A 2,258 3,370 36,938 21,686 2015-06-09 $17.40 $18.00 26.1% 6.9% 20.9% 28.2% 24.2% 1.0% 1.5% 493.5K -18.9M -150.4K 1.53 16.52 N/A N/A 1,999 3,067 36,826 22,128 2015-06-10 $17.74 $18.00 21.4% 6.1% 21.7% 13.6% 22.1% 2.4% 3.5% 779.8K -23.7M -152.1K 1.61 13.82 N/A N/A 1,950 3,143 37,212 22,131 2015-06-11 $17.81 $18.00 20.9% 6.0% 21.6% 12.1% 20.3% 2.0% 3.9% 818.1K -24.4M -154.9K 1.38 9.54 N/A N/A 2,279 3,139 37,209 22,232 2015-06-12 $17.57 $18.00 21.1% 6.0% 17.2% 12.6% 22.6% 2.8% 3.4% 640.3K -20.8M -151.2K 2.86 8.58 N/A N/A 1,340 3,833 37,142 22,245 2015-06-15 $17.38 $18.00 24.0% 6.9% 17.6% 21.6% 22.5% 3.1% 2.0% 372.3K -16.8M -148.0K 2.03 12.05 N/A N/A 1,469 2,984 37,133 22,785 2015-06-16 $17.57 $18.00 22.1% 6.3% 17.6% 15.6% 23.3% 3.5% 3.1% 611.8K -19.4M -147.1K 1.81 11.31 N/A N/A 1,587 2,877 37,015 22,785 2015-06-17 $17.63 $18.00 21.3% 6.1% 17.6% 13.1% 21.6% 3.4% 3.5% 719.2K -20.4M -146.4K 2.22 26.70 N/A N/A 1,548 3,429 37,104 22,879 2015-06-18 $18.01 $18.00 19.8% 5.7% 19.2% 8.5% 20.0% 3.0% 3.8% 1.6M -26.4M -144.7K 0.41 6.99 N/A N/A 6,846 2,810 37,122 23,085 2015-06-19 $18.01 $18.00 19.8% 5.7% 19.1% 8.7% 20.7% 3.3% 3.9% 729.2K -33.5M -149.7K 1.47 9.31 N/A N/A 2,793 4,109 39,892 23,153 2015-06-22 $17.94 $18.00 19.2% 5.5% 19.1% 6.9% 19.9% 2.5% 4.7% 697.0K -26.7M -146.3K 0.97 7.72 N/A N/A 2,671 2,604 33,884 18,521 2015-06-23 $17.95 $18.00 19.1% 5.5% 19.0% 6.5% 18.7% 2.6% 4.5% 741.1K -26.9M -147.2K 0.89 6.96 N/A N/A 2,784 2,465 34,267 18,554 2015-06-24 $17.94 $18.00 18.7% 5.4% 18.6% 5.2% 19.6% 1.8% 5.0% 757.6K -27.6M -147.9K 0.80 9.01 N/A N/A 2,998 2,409 34,821 18,669 2015-06-25 $18.25 $18.00 19.6% 5.6% 18.6% 7.8% 19.1% 2.5% 4.1% 816.5K -31.0M -151.1K 0.82 11.54 N/A N/A 2,930 2,417 34,982 18,733 2015-06-26 $18.11 $18.00 19.5% 5.6% 18.8% 7.6% 20.8% 2.7% 4.3% 841.6K -29.4M -150.8K 1.27 10.83 N/A N/A 2,061 2,615 35,756 18,777 2015-06-29 $17.80 $18.00 22.5% 6.5% 19.0% 17.0% 24.0% 1.6% 3.3% 758.5K -26.7M -147.9K 1.08 14.75 N/A N/A 2,395 2,594 36,328 18,919 2015-06-30 $17.73 $18.00 23.8% 6.8% 18.7% 21.1% 24.8% 1.3% 2.1% 720.8K -24.9M -147.2K 1.32 8.23 N/A N/A 2,229 2,933 36,200 18,990
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