BSX Options History — July 2015

In July 2015, BSX traded between $17.09 and $18.02. ATM implied volatility averaged 22.9%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.0% (HV 20d: 17.9%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2015-07-23: Highest Volume — 8,796 contracts
  • 2015-07-23: Largest IV drop — 21.8% change
  • 2015-07-08: Highest IV Rank — 31.0%
  • 2015-07-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.62$17.09$18.02$17.80$17.32
Max Pain$15.27$15.00$18.00$18.00$15.00
ATM IV22.9%19.8%27.0%21.9%21.3%
Expected Move6.8%5.7%7.9%6.3%6.1%
HV 20d17.9%15.7%20.0%18.8%19.7%
HV 60d19.3%18.8%20.2%18.9%19.4%
IV Rank18.1%8.7%31.0%15.2%13.4%
IV Percentile33.7%8.7%67.9%23.0%17.1%
Term Structure0.5%-1.6%3.4%3.4%0.8%
VWIV24.2%21.0%28.0%22.8%21.0%
Skew 25d2.9%1.7%3.8%1.7%2.1%
Skew 10d6.4%3.3%9.5%5.5%3.3%
Call IV 25d23.0%20.0%25.6%23.3%20.9%
Put IV 25d25.9%22.8%29.2%25.0%23.1%
Bid-Ask Spread %5.023.4411.8811.884.41
Gamma HHI0.330.270.410.330.32
Net GEX924.5K670.2K1.4M763.0K827.5K
Net DEX-23.8M-28.1M-19.2M-26.2M-20.7M
Net VEX-133.8K-146.5K-125.4K-146.2K-126.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.322.081.760.62
Total Volume4,8733,1068,7964,2224,503
Total OI57,369.553,61859,67455,39759,671

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$17.80$18.0021.9%6.3%18.8%15.2%22.8%1.7%3.4%763.0K-26.2M-146.2K1.7611.88N/AN/A1,5282,69436,25519,142
2015-07-02$17.57$18.0022.1%6.3%18.1%15.6%22.3%1.8%2.9%670.2K-22.1M-142.8K0.589.86N/AN/A4,8162,78336,29219,142
2015-07-06$17.58$15.0021.1%7.4%18.1%12.6%26.0%3.2%0.0%927.3K-23.0M-146.1K0.815.01N/AN/A3,3302,71038,87419,203
2015-07-07$17.80$15.0022.2%7.2%18.4%16.2%26.9%3.3%0.6%904.7K-25.4M-146.5K2.004.26N/AN/A1,3502,70538,07019,232
2015-07-08$17.48$15.0027.0%7.9%18.7%31.0%26.2%3.6%-0.4%744.1K-22.1M-142.6K1.614.18N/AN/A1,6712,68538,07519,235
2015-07-09$17.48$15.0026.4%7.8%17.2%28.9%26.6%2.9%-0.1%759.1K-22.5M-139.4K2.085.78N/AN/A1,3722,85938,10919,321
2015-07-10$17.61$15.0021.7%7.3%17.4%14.5%28.0%3.8%0.6%822.9K-22.5M-139.8K1.754.76N/AN/A1,2492,19138,12619,342
2015-07-13$17.67$15.0021.6%7.0%16.8%14.3%25.2%3.2%0.9%927.0K-23.5M-133.9K1.546.30N/AN/A1,3782,12038,12819,363
2015-07-14$17.91$15.0020.8%6.9%16.8%11.6%25.6%3.6%1.7%1.2M-27.1M-134.7K1.533.73N/AN/A1,3992,14538,16119,381
2015-07-15$17.72$15.0024.2%6.9%17.0%22.3%25.2%3.6%1.2%1.1M-24.7M-132.9K1.725.19N/AN/A1,3152,26638,25419,429
2015-07-16$17.93$15.0024.4%7.0%17.4%22.7%24.2%2.9%1.1%1.4M-27.2M-131.7K1.684.48N/AN/A1,3392,24338,26119,464
2015-07-17$17.95$15.0023.5%6.7%15.7%20.0%23.5%2.3%1.1%978.1K-26.6M-132.6K1.193.44N/AN/A2,2292,65538,32119,461
2015-07-20$17.88$15.0023.6%6.8%15.7%20.4%23.5%2.0%-0.4%998.7K-26.8M-127.6K1.223.49N/AN/A1,8322,23036,03517,583
2015-07-21$17.76$15.0024.9%7.1%15.8%24.4%25.3%3.2%-1.0%919.2K-25.5M-126.0K1.064.10N/AN/A2,3292,47036,17317,807
2015-07-22$18.02$15.0025.4%7.3%16.7%25.8%27.2%3.5%-1.6%992.3K-28.1M-130.2K0.463.90N/AN/A5,0552,33136,49617,990
2015-07-23$17.59$15.0019.8%5.7%18.8%8.7%21.2%2.7%0.4%1.1M-24.2M-127.2K0.694.16N/AN/A5,2143,58238,31718,051
2015-07-24$17.35$15.0022.6%6.5%18.1%17.1%21.3%3.2%-0.2%926.9K-22.9M-129.5K0.544.38N/AN/A4,4522,40939,53919,413
2015-07-27$17.09$15.0022.7%6.5%18.5%17.4%22.0%2.7%-0.5%785.2K-19.2M-126.0K0.325.67N/AN/A4,9211,57739,89319,649
2015-07-28$17.49$15.0022.1%6.3%19.9%15.8%21.6%3.1%0.3%952.0K-22.8M-129.5K0.493.96N/AN/A2,9181,43539,61319,929
2015-07-29$17.34$15.0022.4%6.4%20.0%16.6%23.2%3.2%-0.0%866.4K-21.2M-126.6K0.623.82N/AN/A1,9151,19139,55720,117
2015-07-30$17.24$15.0021.6%6.2%20.0%14.1%22.6%2.7%0.4%814.5K-20.0M-125.4K0.883.71N/AN/A2,0321,77839,53420,121
2015-07-31$17.32$15.0021.3%6.1%19.7%13.4%21.0%2.1%0.8%827.5K-20.7M-126.4K0.624.41N/AN/A2,7731,73039,35420,317