BSX Options History — August 2015

In August 2015, BSX traded between $15.96 and $17.67. ATM implied volatility averaged 26.8%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.3% (HV 20d: 23.5%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2015-08-31: Highest Volume — 8,207 contracts
  • 2015-08-24: Largest IV spike — 26.1% change
  • 2015-08-24: Highest IV Rank — 70.5%
  • 2015-08-24: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.04$15.96$17.67$17.11$16.79
Max Pain$16.76$15.00$18.00$15.00$17.00
ATM IV26.8%20.8%39.8%22.3%31.6%
Expected Move7.7%5.9%11.4%6.4%9.1%
HV 20d23.5%19.4%28.9%20.1%28.9%
HV 60d20.1%18.8%22.5%19.5%22.5%
IV Rank30.4%11.5%70.5%16.3%45.1%
IV Percentile58.0%13.5%98.8%28.2%83.7%
Term Structure0.8%-3.9%3.7%0.5%-0.9%
VWIV26.2%21.1%35.8%22.7%31.3%
Skew 25d4.5%1.8%9.8%3.1%6.5%
Skew 10d9.0%1.4%20.7%9.6%15.3%
Call IV 25d25.2%21.3%35.1%21.4%30.6%
Put IV 25d29.7%23.1%45.0%24.4%37.1%
Bid-Ask Spread %5.893.0515.493.055.22
Gamma HHI0.320.150.520.280.23
Net GEX718.7K79.9K1.4M744.5K285.9K
Net DEX-15.6M-25.5M-292.7K-18.9M-6.8M
Net VEX-124.8K-134.4K-111.6K-123.4K-126.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.152.581.850.15
Total Volume4,235.2381188,2072,7938,207
Total OI57,635.95238,80165,76960,36043,214

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$17.11$15.0022.3%6.4%20.1%16.3%22.7%3.1%0.5%744.5K-18.9M-123.4K1.853.05N/AN/A9811,81240,01020,350
2015-08-04$17.08$15.0022.4%6.4%19.4%16.6%22.2%2.1%-0.1%686.6K-17.9M-124.0K0.993.34N/AN/A1,7971,78640,37721,011
2015-08-05$17.67$15.0020.8%5.9%22.3%11.5%21.1%1.8%0.7%1.1M-25.5M-130.1K0.414.45N/AN/A4,6211,89040,37121,122
2015-08-06$17.42$17.0024.0%6.7%22.9%21.7%22.5%2.5%3.4%1.1M-23.0M-134.4K0.335.14N/AN/A5,1951,72242,57821,613
2015-08-07$17.30$17.0023.2%6.8%22.8%19.2%23.2%2.9%2.7%1.0M-21.6M-134.1K0.404.56N/AN/A3,9721,60643,75421,670
2015-08-10$17.32$17.0024.8%7.0%22.8%24.0%23.7%3.4%2.2%1.0M-21.4M-130.7K0.484.54N/AN/A3,1501,51343,72121,745
2015-08-11$17.14$17.0024.6%6.9%22.3%23.4%24.1%3.3%2.9%886.5K-18.9M-132.6K0.514.14N/AN/A784043,82921,903
2015-08-12$17.30$17.0024.7%7.1%22.5%23.6%23.7%3.5%1.7%1.0M-20.4M-130.1K0.803.88N/AN/A1,9661,57443,82821,894
2015-08-13$17.26$17.0024.4%7.0%21.9%22.8%23.6%3.4%3.0%1.0M-19.9M-129.8K0.815.16N/AN/A1,7521,42443,96521,782
2015-08-14$17.41$17.0023.8%6.8%22.2%21.1%23.2%3.6%3.3%1.1M-22.0M-126.9K0.704.59N/AN/A1,9911,39044,00121,739
2015-08-17$17.59$17.0022.1%6.3%22.6%15.8%22.4%4.6%3.7%1.4M-24.4M-126.3K0.716.11N/AN/A2,0021,41743,80121,709
2015-08-18$17.57$17.0022.1%6.3%22.5%15.6%22.8%3.8%3.7%1.3M-24.2M-125.8K0.673.75N/AN/A2,1191,42443,91421,747
2015-08-19$17.36$17.0024.3%7.0%22.1%22.6%25.4%3.1%1.8%800.4K-21.5M-121.4K2.584.56N/AN/A34488843,90521,636
2015-08-20$16.89$17.0025.6%7.3%22.6%26.6%23.6%3.3%2.0%632.2K-15.4M-119.0K0.704.51N/AN/A3,1602,21743,95621,813
2015-08-21$16.40$18.0031.6%9.1%24.3%45.1%28.9%4.4%-0.9%144.7K-10.1M-115.5K1.528.70N/AN/A2,2123,36943,85221,879
2015-08-24$15.96$17.0039.8%11.4%25.4%70.5%33.4%9.8%-3.9%86.5K-292.7K-113.5K2.2015.49N/AN/A8491,86422,78816,013
2015-08-25$15.97$17.0034.8%10.0%23.5%55.0%33.7%7.1%-2.4%79.9K-762.8K-111.6K1.387.22N/AN/A1,3661,88222,78816,167
2015-08-26$16.33$17.0034.5%9.9%25.3%54.2%35.8%9.2%-2.9%107.9K-1.8M-113.6K0.956.87N/AN/A1,6421,55323,09715,888
2015-08-27$16.91$17.0030.5%8.7%28.6%41.7%30.2%7.8%-1.4%199.1K-6.1M-120.5K0.3910.54N/AN/A4,1231,61423,25116,092
2015-08-28$17.05$17.0031.9%9.1%28.7%45.9%32.0%6.3%-1.6%287.6K-7.5M-129.8K0.257.97N/AN/A5,1291,29925,28716,295
2015-08-31$16.79$17.0031.6%9.1%28.9%45.1%31.3%6.5%-0.9%285.9K-6.8M-126.9K0.155.22N/AN/A7,1141,09326,81216,402