BSX Options History — September 2015

In September 2015, BSX traded between $15.92 and $17.18. ATM implied volatility averaged 30.3%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.8% (HV 20d: 33.0%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2015-09-18: Highest Volume — 7,400 contracts
  • 2015-09-04: Largest IV spike — 20.1% change
  • 2015-09-01: Highest IV Rank — 63.2%
  • 2015-09-01: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.61$15.92$17.18$16.10$16.40
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV30.3%26.1%38.0%38.0%32.9%
Expected Move8.7%7.5%10.9%10.9%9.4%
HV 20d33.0%29.2%35.5%32.4%29.2%
HV 60d25.5%23.9%27.2%23.9%27.2%
IV Rank37.8%24.2%63.2%63.2%46.3%
IV Percentile76.2%56.0%98.0%98.0%84.5%
Term Structure1.5%-1.7%2.7%-1.7%1.8%
VWIV31.5%26.4%40.7%40.7%35.3%
Skew 25d7.0%3.7%9.5%9.5%9.4%
Skew 10d14.5%6.4%22.1%17.5%22.1%
Call IV 25d28.1%25.2%34.1%34.1%28.5%
Put IV 25d35.1%29.4%43.6%43.6%37.9%
Bid-Ask Spread %6.874.818.618.306.84
Gamma HHI0.250.190.290.240.20
Net GEX365.1K201.1K507.6K224.2K282.3K
Net DEX-6.0M-12.3M-236.9K-2.4M-3.0M
Net VEX-127.4K-132.2K-121.2K-121.2K-129.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.242.610.240.82
Total Volume4,493.816907,4007,1013,711
Total OI48,592.04844,78352,40244,78352,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$16.10$17.0038.0%10.9%32.4%63.2%40.7%9.5%-1.7%224.2K-2.4M-121.2K0.248.30N/AN/A5,7121,38928,35816,425
2015-09-02$16.49$17.0033.9%9.7%31.0%49.7%35.6%8.3%-0.4%252.6K-4.3M-123.9K0.287.93N/AN/A5,1341,42628,57716,761
2015-09-03$16.54$17.0028.0%8.5%30.8%30.4%30.5%6.6%1.7%263.4K-5.1M-126.2K0.248.61N/AN/A5,5861,33128,62216,717
2015-09-04$16.32$17.0033.6%9.5%31.0%48.8%33.1%7.6%0.8%253.8K-3.4M-124.1K0.318.28N/AN/A5,5761,71429,06316,764
2015-09-08$16.95$17.0029.5%8.5%34.2%35.4%29.9%6.5%1.7%367.8K-7.7M-132.1K0.547.81N/AN/A1,56584229,19917,284
2015-09-09$16.61$17.0029.2%8.4%34.8%34.3%30.9%6.5%1.4%337.7K-6.3M-129.2K0.755.54N/AN/A2,5291,88930,36317,824
2015-09-10$16.76$17.0029.3%8.4%34.8%34.8%31.3%6.8%1.7%357.7K-6.7M-130.0K0.836.13N/AN/A2,5392,09830,60318,044
2015-09-11$16.85$17.0029.2%8.4%34.8%34.2%30.8%6.7%1.7%413.1K-7.8M-129.8K0.896.33N/AN/A2,1461,90530,85018,098
2015-09-14$16.71$17.0029.6%8.5%34.7%35.6%31.2%7.2%1.8%369.4K-6.5M-126.8K0.866.11N/AN/A2,1961,89330,97518,151
2015-09-15$17.08$17.0029.0%8.3%35.5%33.6%28.7%6.7%1.5%499.1K-10.4M-130.8K0.507.68N/AN/A46122931,27118,211
2015-09-16$17.12$17.0028.1%8.0%35.5%30.5%28.6%6.3%2.2%504.4K-10.4M-129.0K0.366.96N/AN/A3,3511,19031,33518,272
2015-09-17$17.18$17.0027.0%7.8%35.3%27.2%29.1%3.7%2.6%507.6K-12.3M-130.8K0.387.38N/AN/A3,4061,30132,28118,403
2015-09-18$16.81$17.0026.1%7.5%34.8%24.2%26.4%5.9%2.5%409.6K-5.6M-126.3K0.466.42N/AN/A5,0652,33532,78718,492
2015-09-21$16.71$17.0026.1%7.5%33.2%24.2%27.3%5.7%2.3%458.8K-7.1M-124.7K0.837.47N/AN/A2,0281,67430,13816,995
2015-09-22$16.43$17.0030.7%8.8%32.2%39.2%30.6%6.7%1.8%409.8K-5.5M-124.3K0.947.03N/AN/A1,3061,22630,54117,472
2015-09-23$16.75$17.0026.3%7.5%32.8%24.8%29.7%7.2%2.4%460.1K-7.5M-128.0K0.876.53N/AN/A1,5831,38030,78217,434
2015-09-24$16.78$17.0026.6%7.6%32.0%25.9%29.6%6.5%2.3%493.5K-8.4M-132.2K1.494.81N/AN/A1,3241,97631,20617,447
2015-09-25$16.31$17.0031.6%9.1%31.0%42.1%28.3%7.6%2.7%389.7K-4.9M-124.5K2.616.64N/AN/A1,4553,79131,35717,417
2015-09-28$15.92$17.0036.1%10.4%31.8%57.0%34.5%7.5%-0.2%211.5K-745.0K-125.9K2.006.48N/AN/A1,6523,30831,59019,806
2015-09-29$16.01$17.0034.5%9.9%31.6%51.5%38.4%7.5%0.4%201.1K-236.9K-126.1K1.114.94N/AN/A1,4891,65931,73020,672
2015-09-30$16.40$17.0032.9%9.4%29.2%46.3%35.3%9.4%1.8%282.3K-3.0M-129.2K0.826.84N/AN/A2,0401,67131,74920,367