BSX Options History — February 2016

In February 2016, BSX traded between $16.01 and $17.90. ATM implied volatility averaged 32.6%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 3.7% (HV 20d: 36.3%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2016-02-09: Highest Volume — 21,923 contracts
  • 2016-02-04: Largest IV drop — 18.2% change
  • 2016-02-08: Highest IV Rank — 91.7%
  • 2016-02-03: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.15$16.01$17.90$17.90$17.05
Max Pain$16.90$16.00$17.00$17.00$17.00
ATM IV32.6%28.3%41.2%38.1%28.3%
Expected Move9.1%8.1%11.5%10.9%8.1%
HV 20d36.3%30.8%40.6%32.8%35.8%
HV 60d28.5%25.4%30.1%25.5%29.7%
IV Rank56.5%39.0%91.7%79.0%39.1%
IV Percentile83.1%68.7%99.6%99.2%69.0%
Term Structure-1.0%-7.3%1.5%-7.2%-0.6%
VWIV32.3%26.4%42.7%40.3%28.8%
Skew 25d5.2%4.0%6.5%4.2%4.0%
Skew 10d10.4%6.3%13.4%8.6%7.6%
Call IV 25d30.2%25.7%39.2%36.7%27.6%
Put IV 25d35.4%31.0%44.1%40.9%31.6%
Bid-Ask Spread %6.454.268.766.245.49
Gamma HHI0.290.190.510.280.26
Net GEX699.0K336.7K1.7M827.5K500.7K
Net DEX-7.6M-16.2M4.6M-13.6M-7.0M
Net VEX-126.7K-141.8K-117.4K-123.1K-121.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.142.100.830.84
Total Volume6,547.951,95521,9232,9302,099
Total OI53,311.4536,43870,82841,59141,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$17.90$17.0038.1%10.9%32.8%79.0%40.3%4.2%-7.2%827.5K-13.6M-123.1K0.836.24N/AN/A1,6041,32627,83213,759
2016-02-02$17.86$17.0038.9%11.1%31.0%82.2%42.7%5.4%-7.2%822.7K-13.1M-123.2K0.916.89N/AN/A1,6851,54028,04813,966
2016-02-03$17.70$17.0040.0%11.5%30.8%86.6%41.3%5.0%-7.3%787.6K-11.3M-124.4K0.775.87N/AN/A4,7613,67328,63314,281
2016-02-04$17.29$17.0032.7%9.0%31.6%57.0%29.5%4.6%0.4%618.1K-6.0M-123.6K0.148.76N/AN/A14,4102,04930,83416,692
2016-02-05$16.61$17.0038.3%9.1%34.1%79.9%31.5%5.4%0.5%682.2K-2.0M-135.4K0.188.19N/AN/A12,4882,26542,72517,667
2016-02-08$16.01$17.0041.2%10.5%35.7%91.7%36.6%5.4%-1.9%500.6K4.6M-117.4K0.688.45N/AN/A6,6214,48649,02217,847
2016-02-09$16.87$16.0034.8%9.5%40.6%65.5%32.7%5.8%-0.6%1.2M-6.3M-140.7K0.148.43N/AN/A19,3152,60851,41519,413
2016-02-10$16.92$16.0032.2%9.2%37.9%55.0%32.4%5.7%0.5%893.1K-5.9M-141.8K0.217.16N/AN/A10,1132,11546,50920,020
2016-02-11$16.62$17.0032.8%9.4%38.0%57.3%34.4%6.5%0.1%444.5K247.6K-129.8K1.047.73N/AN/A1,5111,57144,66820,147
2016-02-12$16.62$17.0031.5%9.0%35.3%52.3%33.0%6.2%0.8%336.7K1.3M-126.4K0.988.47N/AN/A1,3941,37144,63020,238
2016-02-16$17.14$17.0031.0%8.9%37.3%50.0%31.0%5.4%1.1%866.1K-7.4M-125.9K0.405.97N/AN/A2,7451,10244,39720,260
2016-02-17$17.57$17.0028.5%8.2%38.1%40.1%30.3%5.2%1.5%1.7M-16.2M-127.7K0.785.64N/AN/A1,3971,08544,44720,149
2016-02-18$17.21$17.0030.3%8.7%38.7%47.2%30.8%4.3%1.3%621.0K-10.0M-123.2K0.865.24N/AN/A1,3431,15744,54420,513
2016-02-19$17.16$17.0029.6%8.5%38.7%44.5%32.0%4.7%1.3%471.1K-13.6M-119.0K0.764.26N/AN/A4,5373,43844,74220,443
2016-02-22$17.25$17.0028.3%8.1%38.4%39.1%31.3%4.4%-0.0%391.1K-7.9M-120.7K2.105.55N/AN/A1,2852,70223,30013,138
2016-02-23$17.26$17.0028.9%8.3%37.9%41.7%26.6%5.3%-0.8%410.4K-7.8M-120.4K0.245.57N/AN/A4,07599623,66913,300
2016-02-24$17.33$17.0029.2%8.4%37.8%42.9%27.4%4.7%-1.2%676.6K-10.8M-131.5K0.994.58N/AN/A1,0901,07827,64413,616
2016-02-25$17.33$17.0028.6%8.2%37.6%40.3%27.1%5.1%-0.9%650.2K-10.3M-130.9K0.755.55N/AN/A1,11683927,66513,741
2016-02-26$17.22$17.0028.3%8.1%37.1%39.0%26.4%5.9%0.0%578.4K-9.3M-128.1K0.714.94N/AN/A1,15081927,06113,953
2016-02-29$17.05$17.0028.3%8.1%35.8%39.1%28.8%4.0%-0.6%500.7K-7.0M-121.5K0.845.49N/AN/A1,14195827,22614,075