BSX Options History — March 2016

In March 2016, BSX traded between $17.24 and $18.83. ATM implied volatility averaged 23.0%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.4% (HV 20d: 22.6%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2016-03-18: Highest Volume — 6,682 contracts
  • 2016-03-29: Largest IV drop — 16.5% change
  • 2016-03-01: Highest IV Rank — 38.4%
  • 2016-03-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.88$17.24$18.83$17.24$18.83
Max Pain$17.55$17.00$18.00$17.00$18.00
ATM IV23.0%18.0%28.1%28.1%18.8%
Expected Move6.5%5.2%8.1%8.1%5.4%
HV 20d22.6%15.6%34.5%34.4%21.2%
HV 60d29.1%28.6%29.9%29.8%29.2%
IV Rank18.0%0.0%38.4%38.4%3.1%
IV Percentile28.2%0.0%67.1%67.1%0.8%
Term Structure2.9%-1.6%5.0%-1.6%4.0%
VWIV22.5%19.0%27.4%26.3%19.3%
Skew 25d4.7%1.5%6.3%5.0%1.5%
Skew 10d10.2%0.1%18.1%6.4%0.1%
Call IV 25d20.9%16.3%25.8%25.8%19.7%
Put IV 25d25.6%21.2%30.9%30.9%21.2%
Bid-Ask Spread %5.703.928.196.654.02
Gamma HHI0.460.290.640.290.35
Net GEX1.3M585.6K1.8M585.6K1.5M
Net DEX-18.9M-33.5M-8.9M-8.9M-33.5M
Net VEX-132.8K-145.5K-122.3K-123.0K-136.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.261.040.670.43
Total Volume3,430.6361,8216,6822,4323,019
Total OI47,451.40941,48356,01641,48348,722

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$17.24$17.0028.1%8.1%34.4%38.4%26.3%5.0%-1.6%585.6K-8.9M-123.0K0.676.65N/AN/A1,45597727,27514,208
2016-03-02$17.36$17.0027.5%7.9%34.5%35.7%25.4%6.2%-1.1%701.7K-9.9M-123.7K0.626.83N/AN/A1,47590927,80214,506
2016-03-03$17.43$17.0027.2%7.5%34.4%34.7%25.7%5.3%1.2%762.5K-10.7M-124.2K0.268.19N/AN/A2,48064127,99314,628
2016-03-04$17.43$17.0028.0%7.6%33.4%37.7%27.4%5.7%2.0%822.7K-11.9M-126.7K0.634.88N/AN/A1,33484729,11314,660
2016-03-07$17.32$17.0027.8%7.2%29.9%36.9%23.5%3.8%2.5%749.1K-10.3M-122.3K0.294.82N/AN/A2,70378429,21114,973
2016-03-08$17.35$17.0027.6%7.3%26.2%36.2%25.0%5.7%2.6%910.4K-11.3M-124.7K0.915.56N/AN/A1,1141,01130,80315,007
2016-03-09$17.41$17.0025.4%7.3%18.9%27.5%23.5%5.4%2.4%930.4K-11.3M-123.5K0.314.95N/AN/A3,4031,05530,97115,363
2016-03-10$17.45$17.0025.9%7.4%18.9%29.2%26.6%5.5%2.2%1.2M-13.5M-127.1K1.046.74N/AN/A89392832,89015,720
2016-03-11$18.04$17.0022.1%6.3%20.6%13.7%23.2%4.7%3.5%1.7M-22.5M-131.1K0.736.29N/AN/A1,3971,02632,93315,856
2016-03-14$18.13$17.0022.2%6.4%20.5%14.2%22.6%5.3%3.3%1.8M-24.2M-129.2K0.896.42N/AN/A3,0532,70333,23916,151
2016-03-15$17.88$18.0022.3%6.4%19.0%14.7%22.6%3.7%2.9%1.5M-20.2M-133.6K0.995.77N/AN/A2,0332,00534,37818,344
2016-03-16$17.89$18.0021.0%6.0%17.0%9.3%21.2%3.6%3.6%1.7M-20.1M-129.9K0.454.86N/AN/A4,4462,01534,42318,607
2016-03-17$17.70$18.0021.1%6.0%15.6%9.7%21.3%4.2%4.0%1.8M-18.4M-131.5K0.484.75N/AN/A3,6931,75736,47018,639
2016-03-18$18.11$18.0020.0%5.7%17.3%5.5%20.1%4.5%4.4%1.4M-29.8M-140.9K0.797.65N/AN/A3,7262,95637,31518,701
2016-03-21$17.98$18.0020.4%5.9%17.6%7.2%20.6%4.9%4.0%1.4M-18.5M-141.1K0.426.61N/AN/A1,82976330,86313,934
2016-03-22$18.31$18.0021.3%6.1%18.5%10.7%21.2%5.2%2.9%1.4M-23.6M-142.8K0.746.04N/AN/A1,5511,15331,05114,260
2016-03-23$18.17$18.0020.2%5.8%18.8%6.2%20.4%3.0%4.2%1.4M-21.2M-145.5K0.603.92N/AN/A1,61697431,29614,857
2016-03-24$17.93$18.0020.7%5.9%19.6%8.1%20.6%4.4%3.9%1.4M-17.0M-142.7K0.586.75N/AN/A1,8011,04931,41615,090
2016-03-28$18.01$18.0021.6%6.2%19.4%11.8%19.2%5.6%3.4%1.5M-18.3M-141.4K0.954.31N/AN/A1,5691,49431,51515,453
2016-03-29$18.54$18.0018.0%5.2%21.0%0.0%19.0%4.4%5.0%1.4M-27.8M-139.3K0.385.31N/AN/A2,33789631,52815,410
2016-03-30$18.80$18.0019.2%5.5%21.2%4.8%20.6%6.3%3.6%1.4M-32.1M-140.1K0.414.12N/AN/A1,84276232,76315,594
2016-03-31$18.83$18.0018.8%5.4%21.2%3.1%19.3%1.5%4.0%1.5M-33.5M-136.3K0.434.02N/AN/A2,10691333,03515,687