BSX Options History — April 2016

In April 2016, BSX traded between $18.94 and $21.94. ATM implied volatility averaged 24.2%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.6% (HV 20d: 24.8%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2016-04-27: Highest Volume — 10,435 contracts
  • 2016-04-27: Largest IV drop — 25.8% change
  • 2016-04-26: Highest IV Rank — 40.5%
  • 2016-04-26: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.80$18.94$21.94$18.94$21.93
Max Pain$17.14$17.00$18.00$18.00$18.00
ATM IV24.2%19.9%28.2%20.0%23.0%
Expected Move7.2%5.7%8.1%5.7%6.6%
HV 20d24.8%17.2%41.8%21.2%41.8%
HV 60d28.5%25.7%33.5%29.1%33.4%
IV Rank24.6%7.4%40.5%7.8%19.8%
IV Percentile40.6%7.1%69.8%7.1%32.1%
Term Structure-0.9%-3.9%2.9%2.9%-0.6%
VWIV25.4%20.0%28.7%20.0%23.1%
Skew 25d3.9%3.0%4.8%3.3%4.4%
Skew 10d8.8%2.9%16.3%2.9%12.7%
Call IV 25d24.0%20.2%27.8%21.4%21.9%
Put IV 25d27.9%23.6%30.9%24.7%26.3%
Bid-Ask Spread %6.074.597.974.595.35
Gamma HHI0.240.190.340.340.19
Net GEX936.7K716.4K1.3M1.3M1.0M
Net DEX-38.6M-49.8M-26.0M-34.5M-49.8M
Net VEX-136.4K-147.0K-122.0K-134.5K-140.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.221.210.460.59
Total Volume4,706.9052,53910,4353,1945,582
Total OI48,529.33339,95956,59848,68649,694

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$18.94$18.0020.0%5.7%21.2%7.8%20.0%3.3%2.9%1.3M-34.5M-134.5K0.464.59N/AN/A2,1841,01032,74115,945
2016-04-04$19.47$17.0021.7%7.3%22.7%14.7%24.1%4.8%-0.4%1.1M-41.9M-128.8K0.405.21N/AN/A3,4381,38833,45116,069
2016-04-05$19.16$17.0020.9%7.3%23.6%11.3%24.9%4.4%-0.1%1.2M-38.8M-133.2K0.705.43N/AN/A1,9221,33734,09716,568
2016-04-06$19.57$17.0019.9%6.9%24.2%7.4%24.9%3.9%-0.2%1.0M-44.2M-129.0K0.256.85N/AN/A4,05699934,56716,950
2016-04-07$19.29$17.0023.6%7.7%25.3%22.1%27.0%4.5%-1.0%1.2M-41.7M-146.4K0.535.41N/AN/A3,4981,85037,00117,296
2016-04-08$19.29$17.0023.4%7.5%25.3%21.4%25.4%4.2%0.0%1.2M-42.1M-147.0K0.574.96N/AN/A3,0801,76437,37917,992
2016-04-11$19.18$17.0026.9%7.9%23.3%35.3%26.3%4.4%-1.5%840.2K-40.8M-145.0K0.717.57N/AN/A2,8512,03537,57518,857
2016-04-12$19.29$17.0027.9%7.8%23.3%39.3%26.9%4.1%-0.9%766.0K-42.6M-142.7K0.467.97N/AN/A2,9661,36137,73718,861
2016-04-13$19.57$17.0024.8%7.1%22.7%27.0%26.6%4.5%-0.3%855.3K-46.3M-141.4K0.465.57N/AN/A2,9431,34637,76418,687
2016-04-14$19.54$17.0024.4%7.0%22.8%25.2%25.3%3.9%0.2%784.9K-46.4M-138.7K0.437.14N/AN/A3,2991,40537,76718,717
2016-04-15$19.45$17.0025.4%7.3%22.3%29.4%25.2%3.5%-0.4%819.4K-46.2M-136.3K0.315.59N/AN/A3,7811,17337,79418,769
2016-04-18$19.47$17.0026.2%7.5%21.3%32.3%26.3%3.4%-1.4%848.1K-26.0M-136.9K0.255.54N/AN/A2,88573226,95313,006
2016-04-19$19.61$17.0024.7%7.1%20.9%26.5%25.1%3.5%-1.1%844.7K-27.6M-134.9K0.254.95N/AN/A2,82269726,97813,011
2016-04-20$19.65$17.0025.2%7.2%20.3%28.4%26.6%3.7%-1.8%823.6K-28.2M-134.5K0.225.44N/AN/A3,34873227,06213,073
2016-04-21$19.56$17.0026.1%7.5%20.1%31.9%26.9%3.2%-2.0%840.4K-26.8M-134.6K0.256.06N/AN/A3,79395826,90313,112
2016-04-22$19.76$17.0026.2%7.5%19.2%32.4%27.3%4.3%-2.4%837.4K-29.3M-132.1K0.347.36N/AN/A1,89064927,02513,334
2016-04-25$19.70$17.0027.2%7.8%19.4%36.4%28.3%4.0%-3.2%829.2K-28.4M-133.3K0.357.27N/AN/A3,1091,09427,16013,430
2016-04-26$19.67$17.0028.2%8.1%17.2%40.5%28.7%3.2%-3.9%918.2K-29.1M-137.9K1.217.49N/AN/A2,5193,05228,45713,788
2016-04-27$21.94$17.0020.9%6.0%41.4%11.6%22.5%3.4%-0.1%716.4K-49.8M-122.0K0.276.17N/AN/A8,1862,24929,50215,484
2016-04-28$21.74$18.0021.9%6.3%41.8%15.6%22.0%3.0%-0.5%955.5K-49.6M-135.0K0.565.55N/AN/A3,1141,74832,01216,548
2016-04-29$21.93$18.0023.0%6.6%41.8%19.8%23.1%4.4%-0.6%1.0M-49.8M-140.7K0.595.35N/AN/A3,5112,07132,79116,903