BSX Options History — May 2016

In May 2016, BSX traded between $21.79 and $22.71. ATM implied volatility averaged 22.1%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 12.6% (HV 20d: 34.7%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2016-05-19: Highest Volume — 12,348 contracts
  • 2016-05-24: Largest IV drop — 13.9% change
  • 2016-05-03: Highest IV Rank — 22.5%
  • 2016-05-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.26$21.79$22.71$21.97$22.71
Max Pain$20.57$18.00$21.00$18.00$21.00
ATM IV22.1%19.7%23.7%22.7%20.5%
Expected Move6.3%5.7%6.8%6.5%5.9%
HV 20d34.7%11.9%41.1%41.1%12.0%
HV 60d28.5%27.4%33.0%33.0%27.7%
IV Rank16.1%6.7%22.5%18.5%10.0%
IV Percentile23.7%3.2%38.1%31.7%7.5%
Term Structure2.1%-1.3%4.4%-0.8%-0.1%
VWIV22.6%20.5%24.4%22.9%21.9%
Skew 25d4.0%2.2%4.7%3.9%3.3%
Skew 10d9.2%3.1%12.0%12.0%8.6%
Call IV 25d21.0%19.9%23.1%21.5%20.4%
Put IV 25d24.9%22.4%27.4%25.4%23.7%
Bid-Ask Spread %6.333.7111.694.034.39
Gamma HHI0.270.150.500.190.28
Net GEX1.2M702.8K1.9M989.1K1.8M
Net DEX-50.5M-65.1M-31.1M-51.9M-44.7M
Net VEX-204.5K-288.2K-137.7K-137.7K-288.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.152.900.570.66
Total Volume8,067.1433,96312,3486,6564,037
Total OI62,468.57150,92071,25150,92069,781

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$21.97$18.0022.7%6.5%41.1%18.5%22.9%3.9%-0.8%989.1K-51.9M-137.7K0.574.03N/AN/A4,2442,41233,82417,096
2016-05-03$21.79$18.0023.7%6.8%40.7%22.5%24.4%4.3%-1.3%1.2M-50.3M-149.2K1.533.71N/AN/A4,8757,45734,97518,123
2016-05-04$21.79$18.0023.2%6.7%40.4%20.7%23.9%3.9%-0.6%1.0M-51.1M-172.7K2.383.84N/AN/A2,1515,12336,48022,821
2016-05-05$21.79$21.0022.7%6.5%39.7%18.5%23.1%4.5%3.0%1.1M-51.1M-171.4K1.308.26N/AN/A3,8885,07236,48222,765
2016-05-06$22.01$21.0022.2%6.5%39.7%16.7%22.6%4.2%3.0%1.1M-54.1M-194.9K1.288.37N/AN/A3,7354,78538,53724,272
2016-05-09$22.15$21.0023.4%6.6%39.4%21.3%23.2%3.5%3.1%1.1M-56.1M-196.0K1.3811.69N/AN/A3,5254,86439,16525,805
2016-05-10$22.21$21.0022.3%6.4%39.5%16.9%22.4%4.0%3.5%1.3M-57.1M-197.7K1.537.19N/AN/A3,3175,07939,52025,826
2016-05-11$22.06$21.0021.8%6.3%39.6%15.1%22.4%3.6%3.7%1.3M-55.4M-197.1K1.408.64N/AN/A3,4614,86039,53926,180
2016-05-12$22.06$21.0021.3%6.1%39.6%13.0%21.2%4.0%4.4%1.3M-54.9M-197.4K2.906.32N/AN/A1,6764,86539,46526,265
2016-05-13$22.31$21.0022.2%6.4%39.4%16.5%21.9%4.5%3.9%1.3M-58.5M-194.3K1.357.71N/AN/A3,4424,63639,66026,359
2016-05-16$22.68$21.0020.9%6.0%39.5%11.3%21.7%4.7%4.4%1.2M-65.1M-193.9K1.474.99N/AN/A3,4875,13540,92526,420
2016-05-17$22.61$21.0020.8%6.0%39.7%11.1%23.1%4.1%4.3%1.2M-64.0M-196.6K1.597.84N/AN/A2,9694,71341,34226,903
2016-05-18$22.31$21.0023.2%6.7%40.3%20.6%22.9%4.2%4.3%1.5M-59.2M-205.4K1.707.59N/AN/A2,9094,94741,79527,133
2016-05-19$22.19$21.0023.5%6.7%40.4%21.9%22.9%4.3%3.6%1.9M-57.4M-207.1K0.874.91N/AN/A6,5945,75441,82427,423
2016-05-20$22.39$21.0023.1%6.6%40.4%20.2%22.7%4.3%3.7%702.8K-60.7M-214.0K0.453.96N/AN/A7,0403,13342,82928,422
2016-05-23$22.35$21.0023.4%6.7%40.3%21.3%21.8%4.0%0.1%819.2K-31.4M-213.4K0.835.50N/AN/A3,9793,31330,05721,550
2016-05-24$22.52$21.0020.2%5.8%40.2%8.5%21.6%4.4%0.7%989.6K-32.1M-230.2K1.116.26N/AN/A1,8742,08931,39523,320
2016-05-25$22.39$21.0022.4%6.4%12.6%17.5%24.3%3.3%0.3%897.9K-31.1M-228.5K0.686.57N/AN/A2,5031,69731,61123,849
2016-05-26$22.56$21.0020.2%5.8%12.2%8.8%22.6%3.9%0.3%1.1M-34.0M-232.2K0.156.59N/AN/A10,3051,54032,70424,098
2016-05-27$22.58$21.0019.7%5.7%11.9%6.7%20.5%2.2%0.9%1.5M-41.1M-276.4K0.254.61N/AN/A6,3501,57540,95424,346
2016-05-31$22.71$21.0020.5%5.9%12.0%10.0%21.9%3.3%-0.1%1.8M-44.7M-288.2K0.664.39N/AN/A2,4391,59845,28224,499