BSX Options History — June 2016

In June 2016, BSX traded between $22.00 and $23.35. ATM implied volatility averaged 22.7%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.3% (HV 20d: 14.4%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-06-14: Highest Volume — 9,175 contracts
  • 2016-06-24: Largest IV spike — 27.6% change
  • 2016-06-24: Highest IV Rank — 32.3%
  • 2016-06-24: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.81$22.00$23.35$22.71$23.35
Max Pain$21.95$21.00$22.00$21.00$22.00
ATM IV22.7%20.4%26.2%20.6%21.5%
Expected Move6.5%5.9%7.5%5.9%6.2%
HV 20d14.4%11.5%20.7%11.5%20.7%
HV 60d27.1%26.1%27.9%27.6%26.8%
IV Rank18.5%9.5%32.3%10.3%13.9%
IV Percentile27.4%6.3%59.9%7.9%13.5%
Term Structure3.3%0.4%5.0%0.4%4.7%
VWIV24.0%22.4%27.1%22.4%23.2%
Skew 25d4.6%2.9%6.3%3.2%4.4%
Skew 10d10.0%6.3%17.1%8.3%8.9%
Call IV 25d21.6%19.3%24.8%20.6%19.8%
Put IV 25d26.2%23.4%31.0%23.8%24.1%
Bid-Ask Spread %7.664.5527.055.335.95
Gamma HHI0.300.180.450.280.28
Net GEX2.1M913.6K4.1M1.8M2.3M
Net DEX-44.1M-58.8M-24.9M-45.5M-47.4M
Net VEX-283.0K-300.1K-266.4K-287.6K-266.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.241.460.950.98
Total Volume3,839.0452,5779,1753,1152,611
Total OI75,602.40970,26381,96570,26375,765

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$22.71$21.0020.6%5.9%11.5%10.3%22.4%3.2%0.4%1.8M-45.5M-287.6K0.955.33N/AN/A1,6001,51545,46024,803
2016-06-02$23.01$22.0020.4%6.0%12.1%9.5%22.5%4.6%4.1%2.0M-50.4M-285.0K1.377.13N/AN/A1,4942,04445,60424,905
2016-06-03$22.80$22.0022.0%6.1%12.8%15.9%23.7%4.0%3.4%1.8M-47.1M-288.0K0.554.55N/AN/A3,6111,98345,70925,810
2016-06-06$22.74$22.0022.8%6.2%12.5%19.0%22.8%3.8%3.1%2.4M-48.0M-281.9K0.818.96N/AN/A1,6401,32947,89426,007
2016-06-07$22.63$22.0021.5%6.0%12.6%13.9%23.2%4.2%3.5%2.4M-45.9M-288.4K0.656.33N/AN/A1,9981,30648,45926,238
2016-06-08$22.82$22.0020.6%5.9%12.9%10.1%23.7%4.5%3.6%2.6M-49.5M-288.6K0.844.98N/AN/A1,4881,25748,35526,540
2016-06-09$23.33$22.0021.4%6.1%14.4%13.5%22.7%4.0%3.5%2.6M-58.8M-283.8K1.066.27N/AN/A2,2492,37548,36026,675
2016-06-10$23.01$22.0021.9%6.3%15.6%15.4%23.2%4.5%3.0%2.7M-52.0M-284.3K1.464.87N/AN/A1,4762,15748,14327,528
2016-06-13$22.95$22.0025.7%7.4%15.3%30.3%24.4%5.9%1.4%2.5M-50.7M-289.6K0.246.28N/AN/A6,3991,52948,21528,130
2016-06-14$22.89$22.0025.5%7.3%14.2%29.7%27.1%5.7%1.6%3.1M-49.0M-300.1K0.396.51N/AN/A6,6182,55752,18428,471
2016-06-15$22.79$22.0023.9%6.9%14.3%23.5%26.0%4.0%2.5%3.3M-47.5M-296.4K1.116.77N/AN/A1,2201,35751,98329,702
2016-06-16$22.83$22.0023.9%6.9%13.3%23.4%26.0%6.0%2.1%4.1M-46.0M-291.8K0.798.22N/AN/A1,6961,34852,18229,783
2016-06-17$22.78$22.0023.5%6.7%13.2%21.6%25.2%5.9%2.7%1.5M-42.6M-280.0K0.5410.38N/AN/A2,7971,50051,97329,914
2016-06-20$22.82$22.0021.8%6.3%12.9%15.2%23.3%4.4%3.6%1.6M-40.1M-277.4K0.665.66N/AN/A2,6981,77544,90727,581
2016-06-21$22.79$22.0021.8%6.2%12.8%15.0%23.8%4.3%3.8%1.7M-39.0M-282.2K1.155.05N/AN/A1,1981,38346,18728,222
2016-06-22$22.72$22.0022.2%6.4%12.7%16.6%23.8%5.3%3.6%1.6M-36.9M-283.8K1.0112.84N/AN/A1,2921,30546,28128,480
2016-06-23$22.94$22.0020.5%5.9%12.9%9.9%23.7%2.9%4.5%1.9M-42.5M-273.9K1.0227.05N/AN/A1,3851,41246,41728,496
2016-06-24$22.39$22.0026.2%7.5%15.5%32.3%26.2%4.8%2.9%1.4M-32.6M-285.8K1.356.96N/AN/A1,4621,98146,54728,595
2016-06-27$22.00$22.0026.2%7.5%16.6%32.3%26.2%6.3%3.8%913.6K-24.9M-276.0K0.547.18N/AN/A2,3631,27546,61028,949
2016-06-28$22.37$22.0023.6%6.8%17.6%22.1%22.9%5.2%5.0%1.0M-30.0M-266.4K0.855.76N/AN/A1,4741,25446,49429,090
2016-06-29$23.04$22.0021.5%6.2%20.7%13.9%23.0%3.4%5.0%1.9M-42.7M-267.6K0.765.59N/AN/A1,7301,31846,51629,089
2016-06-30$23.35$22.0021.5%6.2%20.7%13.9%23.2%4.4%4.7%2.3M-47.4M-266.9K0.985.95N/AN/A1,3211,29046,59029,175