BSX Options History — July 2016

In July 2016, BSX traded between $23.30 and $24.36. ATM implied volatility averaged 24.6%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.8% (HV 20d: 19.8%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2016-07-27: Highest Volume — 16,552 contracts
  • 2016-07-28: Largest IV drop — 32.7% change
  • 2016-07-27: Highest IV Rank — 58.8%
  • 2016-07-27: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.79$23.30$24.36$23.41$24.27
Max Pain$21.25$20.00$24.00$22.00$24.00
ATM IV24.6%19.6%32.9%19.6%20.4%
Expected Move7.4%5.6%9.4%5.6%5.8%
HV 20d19.8%18.5%21.7%20.4%18.5%
HV 60d23.7%16.0%27.3%26.6%17.2%
IV Rank26.3%6.2%58.8%6.2%9.3%
IV Percentile42.1%1.2%89.3%1.2%4.8%
Term Structure-1.2%-6.4%6.2%6.2%0.0%
VWIV26.9%19.8%33.7%20.7%19.8%
Skew 25d4.0%1.7%5.9%4.1%2.7%
Skew 10d9.7%4.3%13.8%7.7%7.6%
Call IV 25d25.0%17.8%33.2%17.8%19.6%
Put IV 25d29.0%21.9%36.0%21.9%22.3%
Bid-Ask Spread %16.174.2869.914.2812.76
Gamma HHI0.330.230.510.300.51
Net GEX2.4M1.3M4.0M2.6M3.1M
Net DEX-53.9M-65.2M-45.5M-49.8M-63.2M
Net VEX-268.6K-298.3K-250.9K-264.1K-292.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.322.811.690.39
Total Volume6,872.82,94416,5523,3286,201
Total OI82,647.1572,222102,14576,215102,145

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$23.41$22.0019.6%5.6%20.4%6.2%20.7%4.1%6.2%2.6M-49.8M-264.1K1.694.28N/AN/A1,2372,09146,92129,294
2016-07-05$23.30$20.0022.2%7.8%20.4%16.5%29.3%5.7%-0.6%2.4M-47.7M-259.7K1.4110.78N/AN/A1,3321,87646,99129,901
2016-07-06$23.68$20.0019.7%7.2%21.0%6.5%26.8%5.0%0.7%3.0M-53.2M-253.6K0.658.77N/AN/A1,7831,16147,19030,692
2016-07-07$23.65$20.0022.2%7.4%20.9%16.5%27.9%5.3%-0.1%2.8M-53.7M-258.9K1.409.53N/AN/A2,1292,98947,58930,909
2016-07-08$23.90$20.0020.6%7.2%19.7%10.4%28.4%5.1%-0.1%2.9M-58.5M-254.0K0.629.39N/AN/A2,5721,59548,06132,460
2016-07-11$23.77$20.0023.0%7.4%19.1%19.8%25.6%5.3%-0.5%3.1M-53.9M-255.0K0.3210.48N/AN/A5,4871,73547,98033,168
2016-07-12$23.67$20.0023.2%7.2%19.2%20.5%26.8%5.9%-0.1%3.1M-51.1M-259.0K0.369.64N/AN/A5,5182,00149,26533,299
2016-07-13$23.64$20.0025.0%7.2%19.1%27.7%26.6%4.7%-0.0%3.2M-53.0M-258.1K0.5710.28N/AN/A3,4361,97150,88033,710
2016-07-14$23.81$20.0024.7%7.1%19.1%26.4%26.7%4.8%0.3%4.0M-58.1M-256.1K0.6811.43N/AN/A2,8461,94951,19833,707
2016-07-15$23.58$20.0024.8%7.1%19.6%26.8%25.0%4.4%0.4%1.3M-50.8M-250.9K0.986.02N/AN/A5,3185,22651,72033,802
2016-07-18$23.57$21.0025.6%7.3%19.5%29.9%26.4%3.5%-2.2%1.4M-45.5M-264.7K0.667.69N/AN/A3,8182,53342,46829,754
2016-07-19$23.75$21.0026.0%7.4%19.6%31.5%26.8%3.9%-2.5%1.6M-49.8M-265.1K0.459.63N/AN/A4,2181,87745,24030,223
2016-07-20$24.27$22.0026.6%7.6%20.8%34.2%26.7%1.7%-2.9%2.1M-60.9M-273.0K1.244.70N/AN/A2,6813,31848,54430,396
2016-07-21$23.89$21.0027.3%7.8%21.7%36.9%28.3%3.2%-2.9%2.0M-54.5M-276.3K1.326.90N/AN/A1,6522,18349,32529,756
2016-07-22$23.93$21.0026.5%7.6%21.6%33.6%26.8%1.8%-2.7%2.1M-57.1M-270.1K0.5811.39N/AN/A3,5172,03550,06030,040
2016-07-25$23.67$21.0030.4%8.7%19.9%49.2%31.0%2.8%-4.8%2.0M-53.8M-279.1K2.8169.38N/AN/A2,9868,38151,35830,091
2016-07-26$23.97$24.0030.3%8.7%18.6%48.9%31.2%3.3%-5.8%1.5M-51.9M-289.8K0.7314.30N/AN/A3,2832,38151,77435,885
2016-07-27$23.67$24.0032.9%9.4%18.9%58.8%33.7%2.8%-6.4%1.4M-46.8M-298.3K0.4526.13N/AN/A11,4155,13752,40736,126
2016-07-28$24.36$24.0022.1%6.3%18.8%16.2%22.6%4.0%-0.1%3.0M-65.2M-292.9K0.4669.91N/AN/A10,6414,94760,35038,264
2016-07-29$24.27$24.0020.4%5.8%18.5%9.3%19.8%2.7%0.0%3.1M-63.2M-292.8K0.3912.76N/AN/A4,4611,74063,43038,715