BSX Options History — August 2016

In August 2016, BSX traded between $23.63 and $24.42. ATM implied volatility averaged 20.3%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.5% (HV 20d: 17.8%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.33.

Notable Days

2016-08-26: Highest Volume — 12,604 contracts
2016-08-30: Largest IV drop — 13.6% change
2016-08-29: Highest IV Rank — 29.6%
2016-08-29: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.01	$23.63	$24.42	$24.42	$23.88
Max Pain	$24.13	$24.00	$25.00	$24.00	$24.00
ATM IV	20.3%	18.4%	25.5%	21.4%	21.4%
Expected Move	5.9%	5.3%	7.3%	6.1%	6.1%
HV 20d	17.8%	13.9%	20.3%	18.6%	14.3%
HV 60d	17.6%	17.2%	18.0%	17.2%	18.0%
IV Rank	9.0%	1.6%	29.6%	13.5%	13.3%
IV Percentile	9.7%	0.4%	54.8%	13.1%	19.4%
Term Structure	1.9%	-2.2%	4.4%	-0.6%	-0.8%
VWIV	20.9%	18.8%	26.1%	21.2%	21.7%
Skew 25d	2.3%	-1.7%	5.0%	3.2%	-0.4%
Skew 10d	5.3%	-3.2%	14.9%	7.7%	-0.9%
Call IV 25d	20.6%	18.6%	28.6%	20.3%	22.9%
Put IV 25d	22.9%	20.4%	27.1%	23.5%	22.5%
Bid-Ask Spread %	11.60	2.47	66.92	14.34	24.73
Gamma HHI	0.34	0.26	0.46	0.46	0.27
Net GEX	2.1M	858.7K	3.6M	3.1M	2.8M
Net DEX	-52.4M	-70.6M	-34.5M	-69.1M	-46.7M
Net VEX	-278.9K	-304.4K	-254.5K	-296.4K	-287.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.05	3.73	0.71	0.66
Total Volume	6,077.304	1,540	12,604	3,856	4,618
Total OI	103,970.174	82,407	120,620	102,283	100,539

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$24.42	$24.00	21.4%	6.1%	18.6%	13.5%	21.2%	3.2%	-0.6%	3.1M	-69.1M	-296.4K	0.71	14.34	N/A	N/A	2,256	1,600	63,098	39,185
2016-08-02	$24.19	$24.00	21.2%	6.1%	18.9%	12.7%	21.5%	3.9%	-0.2%	2.8M	-62.0M	-304.4K	3.01	8.20	N/A	N/A	1,516	4,566	63,180	39,364
2016-08-03	$23.83	$24.00	20.3%	5.8%	19.0%	9.3%	21.5%	2.1%	0.6%	2.0M	-50.4M	-296.1K	2.86	14.62	N/A	N/A	1,503	4,296	63,275	42,727
2016-08-04	$24.14	$24.00	20.1%	6.0%	19.5%	8.4%	21.8%	5.0%	3.7%	2.7M	-60.5M	-293.5K	1.51	8.06	N/A	N/A	2,620	3,947	63,496	43,479
2016-08-05	$24.13	$24.00	19.1%	5.8%	19.1%	4.2%	21.5%	3.1%	3.9%	2.6M	-60.8M	-291.5K	1.88	10.62	N/A	N/A	2,015	3,786	64,084	44,666
2016-08-08	$23.89	$24.00	19.6%	5.9%	19.4%	6.5%	20.0%	3.6%	3.7%	2.4M	-54.0M	-290.1K	2.71	5.95	N/A	N/A	1,544	4,177	64,599	44,664
2016-08-09	$24.17	$25.00	20.0%	5.9%	19.7%	7.8%	21.5%	3.0%	3.3%	2.7M	-60.8M	-286.8K	3.73	4.23	N/A	N/A	781	2,911	65,237	46,351
2016-08-10	$23.87	$25.00	21.1%	6.1%	20.3%	12.4%	22.2%	3.3%	2.9%	1.8M	-49.2M	-284.5K	3.30	8.06	N/A	N/A	860	2,841	65,311	46,474
2016-08-11	$23.84	$25.00	20.7%	5.9%	20.2%	10.6%	21.0%	3.6%	3.1%	1.8M	-47.9M	-279.3K	2.41	2.47	N/A	N/A	1,394	3,366	65,330	46,609
2016-08-12	$23.88	$24.00	19.2%	5.5%	19.8%	4.7%	19.5%	3.3%	3.9%	1.7M	-48.5M	-272.4K	1.00	2.64	N/A	N/A	3,377	3,367	65,875	47,176
2016-08-15	$24.00	$24.00	19.3%	5.5%	19.9%	5.1%	19.9%	2.4%	3.7%	1.7M	-52.8M	-269.0K	1.30	3.61	N/A	N/A	2,656	3,444	66,548	47,811
2016-08-16	$23.88	$24.00	19.1%	5.5%	19.8%	4.1%	19.2%	3.0%	3.7%	1.3M	-47.8M	-266.4K	0.95	2.98	N/A	N/A	2,918	2,779	66,867	48,538
2016-08-17	$23.90	$24.00	18.9%	5.4%	18.1%	3.6%	19.8%	2.8%	4.1%	1.1M	-46.6M	-268.4K	0.05	8.99	N/A	N/A	10,961	497	66,449	48,880
2016-08-18	$23.96	$24.00	18.4%	5.3%	17.3%	1.6%	19.4%	1.7%	4.4%	858.7K	-49.6M	-276.6K	0.28	10.73	N/A	N/A	1,990	553	70,969	48,959
2016-08-19	$24.16	$24.00	18.6%	5.3%	17.5%	2.4%	18.8%	2.2%	3.9%	1.8M	-70.6M	-254.6K	0.55	5.41	N/A	N/A	4,281	2,334	71,408	49,212
2016-08-22	$24.13	$24.00	18.6%	5.3%	17.0%	2.2%	19.2%	1.8%	1.7%	1.9M	-44.0M	-255.3K	0.94	5.12	N/A	N/A	1,604	1,500	49,004	33,403
2016-08-23	$24.11	$24.00	19.0%	5.4%	16.5%	3.8%	19.3%	1.6%	0.2%	2.0M	-44.6M	-255.0K	0.90	4.55	N/A	N/A	2,000	1,790	49,235	33,698
2016-08-24	$23.63	$24.00	19.1%	5.5%	17.4%	4.5%	19.3%	2.0%	0.1%	1.4M	-34.5M	-254.5K	0.41	9.26	N/A	N/A	1,090	450	49,620	34,206
2016-08-25	$23.77	$24.00	21.1%	6.1%	13.9%	12.4%	21.1%	1.8%	-0.9%	1.7M	-38.6M	-261.5K	0.26	7.50	N/A	N/A	7,810	2,041	50,137	34,299
2016-08-26	$23.99	$24.00	22.6%	6.5%	14.4%	18.1%	23.2%	1.5%	2.0%	2.4M	-46.0M	-286.1K	0.22	66.92	N/A	N/A	10,296	2,308	53,809	35,241
2016-08-29	$24.27	$24.00	25.5%	7.3%	14.9%	29.6%	26.1%	-1.7%	-2.2%	3.3M	-60.9M	-292.2K	0.58	28.41	N/A	N/A	7,085	4,117	60,529	36,003
2016-08-30	$24.20	$24.00	22.0%	6.3%	14.5%	15.8%	22.2%	-0.1%	0.3%	3.6M	-59.2M	-293.8K	0.30	9.46	N/A	N/A	6,113	1,820	63,792	37,978
2016-08-31	$23.88	$24.00	21.4%	6.1%	14.3%	13.3%	21.7%	-0.4%	-0.8%	2.8M	-46.7M	-287.2K	0.66	24.73	N/A	N/A	2,780	1,838	61,796	38,743