BSX Options History — September 2016

In September 2016, BSX traded between $23.13 and $24.47. ATM implied volatility averaged 22.0%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.2% (HV 20d: 19.8%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2016-09-12: Highest Volume — 10,744 contracts
  • 2016-09-13: Largest IV spike — 20.1% change
  • 2016-09-13: Highest IV Rank — 40.1%
  • 2016-09-13: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.77$23.13$24.47$24.34$23.87
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV22.0%18.8%28.1%22.2%23.0%
Expected Move6.2%5.8%6.8%6.4%6.6%
HV 20d19.8%13.3%23.2%15.1%21.9%
HV 60d18.9%17.6%20.3%18.4%18.8%
IV Rank16.0%3.2%40.1%16.6%19.9%
IV Percentile27.9%2.0%74.2%28.2%41.7%
Term Structure3.1%-0.7%5.3%-0.7%2.2%
VWIV22.4%20.1%24.2%22.9%24.2%
Skew 25d1.6%-0.1%3.2%0.2%0.1%
Skew 10d2.8%-4.4%7.2%-1.8%1.2%
Call IV 25d22.1%19.7%24.2%23.5%24.2%
Put IV 25d23.7%21.6%26.4%23.6%24.3%
Bid-Ask Spread %18.053.8842.7236.6533.93
Gamma HHI0.290.210.340.280.30
Net GEX2.5M1.2M3.7M3.3M2.5M
Net DEX-41.9M-61.4M-20.2M-58.8M-44.3M
Net VEX-262.8K-286.7K-250.5K-286.7K-259.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.103.461.070.87
Total Volume4,803.2862,28210,7444,1122,718
Total OI100,987.57190,000113,302101,27699,687

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$24.34$24.0022.2%6.4%15.1%16.6%22.9%0.2%-0.7%3.3M-58.8M-286.7K1.0736.65N/AN/A1,9912,12162,10539,171
2016-09-02$24.28$24.0020.3%5.8%15.2%9.0%21.1%-0.1%0.6%3.4M-57.3M-280.8K1.016.81N/AN/A1,8721,88562,26939,170
2016-09-06$24.31$24.0021.8%6.0%14.7%15.1%21.1%1.7%3.2%3.3M-57.4M-271.4K1.203.88N/AN/A1,9822,38362,73339,249
2016-09-07$24.41$24.0018.8%5.8%14.2%3.2%20.3%1.8%3.5%3.7M-61.4M-261.9K2.175.74N/AN/A1,6453,56362,80439,667
2016-09-08$24.47$24.0020.0%5.8%13.3%7.8%20.1%2.4%3.6%3.3M-61.2M-260.8K1.007.32N/AN/A2,3192,31262,89440,796
2016-09-09$23.59$24.0022.8%6.2%18.9%18.9%21.7%2.5%3.5%2.1M-33.7M-265.3K0.417.41N/AN/A3,9541,60663,30640,982
2016-09-12$23.80$24.0023.4%6.2%19.2%21.5%23.4%2.2%3.0%2.8M-39.7M-258.7K0.1019.98N/AN/A9,78995564,21441,272
2016-09-13$23.24$24.0028.1%6.8%20.8%40.1%23.2%2.7%3.3%1.7M-24.9M-259.0K0.2123.47N/AN/A5,5341,14471,83041,472
2016-09-14$23.13$24.0022.9%6.6%20.8%19.2%22.3%3.1%3.6%1.2M-20.2M-250.5K0.4625.31N/AN/A3,0261,39167,87241,552
2016-09-15$23.62$24.0021.6%6.2%22.3%14.1%22.8%3.2%3.1%3.0M-34.0M-259.5K0.4119.14N/AN/A2,9051,19369,39941,586
2016-09-16$23.54$24.0023.2%6.6%22.3%20.5%24.0%2.6%3.0%1.7M-29.4M-260.4K0.155.08N/AN/A7,6321,17969,89441,843
2016-09-19$23.52$24.0021.8%6.2%22.1%15.0%22.6%2.4%3.4%2.1M-40.3M-259.8K0.4225.94N/AN/A2,7811,17954,43735,563
2016-09-20$23.33$24.0021.9%6.3%22.2%15.5%23.2%2.3%4.5%2.0M-37.0M-258.9K1.808.09N/AN/A1,1852,13455,50035,838
2016-09-21$23.75$24.0021.3%6.1%23.2%13.0%22.7%1.6%3.8%2.5M-45.3M-263.7K2.0824.79N/AN/A1,1272,34755,81236,948
2016-09-22$23.72$24.0023.1%6.6%22.1%20.3%23.3%0.8%2.1%2.5M-45.0M-266.7K3.2437.54N/AN/A1,6965,49556,04637,102
2016-09-23$23.74$24.0022.4%6.4%22.0%17.4%22.9%0.6%2.3%2.1M-40.5M-266.8K3.4614.94N/AN/A1,2524,33756,11239,967
2016-09-26$23.76$24.0021.0%6.0%21.7%11.9%21.2%0.8%3.9%2.2M-40.3M-257.1K0.4610.39N/AN/A1,86286256,25840,001
2016-09-27$23.70$24.0021.6%6.2%21.3%14.1%23.7%0.5%3.2%2.2M-38.5M-258.6K0.5142.72N/AN/A3,1331,60556,84940,138
2016-09-28$23.72$24.0020.7%5.9%21.3%10.7%21.7%0.3%4.1%2.3M-39.4M-258.7K0.825.26N/AN/A1,2531,02958,31640,574
2016-09-29$23.34$24.0021.1%6.0%21.5%12.1%21.5%1.8%5.3%1.9M-30.3M-253.9K0.6914.55N/AN/A1,4791,01458,64640,865
2016-09-30$23.87$24.0023.0%6.6%21.9%19.9%24.2%0.1%2.2%2.5M-44.3M-259.4K0.8733.93N/AN/A1,4531,26558,66941,018