BSX Options History — February 2017

In February 2017, BSX traded between $24.00 and $25.37. ATM implied volatility averaged 21.8%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.5% (HV 20d: 21.3%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2017-02-15: Highest Volume — 34,980 contracts
  • 2017-02-15: Largest IV spike — 52.1% change
  • 2017-02-16: Highest IV Rank — 65.6%
  • 2017-02-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.05$24.00$25.37$24.00$24.54
Max Pain$23.58$22.00$25.00$22.00$25.00
ATM IV21.8%18.0%30.2%30.2%22.4%
Expected Move6.2%5.2%8.7%8.7%6.4%
HV 20d21.3%17.5%29.0%25.7%20.6%
HV 60d21.8%20.0%24.0%22.6%20.5%
IV Rank23.7%2.6%65.6%53.5%28.3%
IV Percentile32.5%0.4%91.7%90.9%43.3%
Term Structure1.1%-6.5%4.8%-6.5%-1.7%
VWIV22.5%18.4%30.6%30.6%22.3%
Skew 25d1.0%-4.1%2.8%1.8%0.7%
Skew 10d1.9%-12.5%6.1%6.1%0.3%
Call IV 25d22.0%17.0%32.5%29.1%23.2%
Put IV 25d23.0%19.4%30.9%30.9%23.9%
Bid-Ask Spread %11.863.5867.985.594.43
Gamma HHI0.350.220.480.310.22
Net GEX2.8M725.9K5.8M2.0M725.9K
Net DEX-56.7M-88.2M-13.6M-40.3M-13.6M
Net VEX-200.6K-236.2K-172.8K-206.0K-215.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.131.811.301.45
Total Volume9,356.1053,44034,9806,9063,440
Total OI78,169.63270,816101,83070,81678,461

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$24.00$22.0030.2%8.7%25.7%53.5%30.6%1.8%-6.5%2.0M-40.3M-206.0K1.305.59N/AN/A3,0043,90241,06629,750
2017-02-02$25.02$23.0019.5%5.4%28.8%8.5%20.7%2.8%4.1%3.1M-66.1M-187.0K1.014.31N/AN/A5,2445,29942,51429,996
2017-02-03$25.21$23.0018.1%5.2%28.7%2.6%20.3%2.3%4.5%3.0M-69.5M-183.1K1.024.36N/AN/A3,2163,26842,75330,428
2017-02-06$25.09$23.0019.1%5.3%29.0%7.0%20.4%2.1%4.2%3.3M-68.4M-181.8K1.114.64N/AN/A2,9353,26943,58330,159
2017-02-07$25.18$23.0019.3%5.4%29.0%7.7%18.8%2.6%4.1%3.4M-71.0M-182.9K1.424.67N/AN/A2,1423,04744,38830,048
2017-02-08$25.24$23.0018.6%5.3%19.5%6.3%18.5%2.7%4.5%3.4M-73.8M-181.9K1.814.29N/AN/A1,7433,16145,04730,384
2017-02-09$25.34$23.0018.3%5.3%18.1%5.0%18.9%2.3%4.4%3.3M-77.5M-176.1K1.184.07N/AN/A2,7583,25845,23730,428
2017-02-10$25.24$23.0018.0%5.2%18.3%2.9%19.2%2.4%4.8%3.6M-75.4M-177.5K1.703.58N/AN/A2,1483,64145,52230,893
2017-02-13$25.32$23.0018.2%5.2%17.5%3.9%18.4%2.5%4.7%3.6M-76.5M-172.8K0.694.55N/AN/A4,6043,17545,41431,027
2017-02-14$25.13$23.0018.6%5.3%17.9%6.3%18.7%2.2%4.1%4.1M-73.1M-176.0K0.565.51N/AN/A5,4203,03447,32930,997
2017-02-15$25.37$23.0028.2%8.1%18.0%62.6%29.7%-1.1%-3.4%3.1M-75.5M-185.1K0.1367.98N/AN/A30,8704,11047,47831,242
2017-02-16$25.30$23.0028.8%8.2%18.0%65.6%29.7%-4.1%-2.2%5.8M-85.0M-225.1K0.4454.00N/AN/A8,3213,67067,36131,798
2017-02-17$25.35$23.0026.5%7.6%18.0%52.2%26.4%-3.8%-0.3%2.7M-88.2M-228.3K0.9513.06N/AN/A10,88110,33769,56032,270
2017-02-21$25.36$25.0022.4%6.4%17.7%28.4%23.9%-0.3%0.3%2.5M-37.6M-232.3K0.2511.36N/AN/A8,8682,20149,32225,260
2017-02-22$25.15$25.0020.5%5.9%17.9%17.3%21.5%1.4%-0.1%1.8M-29.0M-222.3K0.3211.17N/AN/A3,7701,21248,38625,853
2017-02-23$24.46$25.0022.9%6.6%21.0%31.7%23.2%0.7%-1.5%995.4K-15.9M-216.8K1.195.88N/AN/A3,6744,38348,93626,008
2017-02-24$24.79$25.0022.8%6.5%21.0%30.8%23.1%1.5%-0.9%1.4M-21.0M-236.2K0.495.95N/AN/A6,9183,37049,71728,132
2017-02-27$24.77$25.0022.7%6.5%20.2%30.1%23.4%0.8%-1.9%1.3M-20.0M-225.3K1.425.84N/AN/A1,4352,03849,97528,501
2017-02-28$24.54$25.0022.4%6.4%20.6%28.3%22.3%0.7%-1.7%725.9K-13.6M-215.3K1.454.43N/AN/A1,4042,03649,94228,519