BSX Options History — March 2017

In March 2017, BSX traded between $24.15 and $25.04. ATM implied volatility averaged 20.2%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.3% (HV 20d: 15.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.43.

Notable Days

2017-03-30: Highest Volume — 5,070 contracts
2017-03-15: Largest IV drop — 28.4% change
2017-03-14: Highest IV Rank — 47.8%
2017-03-02: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.59	$24.15	$25.04	$25.01	$24.92
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	20.2%	16.2%	25.7%	20.6%	16.2%
Expected Move	5.5%	4.6%	6.1%	5.9%	4.6%
HV 20d	15.9%	11.8%	21.3%	21.3%	14.5%
HV 60d	20.4%	19.9%	20.8%	20.2%	20.8%
IV Rank	16.4%	0.0%	47.8%	17.9%	0.0%
IV Percentile	22.1%	0.0%	73.8%	20.2%	0.0%
Term Structure	3.6%	-1.1%	7.5%	-0.4%	7.5%
VWIV	19.4%	16.2%	22.0%	20.8%	16.2%
Skew 25d	1.6%	0.2%	2.9%	1.1%	1.5%
Skew 10d	3.5%	-0.4%	9.7%	0.8%	4.1%
Call IV 25d	18.8%	15.7%	21.8%	21.0%	15.7%
Put IV 25d	20.4%	17.2%	22.8%	22.1%	17.2%
Bid-Ask Spread %	21.84	4.90	63.42	4.90	19.98
Gamma HHI	0.25	0.19	0.35	0.25	0.30
Net GEX	349.7K	-1.2M	1.3M	1.3M	1.3M
Net DEX	-13.8M	-24.8M	-2.1M	-23.8M	-22.3M
Net VEX	-188.1K	-217.2K	-173.5K	-217.2K	-187.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.83	2.73	1.28	0.83
Total Volume	4,173.435	3,326	5,070	3,511	5,005
Total OI	65,761.565	43,719	81,862	78,460	50,737

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
2017-03-01	$25.01	$25.00	20.6%	5.9%	21.3%	17.9%	20.8%	1.1%	-0.4%	1.3M	-23.8M	-217.2K	1.28	4.90	N/A	N/A	1,541	1,970	49,834	28,626
2017-03-02	$25.04	$25.00	21.3%	6.1%	21.3%	22.3%	22.0%	1.0%	-0.9%	1.3M	-24.8M	-213.6K	1.27	16.12	N/A	N/A	1,986	2,527	49,704	28,648
2017-03-03	$24.97	$25.00	21.1%	6.0%	15.4%	20.9%	21.2%	0.2%	-1.1%	1.2M	-23.2M	-212.3K	1.72	36.18	N/A	N/A	1,409	2,423	49,788	28,977
2017-03-06	$24.80	$25.00	23.3%	5.8%	15.3%	33.8%	20.5%	1.7%	2.8%	533.4K	-16.7M	-204.4K	1.75	5.27	N/A	N/A	1,364	2,390	49,779	29,056
2017-03-07	$24.51	$25.00	22.3%	5.6%	15.7%	28.0%	20.2%	1.8%	3.2%	-215.4K	-8.7M	-195.9K	1.51	15.16	N/A	N/A	1,735	2,627	50,060	29,281
2017-03-08	$24.53	$25.00	22.9%	5.7%	15.6%	31.5%	20.3%	1.5%	3.3%	-301.6K	-8.6M	-198.9K	1.09	17.04	N/A	N/A	2,287	2,495	50,433	30,073
2017-03-09	$24.75	$25.00	22.4%	5.7%	16.0%	28.7%	20.4%	1.1%	3.4%	-96.8K	-14.6M	-203.6K	1.19	31.81	N/A	N/A	1,885	2,251	50,996	30,060
2017-03-10	$24.66	$25.00	21.3%	5.3%	15.9%	21.9%	19.4%	1.4%	3.2%	-453.5K	-12.4M	-195.6K	1.22	8.56	N/A	N/A	1,912	2,327	51,098	30,075
2017-03-13	$24.75	$25.00	25.6%	5.5%	16.0%	47.2%	20.2%	1.1%	3.2%	-574.7K	-14.4M	-192.0K	1.03	11.89	N/A	N/A	2,162	2,217	51,335	30,253
2017-03-14	$24.47	$25.00	25.7%	5.7%	16.3%	47.8%	20.3%	1.5%	3.6%	-835.0K	-7.1M	-184.4K	1.44	15.38	N/A	N/A	1,770	2,552	51,102	30,160
2017-03-15	$24.68	$25.00	18.4%	5.3%	16.5%	5.3%	20.8%	1.7%	4.0%	-1.2M	-10.9M	-184.9K	1.25	16.06	N/A	N/A	1,871	2,340	51,212	30,167
2017-03-16	$24.30	$25.00	19.5%	5.6%	16.8%	11.7%	21.3%	0.7%	3.1%	-590.5K	-2.1M	-176.6K	2.73	8.69	N/A	N/A	1,263	3,447	51,080	29,865
2017-03-17	$24.47	$25.00	20.1%	5.8%	17.1%	14.9%	21.1%	2.6%	1.7%	480.0K	-6.5M	-175.8K	2.18	15.47	N/A	N/A	1,383	3,011	51,167	30,695
2017-03-20	$24.36	$25.00	18.3%	5.2%	17.1%	4.6%	17.0%	2.7%	3.4%	449.6K	-11.5M	-174.0K	0.99	14.69	N/A	N/A	2,276	2,259	23,928	19,791
2017-03-21	$24.15	$25.00	18.4%	5.3%	17.2%	5.1%	18.9%	0.7%	3.8%	531.7K	-10.9M	-173.5K	2.14	26.55	N/A	N/A	1,059	2,267	25,371	19,975
2017-03-22	$24.28	$25.00	19.4%	5.6%	17.3%	11.1%	19.5%	2.6%	3.7%	550.4K	-11.1M	-174.4K	1.74	14.61	N/A	N/A	1,295	2,259	25,415	20,050
2017-03-23	$24.24	$25.00	19.3%	5.5%	14.3%	10.2%	18.6%	2.9%	4.1%	526.2K	-10.9M	-174.5K	1.52	35.56	N/A	N/A	1,597	2,422	25,432	20,265
2017-03-24	$24.36	$25.00	18.6%	5.3%	13.5%	6.5%	17.4%	2.1%	4.9%	596.3K	-12.6M	-174.9K	1.43	16.63	N/A	N/A	1,710	2,451	25,572	20,579
2017-03-27	$24.59	$25.00	18.2%	5.2%	14.0%	4.0%	18.2%	2.4%	6.2%	802.1K	-15.6M	-177.5K	1.14	44.59	N/A	N/A	1,690	1,927	26,172	20,815
2017-03-28	$24.68	$25.00	16.8%	4.8%	13.6%	0.0%	17.2%	1.4%	6.7%	952.9K	-17.7M	-175.1K	1.49	47.22	N/A	N/A	1,596	2,376	26,671	20,858
2017-03-29	$24.73	$25.00	17.1%	4.9%	11.8%	1.7%	17.5%	1.9%	6.6%	921.5K	-17.1M	-181.6K	1.06	63.42	N/A	N/A	1,738	1,847	26,809	21,411
2017-03-30	$24.43	$25.00	17.0%	4.9%	12.4%	1.1%	16.8%	1.9%	6.9%	825.7K	-14.1M	-178.3K	0.91	16.61	N/A	N/A	2,654	2,416	27,589	21,552
2017-03-31	$24.92	$25.00	16.2%	4.6%	14.5%	0.0%	16.2%	1.5%	7.5%	1.3M	-22.3M	-187.2K	0.83	19.98	N/A	N/A	2,741	2,264	28,833	21,904