BSX Options History — April 2017

In April 2017, BSX traded between $24.45 and $26.40. ATM implied volatility averaged 24.2%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 10.6% (HV 20d: 13.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2017-04-28: Highest Volume — 30,206 contracts
  • 2017-04-06: Largest IV spike — 44.4% change
  • 2017-04-18: Highest IV Rank — 58.9%
  • 2017-04-26: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.98$24.45$26.40$24.86$26.40
Max Pain$24.47$24.00$25.00$25.00$25.00
ATM IV24.2%16.6%27.1%18.3%19.7%
Expected Move6.9%4.8%8.6%5.2%6.0%
HV 20d13.6%11.3%15.7%14.3%14.9%
HV 60d17.0%15.8%21.0%20.9%16.7%
IV Rank43.5%2.5%58.9%11.6%19.4%
IV Percentile59.7%0.4%87.3%4.0%17.1%
Term Structure-0.1%-2.5%7.3%5.1%-1.7%
VWIV23.9%16.3%29.9%17.8%21.7%
Skew 25d2.3%-0.4%4.5%-0.4%2.5%
Skew 10d6.4%0.9%26.7%2.5%7.7%
Call IV 25d23.4%15.8%26.4%17.8%19.3%
Put IV 25d25.7%17.0%29.4%17.4%21.8%
Bid-Ask Spread %23.877.4995.1136.4195.11
Gamma HHI0.310.200.570.290.21
Net GEX1.9M967.3K4.8M1.2M4.8M
Net DEX-27.0M-69.8M-15.1M-21.4M-69.8M
Net VEX-179.2K-185.6K-169.1K-185.5K-169.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.421.451.400.55
Total Volume7,024.8423,18430,2063,30730,206
Total OI56,103.84251,36170,83751,36170,837

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$24.86$25.0018.3%5.2%14.3%11.6%17.8%-0.4%5.1%1.2M-21.4M-185.5K1.4036.41N/AN/A1,3781,92929,03622,325
2017-04-04$24.62$25.0016.6%4.8%14.1%2.5%16.9%-0.1%7.3%1.1M-17.3M-185.6K1.2418.94N/AN/A1,4241,76029,13922,461
2017-04-05$24.47$25.0017.6%5.0%14.3%7.6%16.3%2.0%7.2%967.3K-15.1M-184.0K1.3458.11N/AN/A1,3961,87329,21522,558
2017-04-06$24.54$24.0025.4%6.7%13.9%49.7%23.1%4.5%-1.4%1.1M-16.1M-183.3K1.457.49N/AN/A1,4082,04529,32122,617
2017-04-07$24.64$24.0026.3%6.9%14.0%54.5%22.4%2.1%-0.7%1.2M-17.8M-183.1K1.459.59N/AN/A1,3751,99729,45822,889
2017-04-10$24.54$24.0026.4%7.1%13.9%55.2%23.9%2.4%-0.7%1.1M-16.0M-177.5K1.338.27N/AN/A1,5852,10529,47722,984
2017-04-11$24.55$24.0026.6%7.2%13.3%56.4%24.8%3.8%-0.7%1.1M-15.3M-179.3K0.699.57N/AN/A2,9612,04729,58523,171
2017-04-12$24.51$24.0027.0%7.4%13.0%58.6%25.6%2.0%-1.5%1.2M-16.5M-182.7K0.848.09N/AN/A2,4492,05831,30023,168
2017-04-13$24.50$24.0026.8%7.4%11.7%57.5%24.8%2.0%-2.3%1.4M-17.0M-183.7K0.7911.99N/AN/A2,4691,94232,47223,240
2017-04-17$24.47$24.0027.1%7.8%11.4%58.9%26.3%2.8%-2.1%1.4M-16.5M-178.1K0.7911.60N/AN/A2,4901,96632,73123,308
2017-04-18$24.45$24.0027.1%7.7%11.3%58.9%24.7%2.7%-1.0%1.3M-15.6M-175.5K1.0712.76N/AN/A2,0302,17232,74723,286
2017-04-19$24.77$24.0025.9%7.4%11.7%52.8%25.9%2.6%-0.6%2.1M-21.1M-174.2K0.5914.08N/AN/A3,6992,19532,95423,379
2017-04-20$25.05$24.0025.4%7.4%12.1%49.9%25.9%2.2%-1.9%3.2M-30.2M-180.4K0.7511.45N/AN/A3,7422,81434,14323,413
2017-04-21$24.89$25.0025.7%7.4%12.4%51.4%26.8%2.6%-2.2%3.7M-24.4M-178.7K1.0610.01N/AN/A2,5672,71433,69924,101
2017-04-24$25.61$25.0025.1%7.5%15.7%48.4%26.1%0.2%-1.4%1.6M-34.9M-169.1K0.4212.78N/AN/A7,1533,00130,72821,627
2017-04-25$25.73$25.0025.0%8.0%15.5%47.9%28.9%2.7%-0.3%2.0M-43.2M-180.0K0.7133.62N/AN/A4,8363,41935,02122,638
2017-04-26$25.92$25.0027.0%8.6%15.6%58.4%29.9%3.3%-2.5%2.1M-46.4M-182.0K0.4823.16N/AN/A9,6504,60236,29123,158
2017-04-27$26.12$25.0021.2%6.0%15.7%27.2%22.0%3.2%-0.4%4.5M-59.0M-173.0K0.5060.54N/AN/A6,6723,34342,62824,868
2017-04-28$26.40$25.0019.7%6.0%14.9%19.4%21.7%2.5%-1.7%4.8M-69.8M-169.4K0.5595.11N/AN/A19,53110,67545,88224,955