BSX Options History — May 2017

In May 2017, BSX traded between $26.01 and $27.37. ATM implied volatility averaged 18.0%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.9% (HV 20d: 13.2%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2017-05-05: Highest Volume — 25,505 contracts
  • 2017-05-16: Largest IV drop — 9.5% change
  • 2017-05-15: Highest IV Rank — 18.3%
  • 2017-05-03: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.60$26.01$27.37$26.45$27.03
Max Pain$25.86$25.00$26.00$25.00$26.00
ATM IV18.0%15.5%19.5%19.0%17.2%
Expected Move5.3%4.4%6.2%6.1%4.9%
HV 20d13.2%11.9%14.9%13.7%13.5%
HV 60d14.2%13.5%14.9%14.5%13.7%
IV Rank10.6%0.0%18.3%15.3%8.9%
IV Percentile7.6%0.0%19.4%10.3%4.4%
Term Structure0.1%-0.7%0.9%-0.4%-0.5%
VWIV18.6%15.7%22.6%22.2%18.4%
Skew 25d1.9%1.1%3.4%1.1%2.6%
Skew 10d3.8%2.0%7.5%5.4%4.0%
Call IV 25d17.4%15.2%19.4%19.4%16.3%
Put IV 25d19.3%17.0%20.8%20.4%18.8%
Bid-Ask Spread %8.482.4658.9458.942.75
Gamma HHI0.350.210.690.230.43
Net GEX6.7M1.8M13.2M6.2M2.5M
Net DEX-66.9M-96.4M-29.8M-85.5M-34.9M
Net VEX-172.6K-202.0K-145.4K-190.5K-157.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.233.370.733.37
Total Volume9,766.2734,37925,5058,1269,819
Total OI76,60436,944104,10785,05442,348

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$26.45$25.0019.0%6.1%13.7%15.3%22.2%1.1%-0.4%6.2M-85.5M-190.5K0.7358.94N/AN/A4,6903,43656,52728,527
2017-05-02$26.54$25.0018.8%6.1%13.5%14.1%21.9%2.0%0.3%6.3M-90.6M-193.9K1.0511.02N/AN/A3,2543,42257,65429,085
2017-05-03$26.47$25.0019.0%6.2%12.8%15.6%22.6%1.8%-0.3%6.6M-87.9M-191.2K1.1847.62N/AN/A2,6653,14358,08329,324
2017-05-04$26.35$26.0019.5%5.8%12.7%18.2%19.8%2.0%-0.4%6.5M-81.8M-191.4K0.525.32N/AN/A6,6403,47658,08329,545
2017-05-05$26.49$26.0018.9%5.8%12.7%14.7%19.8%1.4%0.0%8.0M-95.8M-185.0K0.584.59N/AN/A16,1539,35261,39429,905
2017-05-08$26.38$26.0019.4%5.9%13.0%17.8%19.6%1.9%0.9%8.2M-75.6M-202.0K0.323.94N/AN/A8,6462,78765,14330,316
2017-05-09$26.34$26.0019.0%5.6%12.8%15.5%19.5%2.1%0.9%8.0M-72.6M-197.6K0.246.11N/AN/A11,7052,80865,82030,203
2017-05-10$26.49$26.0018.8%5.4%12.8%14.3%18.1%1.8%-0.0%8.9M-81.1M-197.3K0.363.00N/AN/A9,0743,28068,47030,462
2017-05-11$26.38$26.0019.3%5.5%13.0%16.9%19.2%1.9%0.0%7.7M-72.8M-191.9K0.294.25N/AN/A9,4762,78269,08231,176
2017-05-12$26.23$26.0019.4%5.5%13.3%17.6%19.0%1.9%-0.5%8.0M-64.6M-187.1K0.234.28N/AN/A10,4922,40072,65131,456
2017-05-15$26.44$26.0019.5%5.6%13.3%18.3%19.1%1.5%-0.7%8.9M-88.8M-177.1K0.423.48N/AN/A6,6612,82564,35226,650
2017-05-16$26.49$26.0017.7%5.1%13.2%8.3%17.2%1.7%-0.1%11.9M-96.4M-162.7K1.124.70N/AN/A4,7975,39666,43826,965
2017-05-17$26.01$26.0017.7%5.1%14.9%8.5%17.7%2.1%0.3%13.0M-59.8M-161.8K1.363.55N/AN/A4,0035,44966,97329,039
2017-05-18$26.19$26.0017.7%5.0%14.7%8.5%17.2%2.8%0.6%13.2M-72.8M-157.5K1.273.22N/AN/A4,4095,59066,26729,049
2017-05-19$26.41$26.0017.8%5.1%14.5%8.7%19.2%3.4%-0.4%10.3M-87.9M-145.4K0.613.71N/AN/A7,5624,62265,59829,054
2017-05-22$26.81$26.0016.6%4.6%11.9%2.4%16.6%1.7%0.2%1.8M-31.2M-147.6K0.992.67N/AN/A2,3562,32322,99213,952
2017-05-23$26.66$26.0016.7%4.8%12.1%3.0%16.6%1.9%0.4%1.9M-29.8M-149.1K1.382.85N/AN/A1,8372,54223,70114,138
2017-05-24$27.04$26.0016.4%4.6%12.8%1.2%16.5%1.9%0.3%2.1M-35.9M-147.1K0.482.87N/AN/A4,8022,29324,17714,429
2017-05-25$27.31$26.0016.1%4.5%12.9%0.0%16.6%1.7%0.6%2.5M-43.0M-156.0K0.482.46N/AN/A4,8152,32527,54814,491
2017-05-26$27.33$26.0015.5%4.4%12.6%0.0%15.7%1.7%0.7%2.4M-43.3M-154.9K1.122.65N/AN/A2,8773,22827,79314,616
2017-05-30$27.37$26.0016.6%4.6%12.6%5.7%16.8%1.8%-0.4%2.5M-40.8M-152.1K1.142.56N/AN/A2,1742,47226,98214,830
2017-05-31$27.03$26.0017.2%4.9%13.5%8.9%18.4%2.6%-0.5%2.5M-34.9M-157.6K3.372.75N/AN/A2,2487,57127,21115,137