BSX Options History — June 2017

In June 2017, BSX traded between $27.50 and $28.41. ATM implied volatility averaged 18.5%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.7% (HV 20d: 14.7%). Max pain ranged from $26.50 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2017-06-26: Highest Volume — 16,694 contracts
  • 2017-06-26: Largest IV spike — 18.7% change
  • 2017-06-29: Highest IV Rank — 44.8%
  • 2017-06-26: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.83$27.50$28.41$27.56$27.81
Max Pain$27.16$26.50$28.00$26.50$28.00
ATM IV18.5%15.7%24.1%16.7%23.4%
Expected Move5.1%4.7%5.9%4.8%5.1%
HV 20d14.7%13.1%15.6%14.9%13.8%
HV 60d13.8%13.1%14.3%13.9%13.7%
IV Rank15.6%1.3%44.8%6.5%41.4%
IV Percentile18.9%0.4%63.9%3.2%59.1%
Term Structure1.0%-0.7%4.0%-0.2%-0.2%
VWIV18.1%16.6%20.2%19.0%18.2%
Skew 25d2.3%1.5%3.6%1.5%2.5%
Skew 10d5.0%1.8%23.5%3.9%6.1%
Call IV 25d17.7%15.1%23.2%16.5%21.7%
Put IV 25d20.0%17.5%26.0%18.0%24.2%
Bid-Ask Spread %3.222.264.502.263.65
Gamma HHI0.260.180.450.280.33
Net GEX2.2M1.1M5.0M1.7M2.5M
Net DEX-42.0M-51.6M-29.3M-42.7M-32.8M
Net VEX-148.9K-175.8K-131.0K-156.1K-168.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.173.833.833.46
Total Volume6,211.2272,22016,6948,7879,539
Total OI47,959.95537,55557,52247,69257,522

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$27.56$26.5016.7%4.8%14.9%6.5%19.0%1.5%-0.2%1.7M-42.7M-156.1K3.832.26N/AN/A1,8186,96927,46520,227
2017-06-02$27.65$27.0016.5%4.7%14.7%5.5%17.1%1.8%-0.6%1.6M-43.5M-155.7K1.212.90N/AN/A1,3191,59327,66320,631
2017-06-05$27.50$27.0016.9%5.3%14.9%7.1%18.4%2.1%0.2%1.7M-38.8M-155.7K1.033.23N/AN/A1,1601,20026,79720,496
2017-06-06$27.52$27.0016.7%5.0%14.8%6.1%18.3%1.8%0.1%1.7M-39.3M-153.5K1.022.64N/AN/A1,0971,12326,83820,644
2017-06-07$27.84$27.0015.9%4.9%15.1%2.3%18.1%2.3%0.5%1.8M-45.8M-144.3K0.322.90N/AN/A4,2741,35726,89120,716
2017-06-08$27.92$27.0016.3%4.9%15.0%4.1%17.6%2.0%0.1%2.5M-51.1M-143.4K0.912.90N/AN/A1,3511,22828,93520,968
2017-06-09$27.78$27.0016.1%4.9%15.1%3.0%17.4%2.0%0.3%2.5M-49.2M-146.5K0.793.47N/AN/A1,8501,46029,33321,076
2017-06-12$27.70$27.0016.8%5.0%14.9%6.8%18.3%2.4%0.7%2.6M-46.0M-144.8K0.622.93N/AN/A2,3761,47829,17921,058
2017-06-13$27.91$27.0015.7%4.9%14.9%1.3%17.3%2.4%1.5%2.5M-51.6M-136.7K0.492.77N/AN/A2,4651,20329,42421,310
2017-06-14$27.81$27.0015.8%4.9%15.1%1.7%16.6%3.6%1.3%3.0M-51.2M-135.5K0.513.46N/AN/A4,0022,02629,63621,517
2017-06-15$27.75$27.0017.2%5.0%13.1%8.7%17.7%2.6%0.3%3.1M-49.7M-144.3K0.592.99N/AN/A3,3161,94530,32422,192
2017-06-16$27.73$27.0016.7%5.0%13.1%6.1%17.6%1.7%1.6%1.1M-51.2M-142.9K0.294.50N/AN/A5,8061,69530,90322,796
2017-06-19$28.41$27.0016.7%4.9%15.0%6.3%17.1%2.1%3.3%1.2M-39.4M-131.0K0.643.85N/AN/A3,4832,23622,81014,745
2017-06-20$28.02$27.0018.6%5.4%15.6%16.0%19.2%2.4%3.7%1.2M-34.7M-138.9K0.543.24N/AN/A3,0061,63123,99515,556
2017-06-21$27.91$27.0018.7%5.4%15.5%16.8%18.7%2.7%4.0%1.2M-33.4M-144.0K0.643.40N/AN/A2,3461,49924,48415,763
2017-06-22$27.85$27.0018.9%5.3%14.9%18.1%18.3%2.6%3.4%1.2M-33.2M-140.7K0.513.84N/AN/A2,6441,35524,73115,818
2017-06-23$27.99$27.0018.9%5.1%14.7%17.8%17.9%2.1%3.2%2.4M-35.6M-143.0K0.453.23N/AN/A3,1441,42625,35915,895
2017-06-26$27.69$27.0022.4%5.9%15.3%36.2%20.2%2.9%0.2%1.3M-29.3M-144.7K0.172.84N/AN/A14,2432,45124,36415,197
2017-06-27$27.90$28.0023.8%5.4%15.5%43.5%18.7%2.7%-0.7%5.0M-47.5M-161.8K0.303.19N/AN/A7,6862,33734,67016,410
2017-06-28$28.10$28.0023.5%5.3%14.8%42.0%18.3%1.7%-0.6%3.7M-44.2M-167.1K2.302.84N/AN/A4,0719,36132,49521,551
2017-06-29$27.82$28.0024.1%5.4%13.8%44.8%18.9%2.4%-0.2%3.3M-33.0M-175.8K2.823.74N/AN/A2,6367,44232,79523,940
2017-06-30$27.81$28.0023.4%5.1%13.8%41.4%18.2%2.5%-0.2%2.5M-32.8M-168.9K3.463.65N/AN/A2,1387,40133,30024,222