BSX Options History — July 2017

In July 2017, BSX traded between $26.63 and $27.90. ATM implied volatility averaged 21.7%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 9.0% (HV 20d: 12.7%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2017-07-03: Highest Volume — 9,267 contracts
  • 2017-07-27: Largest IV drop — 15.8% change
  • 2017-07-05: Highest IV Rank — 45.1%
  • 2017-07-25: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.53$26.63$27.90$27.63$26.63
Max Pain$25.30$25.00$28.00$28.00$25.00
ATM IV21.7%17.1%24.1%23.6%17.1%
Expected Move6.0%4.8%6.8%5.6%4.8%
HV 20d12.7%10.2%15.0%13.8%11.2%
HV 60d13.6%12.8%14.4%13.8%13.4%
IV Rank32.4%8.2%45.1%42.5%8.3%
IV Percentile44.2%8.7%63.9%60.3%9.1%
Term Structure-0.7%-1.6%0.3%-0.4%-0.6%
VWIV21.4%16.1%24.0%19.2%16.1%
Skew 25d2.3%1.4%3.1%1.4%2.1%
Skew 10d4.3%-0.3%6.5%-0.3%3.9%
Call IV 25d21.0%16.1%23.8%23.7%16.1%
Put IV 25d23.2%18.2%25.6%25.1%18.2%
Bid-Ask Spread %5.163.427.855.695.02
Gamma HHI0.200.150.350.310.15
Net GEX624.1K-468.9K2.6M2.1M441.7K
Net DEX-22.1M-29.5M-11.1M-24.9M-17.0M
Net VEX-132.4K-162.6K-106.3K-162.6K-106.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.343.283.280.40
Total Volume4,647.32,7189,2679,2673,416
Total OI48,511.336,56853,11152,42936,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$27.63$28.0023.6%5.6%13.8%42.5%19.2%1.4%-0.4%2.1M-24.9M-162.6K3.285.69N/AN/A2,1667,10129,53822,891
2017-07-05$27.67$28.0024.1%5.5%13.8%45.1%19.1%1.4%-0.9%2.6M-24.8M-158.4K2.653.45N/AN/A1,6624,40529,72422,899
2017-07-06$27.29$25.0024.0%6.5%14.0%44.5%24.0%2.4%-0.4%132.7K-15.5M-155.0K1.695.08N/AN/A2,3423,95929,90822,945
2017-07-07$27.56$25.0023.0%6.1%14.5%39.0%21.8%1.9%-0.8%-308.1K-21.3M-151.4K1.863.70N/AN/A2,3464,36030,09023,021
2017-07-10$27.55$25.0022.8%6.2%14.4%38.3%22.3%2.0%-1.1%458.1K-22.2M-144.2K2.353.80N/AN/A1,6983,98525,75522,954
2017-07-11$27.57$25.0023.0%6.2%14.4%39.2%22.6%2.4%-1.6%489.2K-21.5M-149.1K2.263.42N/AN/A1,9534,41926,13523,113
2017-07-12$27.82$25.0022.4%6.1%14.5%36.3%22.4%1.6%-1.2%861.6K-27.6M-141.6K0.956.96N/AN/A1,4281,35726,53023,631
2017-07-13$27.61$25.0022.6%6.1%14.7%36.9%22.1%2.3%-1.4%585.1K-22.6M-145.8K0.506.14N/AN/A2,0821,03226,57723,654
2017-07-14$27.81$25.0021.9%6.1%14.9%33.3%21.9%2.0%-0.7%923.8K-27.2M-140.4K0.455.62N/AN/A2,3081,04826,64523,684
2017-07-17$27.70$25.0022.0%6.2%15.0%33.7%22.2%2.5%-0.3%807.6K-24.8M-132.7K0.544.53N/AN/A1,8921,01326,37123,614
2017-07-18$27.81$25.0021.9%6.2%12.0%33.6%22.4%2.4%-0.6%1.2M-27.9M-127.2K0.604.50N/AN/A1,6971,02126,59023,723
2017-07-19$27.90$25.0021.7%6.2%11.1%32.3%23.8%2.5%-0.9%1.5M-29.5M-127.3K0.566.17N/AN/A2,2491,26426,57523,704
2017-07-20$27.77$25.0021.6%6.3%11.2%32.2%22.3%2.5%-1.5%1.4M-26.2M-121.0K0.624.35N/AN/A2,0091,23927,07823,626
2017-07-21$27.59$25.0021.5%6.2%11.4%31.3%21.7%3.1%-0.8%-468.9K-21.4M-119.9K0.584.96N/AN/A2,2631,31127,22923,878
2017-07-24$27.62$25.0022.0%6.7%11.2%34.0%23.0%2.5%-0.5%-46.8K-23.2M-115.8K0.765.82N/AN/A1,6821,27021,86821,011
2017-07-25$27.58$25.0021.8%6.8%10.6%32.9%23.6%2.9%0.3%-57.8K-22.0M-120.0K0.955.45N/AN/A1,4511,37722,14121,147
2017-07-26$27.36$25.0021.7%6.7%10.5%32.2%23.1%2.9%-0.5%-242.3K-19.2M-114.1K0.705.53N/AN/A2,7081,90122,12221,308
2017-07-27$27.05$25.0018.3%5.2%10.7%14.4%17.9%2.8%-0.3%-249.5K-12.3M-107.5K0.457.85N/AN/A4,6012,08823,11621,722
2017-07-28$27.02$25.0017.1%4.8%10.2%8.2%16.7%2.2%0.1%304.9K-11.1M-107.5K0.345.16N/AN/A5,1131,73024,75222,389
2017-07-31$26.63$25.0017.1%4.8%11.2%8.3%16.1%2.1%-0.6%441.7K-17.0M-106.3K0.405.02N/AN/A2,44097621,84114,727