BSX Options History — August 2017

In August 2017, BSX traded between $26.33 and $27.56. ATM implied volatility averaged 15.4%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.8% (HV 20d: 10.6%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2017-08-21: Highest Volume — 15,188 contracts
2017-08-16: Largest IV drop — 12.1% change
2017-08-11: Highest IV Rank — 6.7%
2017-08-10: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.77	$26.33	$27.56	$26.54	$27.56
Max Pain	$26.52	$25.00	$27.00	$25.00	$27.00
ATM IV	15.4%	14.3%	16.7%	16.3%	14.4%
Expected Move	4.4%	3.6%	5.1%	4.8%	3.6%
HV 20d	10.6%	8.9%	12.4%	11.1%	12.4%
HV 60d	12.8%	11.9%	13.5%	13.4%	12.4%
IV Rank	2.6%	0.0%	6.7%	4.2%	0.5%
IV Percentile	2.4%	0.0%	10.3%	3.2%	0.8%
Term Structure	0.3%	-0.8%	1.4%	0.1%	-0.1%
VWIV	15.3%	12.8%	17.6%	15.8%	12.8%
Skew 25d	2.1%	1.5%	3.0%	2.4%	2.1%
Skew 10d	4.3%	3.2%	5.4%	4.7%	4.1%
Call IV 25d	14.6%	13.2%	16.2%	15.4%	13.2%
Put IV 25d	16.8%	15.1%	18.3%	17.7%	15.3%
Bid-Ask Spread %	4.51	2.43	10.50	5.31	3.40
Gamma HHI	0.21	0.16	0.53	0.16	0.18
Net GEX	805.5K	399.4K	2.7M	508.6K	1.3M
Net DEX	-16.5M	-22.7M	-10.0M	-16.8M	-21.2M
Net VEX	-131.9K	-194.7K	-97.9K	-101.5K	-190.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.37	1.30	0.48	0.52
Total Volume	4,849.304	2,958	15,188	3,026	4,280
Total OI	38,123.304	26,862	41,215	36,881	41,215

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
2017-08-01	$26.54	$25.00	16.3%	4.8%	11.1%	4.2%	15.8%	2.4%	0.1%	508.6K	-16.8M	-101.5K	0.48	5.31	N/A	N/A	2,048	978	22,192	14,689
2017-08-02	$26.52	$25.00	16.6%	4.7%	11.0%	6.1%	16.1%	2.1%	-0.2%	521.0K	-16.2M	-105.3K	0.55	4.47	N/A	N/A	2,153	1,183	22,208	14,773
2017-08-03	$26.72	$26.00	16.5%	4.7%	10.6%	5.3%	16.8%	2.2%	-0.3%	609.1K	-18.6M	-105.5K	0.51	8.39	N/A	N/A	2,079	1,051	22,573	14,899
2017-08-04	$26.79	$26.00	15.4%	4.6%	9.9%	0.0%	16.3%	2.1%	-0.1%	758.4K	-19.4M	-105.5K	0.54	7.04	N/A	N/A	2,130	1,142	22,747	14,886
2017-08-07	$26.76	$26.00	15.8%	4.6%	9.9%	2.1%	16.6%	2.0%	0.4%	750.0K	-19.8M	-103.6K	0.50	5.50	N/A	N/A	1,973	985	22,340	14,675
2017-08-08	$26.58	$26.00	16.6%	4.6%	10.1%	5.9%	16.4%	2.3%	-0.8%	655.5K	-17.8M	-101.9K	0.83	8.14	N/A	N/A	1,763	1,471	22,390	14,669
2017-08-09	$26.56	$26.00	15.9%	4.6%	9.2%	2.6%	16.1%	2.3%	-0.2%	689.8K	-17.9M	-97.9K	0.69	3.51	N/A	N/A	2,232	1,548	22,409	14,518
2017-08-10	$26.33	$26.00	16.6%	5.1%	9.3%	5.8%	17.6%	3.0%	1.4%	559.6K	-14.9M	-103.7K	0.84	3.30	N/A	N/A	2,528	2,114	22,966	14,624
2017-08-11	$26.43	$26.00	16.7%	5.0%	8.9%	6.7%	17.1%	2.5%	1.3%	399.4K	-16.1M	-100.4K	0.64	3.40	N/A	N/A	2,648	1,695	22,946	15,279
2017-08-14	$26.69	$27.00	15.8%	4.5%	9.9%	1.6%	16.1%	2.1%	0.5%	799.0K	-19.2M	-99.2K	0.44	2.50	N/A	N/A	3,530	1,548	22,793	15,128
2017-08-15	$26.50	$27.00	16.6%	4.8%	9.8%	5.9%	15.8%	2.4%	-0.6%	406.2K	-17.6M	-98.5K	0.45	3.40	N/A	N/A	3,389	1,517	23,238	15,213
2017-08-16	$26.67	$27.00	14.6%	4.2%	10.1%	0.0%	15.0%	1.9%	0.9%	676.6K	-19.4M	-98.1K	0.37	2.43	N/A	N/A	3,732	1,387	23,330	15,233
2017-08-17	$26.67	$27.00	15.4%	4.4%	10.1%	4.0%	15.4%	2.3%	0.6%	665.0K	-19.4M	-99.8K	0.42	4.00	N/A	N/A	4,514	1,887	23,550	15,238
2017-08-18	$26.95	$27.00	14.8%	4.2%	10.9%	1.2%	14.6%	2.5%	0.5%	2.7M	-22.7M	-103.1K	0.37	4.43	N/A	N/A	4,498	1,680	24,005	15,677
2017-08-21	$26.91	$27.00	14.8%	4.1%	10.8%	1.1%	14.4%	1.6%	0.1%	898.7K	-16.9M	-100.2K	1.30	3.14	N/A	N/A	6,615	8,573	16,125	10,737
2017-08-22	$27.21	$27.00	14.5%	4.1%	11.7%	0.0%	14.2%	1.8%	0.6%	821.1K	-15.6M	-178.8K	0.42	2.99	N/A	N/A	3,243	1,369	19,865	18,143
2017-08-23	$26.84	$27.00	14.3%	4.0%	12.3%	0.0%	14.0%	2.1%	0.2%	622.4K	-11.2M	-181.7K	0.38	3.83	N/A	N/A	3,685	1,382	20,400	18,560
2017-08-24	$26.71	$27.00	14.8%	4.1%	11.8%	2.4%	14.1%	1.9%	0.2%	646.4K	-10.0M	-189.1K	0.55	3.94	N/A	N/A	3,176	1,739	21,343	18,665
2017-08-25	$26.76	$27.00	14.4%	3.9%	11.8%	0.3%	14.3%	1.5%	0.5%	682.0K	-10.5M	-186.8K	0.53	3.64	N/A	N/A	2,955	1,563	21,295	19,224
2017-08-28	$26.99	$27.00	14.7%	3.9%	11.0%	1.8%	14.2%	2.5%	0.3%	882.9K	-12.6M	-193.4K	0.50	2.86	N/A	N/A	3,175	1,577	20,983	19,385
2017-08-29	$27.03	$27.00	14.6%	4.0%	10.9%	1.3%	14.5%	1.9%	0.5%	935.8K	-13.2M	-194.7K	0.40	10.50	N/A	N/A	3,076	1,238	21,319	19,504
2017-08-30	$27.05	$27.00	14.6%	3.9%	10.9%	1.2%	14.0%	1.8%	0.5%	1.0M	-13.5M	-193.5K	0.38	3.48	N/A	N/A	3,253	1,232	21,328	19,557
2017-08-31	$27.56	$27.00	14.4%	3.6%	12.4%	0.5%	12.8%	2.1%	-0.1%	1.3M	-21.2M	-190.7K	0.52	3.40	N/A	N/A	2,815	1,465	21,645	19,570