BSX Options History — September 2017

In September 2017, BSX traded between $27.54 and $29.16. ATM implied volatility averaged 16.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.8% (HV 20d: 13.1%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2017-09-15: Highest Volume — 15,819 contracts
  • 2017-09-25: Largest IV spike — 18.4% change
  • 2017-09-28: Highest IV Rank — 33.5%
  • 2017-09-12: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.70$27.54$29.16$27.54$29.16
Max Pain$28.38$27.00$29.00$27.00$28.50
ATM IV16.8%13.9%20.8%13.9%20.8%
Expected Move4.4%3.5%4.8%3.5%4.1%
HV 20d13.1%11.9%14.3%12.4%11.9%
HV 60d12.4%11.7%13.4%12.3%11.7%
IV Rank14.2%0.0%33.5%0.0%33.2%
IV Percentile17.7%0.0%46.8%0.0%46.4%
Term Structure1.3%-0.7%5.7%0.5%-0.4%
VWIV15.5%12.6%16.7%12.6%14.9%
Skew 25d2.0%1.6%2.9%1.6%2.9%
Skew 10d4.4%3.0%6.6%3.0%6.6%
Call IV 25d16.0%13.2%20.2%13.2%19.7%
Put IV 25d18.0%14.7%22.7%14.7%22.5%
Bid-Ask Spread %3.522.255.053.943.26
Gamma HHI0.250.130.640.210.21
Net GEX99.2K-3.0M1.5M1.5M865.0K
Net DEX-28.5M-37.4M-20.5M-21.4M-31.7M
Net VEX-162.7K-195.2K-137.2K-187.8K-138.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.333.090.490.43
Total Volume5,981.12,74815,8194,4172,878
Total OI42,843.438,39154,03141,57139,086

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$27.54$27.0013.9%3.5%12.4%0.0%12.6%1.6%0.5%1.5M-21.4M-187.8K0.493.94N/AN/A2,9711,44621,75519,816
2017-09-05$27.58$27.0015.6%4.4%12.4%8.4%16.2%2.6%-0.2%1.2M-20.5M-190.7K0.693.90N/AN/A1,7301,18921,28919,636
2017-09-06$28.21$27.0015.2%4.5%14.0%6.2%15.4%1.8%0.1%973.6K-29.3M-177.3K0.672.98N/AN/A2,4331,62221,28719,764
2017-09-07$28.55$28.0015.8%4.3%14.3%9.5%15.2%2.0%0.1%994.6K-33.5M-175.4K0.444.49N/AN/A3,3471,47022,01220,339
2017-09-08$28.80$28.0016.0%4.7%13.7%10.4%16.7%1.7%0.1%1.0M-37.0M-179.4K0.764.04N/AN/A3,7742,87223,62920,809
2017-09-11$28.95$28.0015.8%4.6%13.7%9.2%16.4%1.8%0.4%895.3K-37.4M-177.2K0.633.97N/AN/A2,7831,75724,48321,607
2017-09-12$28.98$28.0016.7%4.8%13.6%13.7%16.5%2.1%0.2%827.8K-37.2M-180.3K2.513.51N/AN/A3,1587,93124,67422,184
2017-09-13$29.07$29.0015.8%4.6%12.9%9.5%15.7%1.8%0.1%-2.0M-30.6M-195.2K0.992.78N/AN/A3,2883,24525,19128,840
2017-09-14$28.97$29.0015.7%4.6%13.2%8.8%16.5%1.8%0.6%-2.0M-28.7M-189.1K0.704.37N/AN/A2,6091,82125,11327,957
2017-09-15$28.92$29.0015.4%4.4%13.3%7.2%15.8%1.8%-0.1%-2.7M-26.7M-193.6K1.313.12N/AN/A6,8398,98025,08328,035
2017-09-18$28.99$29.0014.8%4.2%13.1%4.3%14.9%1.8%5.6%-3.0M-22.9M-138.1K3.094.34N/AN/A3,0239,33420,14521,988
2017-09-19$28.66$29.0015.7%4.5%14.0%8.8%15.8%2.1%4.5%45.2K-24.3M-137.2K2.193.02N/AN/A2,4385,34820,66018,189
2017-09-20$28.85$29.0015.0%4.3%13.8%5.5%15.4%1.8%5.4%-66.3K-27.3M-143.7K1.913.43N/AN/A2,7285,20321,12417,937
2017-09-21$28.76$29.0016.2%4.4%12.6%11.1%15.6%1.7%4.9%-105.4K-26.3M-145.4K2.145.05N/AN/A2,5025,34721,52918,003
2017-09-22$28.86$29.0016.8%4.2%12.2%14.1%15.4%1.8%5.7%731.2K-27.1M-145.6K0.793.66N/AN/A2,0981,65921,87918,111
2017-09-25$28.74$28.5019.9%4.5%12.5%28.9%15.7%2.8%-0.0%650.9K-26.7M-140.1K0.502.39N/AN/A1,94597621,20517,186
2017-09-26$28.69$28.5020.5%4.5%12.5%31.9%15.1%1.7%-0.0%679.8K-26.0M-139.8K0.333.17N/AN/A2,53483421,35417,232
2017-09-27$28.88$28.5020.2%4.1%12.5%30.7%14.6%2.5%-0.0%775.4K-28.8M-137.4K0.462.84N/AN/A1,89087221,54817,253
2017-09-28$28.79$28.5020.8%4.3%12.7%33.5%15.2%2.5%-0.7%701.1K-27.0M-141.9K0.462.25N/AN/A1,88586321,55817,378
2017-09-29$29.16$28.5020.8%4.1%11.9%33.2%14.9%2.9%-0.4%865.0K-31.7M-138.2K0.433.26N/AN/A2,00787121,63817,448