BSX Options History — February 2018

In February 2018, BSX traded between $25.30 and $27.61. ATM implied volatility averaged 22.3%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 5.4% (HV 20d: 27.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.49.

Notable Days

  • 2018-02-23: Highest Volume — 15,681 contracts
  • 2018-02-05: Largest IV spike — 54.2% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.80$25.30$27.61$27.61$27.33
Max Pain$27.21$27.00$28.00$28.00$27.00
ATM IV22.3%18.5%32.7%18.9%21.1%
Expected Move6.3%5.4%8.1%5.5%6.2%
HV 20d27.7%17.9%34.1%32.7%29.2%
HV 60d30.8%28.3%32.7%29.3%28.3%
IV Rank48.8%24.7%100.0%30.6%38.8%
IV Percentile65.5%38.5%100.0%44.4%61.1%
Term Structure-0.6%-5.8%1.2%-0.3%-0.4%
VWIV22.4%19.0%26.5%19.2%21.5%
Skew 25d3.2%1.0%7.5%1.9%2.4%
Skew 10d6.1%-0.4%20.3%4.5%4.2%
Call IV 25d21.3%17.6%27.3%18.3%21.4%
Put IV 25d24.5%20.0%32.8%20.2%23.8%
Bid-Ask Spread %12.095.9930.208.159.09
Gamma HHI0.140.110.270.270.11
Net GEX471.7K-1.1M3.4M3.4M1.6M
Net DEX1.2M-23.5M30.9M-17.3M-17.1M
Net VEX-238.4K-263.4K-216.8K-234.8K-263.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.160.940.650.42
Total Volume9,715.4746,05815,6816,05811,221
Total OI69,559.78956,97877,47869,94669,139

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$27.61$28.0018.9%5.5%32.7%30.6%19.2%1.9%-0.3%3.4M-17.3M-234.8K0.658.15N/AN/A3,6762,38243,78826,158
2018-02-02$27.45$28.0018.8%5.7%32.5%33.4%19.8%2.2%0.1%2.2M-12.3M-227.4K0.945.99N/AN/A3,3213,13344,35026,091
2018-02-05$26.57$28.0029.0%7.2%34.1%100.0%23.9%5.5%-3.9%395.7K3.4M-231.6K0.2828.02N/AN/A8,9362,50138,69927,096
2018-02-06$26.75$28.0024.8%6.5%34.0%72.4%22.7%5.7%-1.6%543.2K3.8M-230.7K0.8620.54N/AN/A5,9465,09540,52127,832
2018-02-07$26.40$27.0021.9%6.5%17.9%53.1%21.5%3.3%1.2%-461.0K14.6M-235.2K0.549.53N/AN/A5,1772,79642,06531,252
2018-02-08$25.30$27.0026.7%8.1%22.4%84.6%26.5%7.5%1.2%-626.0K30.9M-216.8K0.5430.20N/AN/A4,4142,36444,10732,181
2018-02-09$25.97$27.0032.7%7.8%24.8%100.0%26.4%4.8%-5.8%-492.1K19.9M-240.1K0.3820.07N/AN/A7,1502,73544,54032,938
2018-02-12$26.20$27.0025.1%7.2%25.1%59.7%25.0%3.8%-0.1%-273.9K15.2M-243.9K0.6615.89N/AN/A4,8133,18741,76631,980
2018-02-13$26.09$27.0022.9%6.6%24.6%48.2%22.9%4.5%0.6%-1.1M22.9M-230.9K0.7910.90N/AN/A4,0283,16440,82632,817
2018-02-14$26.83$27.0020.3%5.8%26.5%34.5%20.6%2.6%-0.4%-817.4K7.6M-238.7K0.486.41N/AN/A4,4292,13941,03832,821
2018-02-15$27.09$27.0019.8%5.7%26.7%31.7%21.1%2.6%-0.1%-622.8K361.1K-235.9K0.669.17N/AN/A4,4132,90541,63932,868
2018-02-16$27.30$27.0020.9%6.1%26.6%37.4%22.0%1.0%-1.4%103.2K-6.5M-237.8K0.368.79N/AN/A9,2423,35241,78733,468
2018-02-20$26.82$27.0021.5%6.5%27.3%40.4%26.2%2.4%-0.2%-16.7K2.1M-238.7K0.306.76N/AN/A6,7112,03830,41726,561
2018-02-21$26.82$27.0021.4%6.0%27.1%39.9%22.2%2.3%-0.8%-7.1K2.0M-234.7K0.419.78N/AN/A9,3013,84032,39726,625
2018-02-22$26.48$27.0020.5%6.0%27.3%35.5%21.6%1.9%-0.1%77.6K5.6M-229.1K0.239.10N/AN/A9,6632,21138,38825,373
2018-02-23$27.16$27.0018.5%5.4%28.7%24.7%19.0%2.5%0.1%834.1K-6.0M-236.0K0.168.21N/AN/A13,5242,15738,49425,523
2018-02-26$27.59$27.0019.1%5.5%29.3%27.6%20.6%1.6%0.0%2.3M-23.5M-260.3K0.306.93N/AN/A8,9862,70941,48226,126
2018-02-27$27.49$27.0020.2%5.9%29.3%33.8%22.5%2.1%-0.4%2.0M-21.7M-262.9K0.366.18N/AN/A8,0472,88841,77126,712
2018-02-28$27.33$27.0021.1%6.2%29.2%38.8%21.5%2.4%-0.4%1.6M-17.1M-263.4K0.429.09N/AN/A7,9053,31641,85627,283