BSX Options History — March 2018

In March 2018, BSX traded between $26.34 and $28.61. ATM implied volatility averaged 22.4%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.1% (HV 20d: 26.5%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2018-03-16: Highest Volume — 9,968 contracts
  • 2018-03-22: Largest IV spike — 15.9% change
  • 2018-03-28: Highest IV Rank — 89.1%
  • 2018-03-01: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.51$26.34$28.61$26.50$27.34
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV22.4%18.4%30.6%24.6%28.8%
Expected Move6.1%5.3%7.0%7.0%6.5%
HV 20d26.5%23.0%32.3%31.0%26.3%
HV 60d28.2%27.2%29.8%29.1%29.8%
IV Rank45.3%24.0%89.1%56.8%79.2%
IV Percentile66.7%36.9%99.6%84.9%98.4%
Term Structure1.1%-1.4%5.9%-1.1%-1.0%
VWIV22.7%19.0%25.0%25.0%22.1%
Skew 25d2.8%1.5%5.4%1.8%2.3%
Skew 10d6.6%1.4%11.8%1.8%3.7%
Call IV 25d21.5%17.4%28.7%24.8%28.3%
Put IV 25d24.3%19.4%33.0%26.6%30.6%
Bid-Ask Spread %16.167.2551.8111.9051.81
Gamma HHI0.170.110.660.110.14
Net GEX2.4M69.0K10.8M801.2K1.2M
Net DEX-20.9M-54.4M6.9M-2.2M-11.5M
Net VEX-256.7K-266.4K-249.6K-266.4K-255.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.382.700.500.61
Total Volume6,218.813,6069,9689,6674,219
Total OI72,168.90561,36982,61772,25469,478

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$26.50$27.0024.6%7.0%31.0%56.8%25.0%1.8%-1.1%801.2K-2.2M-266.4K0.5011.90N/AN/A6,4623,20544,58927,665
2018-03-02$26.80$27.0023.0%6.6%31.1%48.6%23.5%3.4%-0.1%953.7K-6.1M-262.8K0.509.10N/AN/A4,4862,25645,03128,042
2018-03-05$27.44$27.0021.1%6.3%32.3%38.3%24.7%2.3%0.0%1.8M-19.1M-256.2K0.8812.10N/AN/A2,4182,12744,05627,386
2018-03-06$27.39$27.0020.3%6.1%29.9%34.4%23.3%2.3%0.3%1.8M-19.1M-251.4K0.8510.46N/AN/A2,6832,29244,12227,538
2018-03-07$27.60$27.0020.6%6.0%29.9%35.7%23.7%2.3%0.9%2.2M-23.8M-249.8K0.449.18N/AN/A6,2192,76644,37727,668
2018-03-08$27.79$27.0020.5%5.8%29.5%35.3%21.6%1.5%0.0%3.0M-31.4M-261.3K0.8610.93N/AN/A3,8883,34148,02428,245
2018-03-09$28.52$27.0018.4%5.3%25.3%24.0%21.7%2.0%0.4%5.1M-50.9M-254.3K0.9010.80N/AN/A3,7973,43348,70529,339
2018-03-12$28.61$27.0019.5%5.6%24.2%30.1%22.6%2.3%-0.3%5.5M-54.4M-253.2K0.6215.51N/AN/A4,5182,79548,88529,719
2018-03-13$28.44$27.0019.7%6.0%24.4%30.9%23.4%1.9%0.9%5.0M-50.8M-260.3K1.0710.86N/AN/A2,9613,15851,14929,935
2018-03-14$27.99$27.0020.4%5.8%25.3%34.9%22.1%2.4%-0.1%2.9M-35.2M-257.8K1.609.12N/AN/A2,2543,61450,92630,358
2018-03-15$27.86$27.0019.3%5.7%23.7%28.8%22.4%2.7%0.8%3.1M-30.9M-259.7K1.1411.28N/AN/A2,2272,52850,99831,570
2018-03-16$28.00$27.0018.5%5.4%23.6%24.6%19.0%1.9%0.8%10.8M-35.2M-249.6K0.389.85N/AN/A7,2102,75851,01231,605
2018-03-19$27.64$27.0021.1%6.1%24.0%38.3%22.0%3.1%5.3%1.5M-18.6M-257.8K1.0413.06N/AN/A1,7671,83936,53124,838
2018-03-20$27.68$27.0019.5%5.6%23.0%30.2%20.3%2.5%5.9%1.6M-20.0M-253.8K1.068.09N/AN/A3,0713,25136,67224,841
2018-03-21$27.68$27.0019.5%5.6%23.0%29.8%21.3%3.0%5.6%1.7M-21.1M-256.4K2.477.25N/AN/A2,3895,90137,95426,114
2018-03-22$26.99$27.0022.6%6.3%24.4%46.3%21.9%3.7%3.5%622.8K-4.7M-261.8K0.7313.70N/AN/A2,6961,96038,66327,869
2018-03-23$26.34$27.0025.7%6.8%24.2%63.1%23.7%3.6%5.0%69.0K6.9M-250.9K2.7033.66N/AN/A1,9935,38438,99128,087
2018-03-26$27.28$27.0027.7%6.5%26.8%73.3%23.6%5.4%-1.3%522.3K-8.6M-259.1K0.9128.52N/AN/A2,3192,10537,16130,551
2018-03-27$27.05$27.0028.8%6.6%27.0%79.4%25.0%3.9%-1.4%396.2K-4.4M-259.4K1.0627.80N/AN/A2,0102,12437,61830,498
2018-03-28$26.70$27.0030.6%6.9%27.3%89.1%23.9%4.3%-1.1%218.7K1.5M-253.3K1.0824.36N/AN/A2,0042,16738,13430,603
2018-03-29$27.34$27.0028.8%6.5%26.3%79.2%22.1%2.3%-1.0%1.2M-11.5M-255.3K0.6151.81N/AN/A2,6151,60438,24031,238