BSX Options History — April 2018

In April 2018, BSX traded between $26.85 and $29.48. ATM implied volatility averaged 26.8%, placing in the 68.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.2% (HV 20d: 27.0%). 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 0 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2018-04-19: Highest Volume — 11,520 contracts
  • 2018-04-25: Largest IV drop — 20.8% change
  • 2018-04-02: Highest IV Rank — 96.2%
  • 2018-04-06: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.39$26.85$29.48$26.85$28.79
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV26.8%19.7%32.0%32.0%19.7%
Expected Move7.4%5.6%8.2%7.7%5.9%
HV 20d27.0%23.3%29.3%26.9%23.9%
HV 60d27.0%25.8%30.2%30.0%27.2%
IV Rank68.9%30.9%96.2%96.2%30.9%
IV Percentile86.1%47.2%99.6%99.6%47.2%
Term Structure-1.0%-2.7%-0.1%-0.3%-0.1%
VWIV26.6%21.4%30.0%26.5%21.5%
Skew 25d3.3%1.7%5.8%4.1%2.6%
Skew 10d6.5%1.2%13.6%4.4%1.2%
Call IV 25d25.7%18.7%29.9%29.9%18.7%
Put IV 25d29.0%21.1%34.5%34.0%21.4%
Bid-Ask Spread %25.0011.4152.8321.2623.73
Gamma HHI0.240.130.660.130.23
Net GEX3.2M713.6K9.0M713.6K2.8M
Net DEX-37.5M-61.3M-4.3M-4.3M-32.1M
Net VEX-237.1K-256.3K-215.5K-248.8K-215.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.272.201.000.53
Total Volume6,294.2383,66511,5204,4324,473
Total OI71,032.71462,93783,18266,04563,867

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$26.85$27.0032.0%7.7%26.9%96.2%26.5%4.1%-0.3%713.6K-4.3M-248.8K1.0021.26N/AN/A2,2172,21537,36128,684
2018-04-03$27.44$27.0031.1%7.5%26.7%91.4%25.9%3.4%-1.5%1.3M-16.7M-255.4K1.3315.07N/AN/A1,5722,09337,81529,395
2018-04-04$27.81$27.0030.6%6.9%27.1%89.1%26.3%4.5%-1.8%1.8M-24.6M-251.6K1.1519.94N/AN/A1,9832,27137,94929,436
2018-04-05$28.20$27.0030.2%8.0%27.4%87.0%28.8%3.8%-1.8%2.3M-34.5M-247.3K1.1922.71N/AN/A1,9692,34538,27829,420
2018-04-06$27.38$27.0030.6%8.2%29.3%89.2%28.7%5.8%-1.3%1.5M-15.8M-244.7K2.2029.22N/AN/A2,7966,14338,61029,689
2018-04-09$27.68$27.0030.4%7.9%28.0%87.7%28.9%2.4%-2.7%1.4M-19.6M-256.3K1.3633.02N/AN/A2,5683,48938,69532,947
2018-04-10$27.87$27.0029.7%8.1%28.1%84.4%30.0%2.9%-1.1%1.7M-23.8M-254.4K1.6031.59N/AN/A2,4893,99439,04534,085
2018-04-11$27.88$27.0028.7%7.8%28.0%79.0%29.0%3.7%-1.8%1.8M-24.1M-248.7K1.4531.16N/AN/A2,5413,68639,26734,384
2018-04-12$28.38$27.0027.2%7.6%28.2%70.8%26.7%2.6%-0.6%2.7M-37.4M-243.5K0.5724.98N/AN/A4,0902,32539,54734,643
2018-04-13$28.28$27.0028.2%8.0%28.2%76.0%29.6%1.7%-0.3%2.7M-35.7M-250.5K1.9537.95N/AN/A3,7907,37340,80134,693
2018-04-16$28.91$27.0026.5%7.5%29.1%67.0%26.7%3.9%-0.5%3.6M-54.4M-225.4K0.4916.55N/AN/A3,2891,61440,97433,189
2018-04-17$28.85$27.0025.9%7.4%28.7%63.8%27.3%3.1%-0.4%3.8M-54.6M-223.9K0.5820.83N/AN/A2,7571,61141,54433,576
2018-04-18$29.01$27.0025.2%7.2%28.7%60.3%26.0%3.0%-0.6%4.0M-59.5M-220.0K0.5118.32N/AN/A3,4681,76942,43734,387
2018-04-19$28.90$27.0026.6%7.7%28.8%67.4%27.6%3.2%-1.1%4.6M-57.2M-223.0K0.3620.14N/AN/A8,4673,05343,00134,262
2018-04-20$28.92$27.0027.0%7.8%26.9%70.0%27.7%3.3%-1.1%9.0M-60.5M-236.6K0.3718.18N/AN/A6,5302,41347,54935,633
2018-04-23$28.75$27.0027.4%8.1%25.1%71.8%28.0%3.7%-1.2%2.5M-34.8M-229.6K0.3111.41N/AN/A4,9211,52036,21226,725
2018-04-24$28.29$27.0026.0%7.8%23.3%64.3%26.8%3.9%-0.6%2.3M-27.2M-230.7K0.2728.54N/AN/A6,3591,71437,37126,867
2018-04-25$29.26$27.0020.6%6.0%25.6%35.6%23.0%2.4%-0.1%4.8M-54.3M-223.1K0.8225.70N/AN/A3,9793,26140,72627,394
2018-04-26$29.48$27.0020.1%5.6%24.8%32.9%21.4%2.4%-0.7%5.0M-61.3M-224.3K0.9421.77N/AN/A2,2962,15741,17229,034
2018-04-27$29.24$27.0020.0%5.6%24.2%32.4%22.2%2.2%-0.7%6.2M-55.8M-225.6K0.9752.83N/AN/A2,3302,24941,70929,314
2018-04-30$28.79$27.0019.7%5.9%23.9%30.9%21.5%2.6%-0.1%2.8M-32.1M-215.5K0.5323.73N/AN/A2,9211,55235,68128,186