BSX Options History — June 2018

In June 2018, BSX traded between $30.50 and $34.48. ATM implied volatility averaged 26.2%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 5.4% (HV 20d: 31.7%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2018-06-08: Highest Volume — 58,786 contracts
  • 2018-06-11: Largest IV spike — 96.9% change
  • 2018-06-11: Highest IV Rank — 100.0%
  • 2018-06-11: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.08$30.50$34.48$30.50$32.75
Max Pain$31.57$29.00$32.00$29.00$32.00
ATM IV26.2%16.5%45.9%17.5%34.5%
Expected Move7.2%4.9%12.0%4.9%8.9%
HV 20d31.7%11.1%42.2%11.9%42.2%
HV 60d26.5%20.8%30.1%21.5%28.2%
IV Rank41.3%14.0%100.0%19.2%64.4%
IV Percentile73.3%15.1%100.0%25.4%99.2%
Term Structure1.1%-3.5%10.3%-0.3%0.3%
VWIV25.7%17.2%36.6%17.2%34.2%
Skew 25d0.1%-10.7%3.4%2.4%-1.2%
Skew 10d2.3%-7.0%13.5%4.4%-3.1%
Call IV 25d26.7%15.9%44.5%16.9%37.9%
Put IV 25d26.7%17.4%47.9%19.3%36.7%
Bid-Ask Spread %39.5510.6396.6330.9632.94
Gamma HHI0.200.140.330.220.14
Net GEX6.5M3.6M9.8M3.8M7.3M
Net DEX-105.5M-213.0M-35.0M-35.0M-129.8M
Net VEX-473.9K-567.8K-232.0K-232.0K-559.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.081.220.431.22
Total Volume18,389.0952,75658,78621,23814,845
Total OI125,047.85754,605155,46854,605155,468

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$30.50$29.0017.5%4.9%11.9%19.2%17.2%2.4%-0.3%3.8M-35.0M-232.0K0.4330.96N/AN/A14,8306,40831,51623,089
2018-06-04$30.66$31.0017.5%5.3%11.8%19.5%18.2%2.0%0.4%3.6M-44.5M-303.5K0.3224.90N/AN/A4,6091,48941,33426,889
2018-06-05$30.72$31.0017.1%5.2%11.3%17.4%19.0%2.1%0.3%3.8M-46.7M-305.2K0.9813.46N/AN/A10,60310,36342,38727,191
2018-06-06$30.75$31.0016.5%5.1%11.1%14.0%19.9%1.6%0.5%4.5M-50.9M-354.8K1.0510.63N/AN/A1,3461,41051,58536,303
2018-06-07$31.11$31.0017.5%5.4%11.6%19.3%19.0%1.9%0.7%5.1M-64.8M-352.1K0.2335.54N/AN/A8,9652,04851,76736,451
2018-06-08$31.89$31.0023.3%6.7%13.7%50.2%23.4%0.1%1.4%5.1M-99.7M-364.2K0.0843.05N/AN/A54,3394,44756,83537,128
2018-06-11$34.48$31.0045.9%12.0%29.6%100.0%36.6%3.4%-3.5%4.9M-211.2M-510.3K0.2896.63N/AN/A30,8688,63590,74038,397
2018-06-12$33.77$32.0037.7%9.9%31.0%74.5%32.6%-10.7%-2.7%6.9M-213.0M-506.9K0.2779.02N/AN/A26,8967,28197,50244,107
2018-06-13$31.72$32.0024.8%7.2%39.2%34.1%26.5%-2.6%0.9%9.8M-114.5M-567.8K0.3470.70N/AN/A23,3117,860102,89348,400
2018-06-14$32.49$32.0025.2%7.0%39.7%35.5%24.7%-0.2%-1.0%9.7M-141.3M-519.6K0.5839.24N/AN/A15,8649,15797,34350,921
2018-06-15$32.88$32.0028.8%8.1%39.8%46.6%29.6%0.2%-0.2%6.8M-162.0M-535.1K0.4057.01N/AN/A15,7756,25697,78452,011
2018-06-18$32.25$32.0025.9%7.3%40.6%37.5%25.1%1.7%5.0%7.6M-102.5M-523.8K0.5752.10N/AN/A6,1473,48387,79642,159
2018-06-19$31.90$32.0021.8%6.3%40.9%24.8%22.0%1.1%3.3%8.1M-88.4M-495.3K1.0433.18N/AN/A4,4154,60388,49842,503
2018-06-20$32.17$32.0026.2%7.5%40.7%38.6%26.5%-1.0%10.3%6.6M-97.2M-548.5K0.5222.11N/AN/A9,4704,92089,59352,777
2018-06-21$32.07$32.0024.9%6.9%40.7%34.4%25.0%-0.3%5.3%7.3M-95.3M-547.4K0.5520.55N/AN/A7,7944,32493,35053,588
2018-06-22$32.71$32.0026.0%7.0%41.2%38.0%24.6%-1.5%4.8%8.8M-131.9M-549.7K0.6523.41N/AN/A6,0063,91895,57654,538
2018-06-25$32.08$32.0029.5%7.1%41.9%48.7%25.0%1.1%-1.6%6.4M-90.0M-552.7K0.9124.42N/AN/A4,3523,97891,09053,858
2018-06-26$32.09$32.0025.2%7.3%41.9%35.6%26.9%2.3%0.4%6.9M-92.7M-531.2K0.7542.32N/AN/A5,0383,79590,89954,222
2018-06-27$32.01$32.0032.8%8.3%41.9%59.2%33.0%0.9%-1.2%6.2M-89.6M-546.1K0.7628.83N/AN/A4,8413,70293,29554,599
2018-06-28$32.62$32.0032.1%8.3%42.2%57.0%31.2%-2.1%-0.9%7.6M-115.5M-545.2K0.3849.51N/AN/A12,8584,92294,92854,695
2018-06-29$32.75$32.0034.5%8.9%42.2%64.4%34.2%-1.2%0.3%7.3M-129.8M-559.8K1.2232.94N/AN/A6,6778,16899,36556,103