BSX Options History — July 2018

In July 2018, BSX traded between $32.74 and $34.35. ATM implied volatility averaged 31.6%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 6.7% (HV 20d: 24.8%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2018-07-18: Highest Volume — 29,292 contracts
  • 2018-07-18: Largest IV spike — 26.4% change
  • 2018-07-18: Highest IV Rank — 79.1%
  • 2018-07-18: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.55$32.74$34.35$32.74$33.53
Max Pain$31.10$31.00$32.00$32.00$31.00
ATM IV31.6%23.3%39.2%35.7%25.6%
Expected Move8.7%6.5%11.2%8.0%7.1%
HV 20d24.8%15.5%42.4%42.2%20.9%
HV 60d27.2%26.5%27.7%27.4%27.6%
IV Rank55.4%29.6%79.1%68.1%36.6%
IV Percentile90.7%66.3%99.6%99.2%77.0%
Term Structure-1.0%-3.5%2.2%-0.8%-2.2%
VWIV31.0%22.9%40.0%29.8%25.2%
Skew 25d0.1%-7.4%2.5%-7.4%1.6%
Skew 10d0.6%-6.1%4.9%-5.5%2.1%
Call IV 25d32.4%23.9%42.2%39.3%26.3%
Put IV 25d32.5%24.3%40.9%31.8%27.9%
Bid-Ask Spread %36.9818.0651.1231.1448.06
Gamma HHI0.240.140.730.140.34
Net GEX8.9M5.0M21.4M8.2M8.0M
Net DEX-143.3M-184.3M-87.2M-127.5M-117.0M
Net VEX-428.1K-520.5K-366.9K-520.5K-387.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.232.682.430.66
Total Volume12,939.7146,86429,29211,7156,975
Total OI140,077.048104,490165,793147,731112,659

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$32.74$32.0035.7%8.0%42.2%68.1%29.8%-7.4%-0.8%8.2M-127.5M-520.5K2.4331.14N/AN/A3,4118,30495,61552,116
2018-07-03$33.21$32.0035.5%8.7%42.4%67.6%29.6%-2.5%1.1%8.3M-148.4M-514.5K2.0740.51N/AN/A4,7039,75795,98752,291
2018-07-05$33.22$31.0036.4%10.1%42.4%70.3%34.4%-4.5%2.2%9.6M-150.7M-494.6K1.4432.84N/AN/A4,2916,19496,82752,576
2018-07-06$33.56$31.0035.9%9.6%42.4%68.7%33.7%-2.1%-1.7%10.0M-165.6M-474.2K0.7740.25N/AN/A10,3667,96297,28252,728
2018-07-09$33.77$31.0032.3%8.6%41.6%57.5%30.9%0.4%-2.0%9.0M-168.5M-458.0K1.9237.83N/AN/A3,0745,89894,75754,670
2018-07-10$33.55$31.0031.6%8.9%30.8%55.3%32.2%1.6%1.1%8.7M-157.1M-454.2K2.6822.35N/AN/A3,2468,70695,11755,373
2018-07-11$33.41$31.0033.6%9.4%29.9%61.7%34.3%0.7%-0.3%7.7M-145.3M-466.8K2.1849.60N/AN/A2,5955,66294,79358,661
2018-07-12$33.35$31.0033.7%9.3%19.0%61.8%32.6%2.3%-2.4%7.7M-146.1M-456.0K1.2946.30N/AN/A3,1174,03194,74658,710
2018-07-13$33.37$31.0030.7%8.4%17.2%52.6%32.3%1.9%-2.4%8.3M-149.0M-436.9K1.3251.12N/AN/A2,9573,90795,25058,844
2018-07-16$33.11$31.0030.8%8.7%17.0%52.9%30.3%0.6%-3.4%8.9M-126.3M-392.8K0.6534.56N/AN/A8,5255,54991,40558,643
2018-07-17$34.08$31.0031.0%8.9%18.2%53.6%31.3%1.8%0.2%10.3M-182.3M-379.1K1.0842.09N/AN/A4,9355,34093,50959,428
2018-07-18$33.74$31.0039.2%11.2%18.1%79.1%40.0%0.7%-1.2%8.9M-161.9M-404.8K0.2349.98N/AN/A23,7335,55993,51859,439
2018-07-19$33.72$31.0038.1%11.1%18.0%75.6%39.6%1.1%-3.5%11.0M-181.8M-442.8K0.9724.85N/AN/A4,9894,828104,77260,953
2018-07-20$33.85$31.0032.8%9.7%17.9%59.1%34.3%1.4%-2.6%21.4M-184.3M-417.6K0.7234.09N/AN/A10,7897,819104,97660,817
2018-07-23$33.74$31.0031.5%8.9%16.8%55.2%31.9%2.5%-1.1%5.1M-112.0M-399.9K0.7526.43N/AN/A5,5354,16469,16738,484
2018-07-24$33.42$31.0029.3%8.4%15.5%48.3%29.7%0.3%0.4%5.0M-99.9M-403.2K0.7347.72N/AN/A10,6047,77670,48139,682
2018-07-25$34.18$31.0024.7%7.0%17.1%33.8%25.4%2.4%-0.2%8.0M-135.3M-381.3K1.2637.10N/AN/A7,3039,21576,21444,436
2018-07-26$34.35$31.0024.0%6.6%17.0%31.7%23.4%0.4%0.8%10.0M-143.3M-366.9K2.0918.06N/AN/A4,1608,69476,93243,683
2018-07-27$33.80$31.0023.3%6.5%17.3%29.6%22.9%-0.3%0.7%6.8M-118.9M-368.9K1.8926.30N/AN/A4,4938,51177,75243,835
2018-07-30$32.93$31.0028.0%7.2%19.9%44.1%26.5%-0.1%-3.3%6.1M-87.2M-368.7K0.4635.41N/AN/A9,6274,43069,04235,448
2018-07-31$33.53$31.0025.6%7.1%20.9%36.6%25.2%1.6%-2.2%8.0M-117.0M-387.2K0.6648.06N/AN/A4,2082,76775,85636,803