BSX Options History — August 2018

In August 2018, BSX traded between $33.11 and $35.55. ATM implied volatility averaged 22.2%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.9% (HV 20d: 23.1%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.87.

Notable Days

2018-08-15: Highest Volume — 35,702 contracts
2018-08-15: Largest IV spike — 57.5% change
2018-08-15: Highest IV Rank — 46.2%
2018-08-16: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.28	$33.11	$35.55	$33.42	$35.51
Max Pain	$33.04	$31.00	$34.00	$31.00	$34.00
ATM IV	22.2%	17.4%	28.6%	25.8%	21.2%
Expected Move	6.4%	5.0%	8.2%	7.2%	6.1%
HV 20d	23.1%	20.1%	26.1%	20.4%	21.7%
HV 60d	28.7%	27.5%	29.5%	27.5%	29.4%
IV Rank	26.1%	11.1%	46.2%	37.1%	22.9%
IV Percentile	53.8%	17.9%	85.7%	77.4%	50.4%
Term Structure	-0.3%	-5.8%	3.4%	-3.7%	-0.0%
VWIV	23.5%	17.9%	30.7%	25.1%	27.5%
Skew 25d	-0.2%	-2.8%	3.1%	0.7%	0.0%
Skew 10d	-2.2%	-7.9%	3.6%	-2.6%	-1.5%
Call IV 25d	23.1%	15.9%	30.3%	26.6%	22.2%
Put IV 25d	23.0%	19.0%	28.4%	27.2%	22.2%
Bid-Ask Spread %	29.49	13.05	72.89	43.19	29.52
Gamma HHI	0.34	0.21	0.50	0.33	0.25
Net GEX	7.9M	5.8M	12.3M	8.2M	10.4M
Net DEX	-107.2M	-191.1M	-69.2M	-111.5M	-102.9M
Net VEX	-341.7K	-396.2K	-280.4K	-377.7K	-396.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.10	2.56	0.78	0.92
Total Volume	10,149	5,465	35,702	6,483	10,640
Total OI	102,636.043	73,398	139,058	113,757	94,586

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-08-01	$33.42	$31.00	25.8%	7.2%	20.4%	37.1%	25.1%	0.7%	-3.7%	8.2M	-111.5M	-377.7K	0.78	43.19	N/A	N/A	3,637	2,846	76,530	37,227
2018-08-02	$33.37	$31.00	21.8%	6.3%	20.4%	24.7%	22.2%	1.5%	-3.4%	8.9M	-108.1M	-358.7K	2.56	15.43	N/A	N/A	2,807	7,175	76,860	37,249
2018-08-03	$33.52	$31.00	24.1%	6.4%	20.1%	31.9%	23.1%	0.8%	-5.8%	6.7M	-115.7M	-362.7K	0.99	30.21	N/A	N/A	3,475	3,424	77,876	39,969
2018-08-06	$33.11	$33.00	20.2%	6.5%	20.4%	19.7%	23.0%	0.8%	3.4%	7.2M	-90.9M	-339.2K	0.89	27.12	N/A	N/A	3,371	2,998	75,162	39,372
2018-08-07	$33.20	$33.00	21.4%	5.8%	20.3%	23.5%	21.2%	0.3%	0.6%	7.5M	-95.7M	-329.8K	1.15	59.39	N/A	N/A	2,539	2,926	75,767	40,100
2018-08-08	$34.38	$33.00	20.4%	6.0%	23.8%	20.4%	20.7%	0.7%	0.9%	8.8M	-150.4M	-331.1K	0.49	28.14	N/A	N/A	7,287	3,583	76,188	40,459
2018-08-09	$33.96	$33.00	17.4%	5.2%	24.3%	11.1%	18.3%	2.2%	0.7%	9.0M	-129.9M	-307.6K	0.49	24.89	N/A	N/A	7,065	3,474	73,564	40,265
2018-08-10	$33.58	$33.00	17.5%	5.0%	24.7%	11.2%	17.9%	3.1%	0.4%	7.7M	-108.5M	-299.8K	0.78	20.08	N/A	N/A	4,126	3,213	73,889	40,610
2018-08-13	$33.35	$33.00	18.4%	5.5%	24.7%	14.3%	19.2%	1.8%	0.6%	7.0M	-95.2M	-280.4K	2.17	14.96	N/A	N/A	2,764	5,990	72,499	40,168
2018-08-14	$33.71	$33.00	18.2%	5.2%	22.6%	13.5%	18.5%	2.0%	0.0%	8.3M	-111.0M	-285.5K	0.97	13.05	N/A	N/A	2,792	2,722	72,595	43,366
2018-08-15	$34.85	$33.00	28.6%	7.7%	25.3%	46.2%	28.8%	-2.3%	-1.6%	6.8M	-165.1M	-281.6K	0.10	72.89	N/A	N/A	32,508	3,194	72,657	43,379
2018-08-16	$34.30	$33.00	28.4%	8.2%	26.0%	45.4%	30.7%	-1.1%	0.4%	12.3M	-163.8M	-348.8K	0.26	30.42	N/A	N/A	10,634	2,815	90,407	44,046
2018-08-17	$34.50	$34.00	24.7%	6.8%	26.1%	33.7%	28.1%	-2.8%	-2.0%	7.5M	-191.1M	-338.9K	0.23	51.05	N/A	N/A	11,732	2,678	94,407	44,651
2018-08-20	$34.62	$34.00	25.4%	7.4%	26.0%	36.2%	25.9%	-1.6%	-0.8%	5.8M	-70.1M	-345.3K	0.48	22.30	N/A	N/A	4,414	2,114	52,694	20,704
2018-08-21	$34.60	$33.00	24.2%	7.0%	25.7%	32.2%	24.6%	-1.8%	0.3%	6.2M	-71.8M	-348.9K	0.28	28.45	N/A	N/A	6,677	1,894	54,687	21,293
2018-08-22	$34.50	$33.00	24.1%	6.9%	24.6%	31.9%	24.5%	-0.9%	-0.4%	6.8M	-73.7M	-354.8K	0.85	31.44	N/A	N/A	3,031	2,591	59,505	20,477
2018-08-23	$34.35	$33.00	22.6%	6.4%	24.6%	27.4%	23.8%	-1.7%	1.3%	6.6M	-69.2M	-344.9K	1.53	19.26	N/A	N/A	2,311	3,537	59,580	20,521
2018-08-24	$34.78	$33.00	22.3%	6.3%	24.2%	26.4%	22.7%	-2.0%	1.0%	7.7M	-78.2M	-357.0K	0.92	14.58	N/A	N/A	4,690	4,302	59,822	21,393
2018-08-27	$34.87	$34.00	22.0%	6.3%	21.9%	25.4%	22.8%	-0.7%	0.6%	6.8M	-78.6M	-354.8K	1.20	17.35	N/A	N/A	2,894	3,486	57,030	21,448
2018-08-28	$34.99	$34.00	20.7%	5.8%	21.1%	21.4%	21.6%	-1.6%	-0.2%	7.8M	-81.9M	-355.4K	0.49	45.33	N/A	N/A	7,914	3,843	57,902	21,511
2018-08-29	$35.55	$34.00	20.7%	6.2%	21.6%	21.3%	25.0%	0.2%	0.9%	8.6M	-103.1M	-368.8K	0.49	23.03	N/A	N/A	11,268	5,498	62,865	22,107
2018-08-30	$35.37	$34.00	21.2%	6.2%	21.7%	22.8%	26.5%	-1.2%	0.8%	9.5M	-99.2M	-392.0K	0.96	16.26	N/A	N/A	5,392	5,156	69,088	24,154
2018-08-31	$35.51	$34.00	21.2%	6.1%	21.7%	22.9%	27.5%	0.0%	-0.0%	10.4M	-102.9M	-396.2K	0.92	29.52	N/A	N/A	5,551	5,089	69,524	25,062