BSX Options History — September 2018

In September 2018, BSX traded between $35.71 and $38.71. ATM implied volatility averaged 26.7%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 9.9% (HV 20d: 16.8%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-09-25: Highest Volume — 25,618 contracts
  • 2018-09-28: Largest IV spike — 49.7% change
  • 2018-09-28: Highest IV Rank — 100.0%
  • 2018-09-24: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.24$35.71$38.71$36.03$38.48
Max Pain$35.42$34.00$37.00$34.00$37.00
ATM IV26.7%22.1%52.0%22.1%52.0%
Expected Move6.8%5.7%11.9%6.5%5.9%
HV 20d16.8%15.0%21.8%21.3%15.8%
HV 60d20.6%19.2%29.2%29.2%19.3%
IV Rank36.8%24.7%100.0%25.8%100.0%
IV Percentile70.9%56.3%100.0%56.3%100.0%
Term Structure2.3%-2.6%12.1%0.7%10.8%
VWIV23.4%16.5%30.0%24.8%19.7%
Skew 25d-4.1%-48.5%3.1%-1.6%-48.5%
Skew 10d-0.8%-7.6%39.2%-6.8%1.6%
Call IV 25d30.2%23.4%80.4%24.3%80.4%
Put IV 25d26.1%22.7%46.9%22.7%31.9%
Bid-Ask Spread %46.539.84116.9044.89108.20
Gamma HHI0.270.190.500.290.19
Net GEX10.4M6.7M12.7M9.6M12.7M
Net DEX-152.2M-192.2M-105.6M-120.9M-168.5M
Net VEX-369.9K-467.0K-329.2K-379.3K-465.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.291.230.491.21
Total Volume14,226.4747,84025,61811,1058,868
Total OI102,17390,042118,33292,863116,214

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$36.03$34.0022.1%6.5%21.3%25.8%24.8%-1.6%0.7%9.6M-120.9M-379.3K0.4944.89N/AN/A7,4453,66068,09224,771
2018-09-05$35.71$34.0022.4%6.6%21.8%24.7%30.0%-0.5%-0.3%9.4M-105.6M-374.3K0.7427.70N/AN/A4,5083,33268,24024,730
2018-09-06$36.06$35.0022.6%6.4%18.6%25.0%24.3%-1.9%1.2%10.3M-120.6M-369.5K0.5174.05N/AN/A6,9453,53568,22924,872
2018-09-07$35.84$35.0023.3%6.7%18.1%27.3%24.4%-0.9%-0.1%10.3M-112.9M-367.5K0.4618.39N/AN/A9,1534,18570,35725,096
2018-09-10$35.89$35.0022.7%6.8%17.3%25.4%24.8%-0.5%1.1%10.6M-112.0M-355.0K1.0315.85N/AN/A5,7225,90369,33524,816
2018-09-11$36.20$35.0023.2%6.8%17.0%27.2%24.8%-0.2%0.7%12.2M-129.5M-359.3K0.8822.36N/AN/A6,3545,56673,31527,340
2018-09-12$36.42$35.0022.7%6.7%16.8%25.3%24.9%-1.0%0.4%11.9M-134.8M-353.6K0.8918.95N/AN/A6,1255,43972,23027,551
2018-09-13$37.56$35.0024.1%6.8%16.3%29.9%23.8%-2.8%-0.6%10.3M-182.9M-329.2K0.3429.60N/AN/A18,0586,10772,15327,581
2018-09-14$37.36$35.0023.3%6.7%15.0%27.4%24.2%-2.4%-0.5%11.7M-177.7M-337.5K1.0926.62N/AN/A4,7925,22677,48028,706
2018-09-17$37.16$35.0023.8%6.7%15.3%28.9%24.5%-0.9%5.4%10.9M-160.1M-329.7K0.4033.27N/AN/A14,0395,64772,14128,611
2018-09-18$37.61$35.0025.5%7.3%15.6%34.6%26.0%-1.8%3.5%10.8M-178.2M-335.9K1.1362.14N/AN/A5,5686,28675,48929,483
2018-09-19$37.48$35.0023.8%6.8%15.8%28.6%25.1%-1.7%5.0%11.8M-170.9M-333.6K1.2323.83N/AN/A7,0498,65274,38430,153
2018-09-20$37.86$36.0029.1%7.2%15.7%45.7%25.8%-1.3%12.1%10.5M-190.6M-339.0K0.6934.37N/AN/A12,6608,71376,63133,587
2018-09-21$37.81$36.0025.7%6.5%15.5%33.1%23.3%-0.4%3.5%7.1M-192.2M-364.3K0.959.84N/AN/A7,3746,98084,03834,294
2018-09-24$38.35$36.0031.2%11.9%15.6%51.4%16.9%3.1%0.3%6.7M-142.7M-354.9K0.82116.90N/AN/A6,2785,12861,06728,975
2018-09-25$38.71$36.0026.0%5.7%15.7%34.2%20.3%-0.4%-2.2%8.5M-160.0M-362.0K0.2980.16N/AN/A19,8445,77464,89829,831
2018-09-26$38.66$37.0028.4%6.1%15.8%42.1%16.5%-6.7%-2.6%10.7M-173.0M-450.6K0.33101.46N/AN/A13,7334,57780,16530,775
2018-09-27$38.29$37.0034.8%5.7%16.1%63.2%20.9%-8.0%5.6%11.7M-158.1M-467.0K0.6835.57N/AN/A6,5914,48784,58131,076
2018-09-28$38.48$37.0052.0%5.9%15.8%100.0%19.7%-48.5%10.8%12.7M-168.5M-465.3K1.21108.20N/AN/A4,0064,86284,98031,234