BSX Options History — March 2019

In March 2019, BSX traded between $37.41 and $40.85. ATM implied volatility averaged 25.9%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.3% (HV 20d: 19.5%). Max pain ranged from $36.00 to $38.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2019-03-18: Highest Volume — 36,393 contracts
  • 2019-03-08: Largest IV spike — 35.8% change
  • 2019-03-08: Highest IV Rank — 54.0%
  • 2019-03-04: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.06$37.41$40.85$40.85$38.43
Max Pain$37.69$36.00$38.50$38.00$38.00
ATM IV25.9%21.8%35.7%27.2%25.5%
Expected Move7.2%6.3%8.3%6.3%7.2%
HV 20d19.5%13.6%24.9%15.2%24.5%
HV 60d27.0%23.2%31.3%31.3%23.2%
IV Rank26.3%14.9%54.0%30.2%25.4%
IV Percentile41.3%19.4%90.1%47.6%38.5%
Term Structure0.9%-9.6%13.4%12.6%0.1%
VWIV26.3%24.7%28.7%24.8%26.7%
Skew 25d3.1%-9.0%18.4%1.4%2.0%
Skew 10d9.8%0.6%22.5%17.2%5.6%
Call IV 25d27.5%17.6%44.1%24.1%24.8%
Put IV 25d30.6%23.0%44.6%25.5%26.8%
Bid-Ask Spread %33.139.9752.3830.8742.38
Gamma HHI0.170.120.230.230.19
Net GEX6.6M1.7M10.7M10.4M7.2M
Net DEX-65.9M-127.8M-16.1M-127.8M-60.6M
Net VEX-396.7K-466.1K-304.2K-466.1K-411.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.062.920.870.29
Total Volume7,149.7621,88636,3934,5144,674
Total OI106,782.85771,447115,657102,512112,781

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$40.85$38.0027.2%6.3%15.2%30.2%24.8%1.4%12.6%10.4M-127.8M-466.1K0.8730.87N/AN/A2,4152,09978,35124,161
2019-03-04$40.22$38.5032.4%8.3%16.2%44.8%28.7%5.0%-4.3%8.4M-101.1M-443.9K0.1038.92N/AN/A9,75896878,13924,649
2019-03-05$40.23$38.5028.5%7.3%16.2%33.9%25.9%3.1%0.9%10.7M-112.5M-454.3K0.6744.93N/AN/A1,7601,17983,57525,376
2019-03-06$39.76$38.5024.7%7.3%17.0%23.1%25.9%0.5%2.6%9.0M-86.4M-420.7K0.2829.16N/AN/A3,43795383,73525,681
2019-03-07$39.65$38.5026.3%7.3%14.6%27.6%25.8%3.1%1.5%7.8M-75.0M-398.2K0.5148.48N/AN/A2,0021,01684,90125,778
2019-03-08$39.43$38.5035.7%7.5%14.8%54.0%28.6%-9.0%-3.6%6.4M-71.2M-408.7K2.9226.83N/AN/A1,9915,81985,25225,910
2019-03-11$39.94$36.0025.5%7.4%15.2%25.4%28.5%3.6%-0.9%7.6M-82.8M-368.2K0.7529.41N/AN/A2,5131,88481,47627,321
2019-03-12$40.38$36.0023.7%7.4%15.5%20.2%25.8%2.8%0.3%10.6M-101.4M-373.6K0.2327.48N/AN/A1,53934782,66729,449
2019-03-13$40.40$36.0023.3%7.4%14.0%19.2%26.7%14.3%0.6%10.6M-101.0M-368.1K0.3925.91N/AN/A3,8781,51483,21429,646
2019-03-14$40.09$37.0023.5%7.0%14.0%19.8%25.9%4.4%-2.3%8.2M-87.8M-346.7K0.4423.25N/AN/A3,8011,65683,58930,634
2019-03-15$40.22$37.0026.1%6.9%13.6%27.1%25.6%18.4%-9.6%4.3M-98.0M-340.9K0.5621.55N/AN/A3,8952,19484,71630,941
2019-03-18$38.07$37.0021.8%7.1%23.9%14.9%24.8%0.9%0.2%1.7M-21.7M-304.2K0.1523.00N/AN/A31,6964,69754,84116,606
2019-03-19$38.16$38.0021.8%7.1%23.9%14.9%25.7%1.1%1.8%4.6M-35.3M-396.7K0.5138.97N/AN/A5,9573,02179,54619,793
2019-03-20$37.91$38.0024.2%6.9%23.8%21.7%24.7%1.8%13.4%4.1M-29.6M-406.5K0.5133.86N/AN/A4,6922,38081,48521,156
2019-03-21$38.23$38.0023.0%7.0%24.1%18.4%25.5%1.5%3.0%4.6M-36.0M-417.4K0.289.97N/AN/A5,3901,49282,47922,272
2019-03-22$37.41$38.0023.6%7.3%24.5%19.9%27.7%2.2%2.6%2.3M-16.1M-389.3K0.3434.09N/AN/A4,8651,64284,47322,636
2019-03-25$37.70$38.0026.5%7.4%24.7%28.2%26.3%1.8%-0.7%3.4M-26.9M-404.2K0.0639.09N/AN/A7,56944683,35521,635
2019-03-26$37.75$38.0025.6%7.1%24.8%25.6%25.8%2.6%1.1%4.5M-34.0M-397.0K0.1441.44N/AN/A6,92497286,22021,642
2019-03-27$37.61$38.0028.6%7.3%24.7%34.1%27.3%2.8%-0.8%6.0M-39.1M-418.2K0.6352.38N/AN/A1,8111,13688,93622,002
2019-03-28$37.92$38.0025.3%7.1%24.9%24.7%26.5%1.7%-0.3%6.0M-39.2M-396.0K0.4133.70N/AN/A2,9461,21789,07722,344
2019-03-29$38.43$38.0025.5%7.2%24.5%25.4%26.7%2.0%0.1%7.2M-60.6M-411.3K0.2942.38N/AN/A3,6151,05990,27122,510