BSX Options History — June 2019

In June 2019, BSX traded between $38.27 and $42.70. ATM implied volatility averaged 24.4%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.9% (HV 20d: 17.5%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2019-06-21: Highest Volume — 22,686 contracts
  • 2019-06-24: Largest IV spike — 9.1% change
  • 2019-06-03: Highest IV Rank — 28.1%
  • 2019-06-03: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.05$38.27$42.70$38.27$42.70
Max Pain$37.85$36.00$39.00$36.00$39.00
ATM IV24.4%21.3%26.5%26.5%25.7%
Expected Move6.7%5.9%7.5%7.5%5.9%
HV 20d17.5%16.0%19.4%17.6%16.9%
HV 60d22.7%21.5%24.7%23.7%21.9%
IV Rank20.6%11.1%28.1%28.1%23.9%
IV Percentile27.2%4.4%48.8%47.2%41.7%
Term Structure1.0%-0.9%4.3%0.2%-0.4%
VWIV24.1%20.5%27.0%26.3%20.5%
Skew 25d3.0%1.9%3.8%3.8%3.2%
Skew 10d6.6%5.3%9.3%7.4%6.7%
Call IV 25d23.5%20.5%26.4%25.5%24.8%
Put IV 25d26.5%23.5%29.2%29.2%28.0%
Bid-Ask Spread %23.325.5174.9810.5867.95
Gamma HHI0.190.100.280.210.12
Net GEX7.4M5.7M9.6M5.7M9.1M
Net DEX-144.8M-194.5M-67.8M-67.8M-194.5M
Net VEX-569.8K-698.5K-504.5K-569.0K-679.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.092.300.310.34
Total Volume7,719.21,33022,6861,3306,365
Total OI105,426.293,511119,32493,511119,324

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$38.27$36.0026.5%7.5%17.6%28.1%26.3%3.8%0.2%5.7M-67.8M-569.0K0.3110.58N/AN/A1,01731361,94431,567
2019-06-04$38.99$36.0025.3%6.9%18.5%24.7%24.7%3.8%0.8%7.2M-88.8M-569.1K0.138.22N/AN/A3,60447062,21031,590
2019-06-05$40.09$36.0024.5%6.6%18.8%22.6%24.5%3.1%0.6%8.5M-130.1M-575.4K0.296.10N/AN/A3,5891,02864,73431,803
2019-06-06$40.70$37.0023.7%7.0%19.1%20.3%26.7%3.1%0.3%8.5M-150.9M-560.0K0.8611.00N/AN/A2,5092,14765,68232,278
2019-06-07$41.25$37.0023.8%7.2%19.4%18.3%25.5%2.6%0.2%7.9M-169.7M-547.0K0.489.41N/AN/A8,5954,13166,74833,228
2019-06-10$41.50$38.0025.3%7.3%18.5%22.8%25.7%3.8%0.3%7.0M-168.7M-537.5K0.379.74N/AN/A5,6372,10466,99034,205
2019-06-11$41.25$38.0024.7%7.2%17.2%21.0%25.9%2.6%0.5%7.3M-154.7M-541.4K2.307.04N/AN/A3,0336,99065,51235,186
2019-06-12$40.81$38.0024.5%7.2%17.1%20.5%27.0%2.8%0.6%5.7M-127.8M-557.2K1.305.51N/AN/A2,6923,50664,59239,502
2019-06-13$40.62$38.0023.9%6.9%17.4%18.9%24.7%2.9%0.4%5.8M-121.8M-552.6K1.4812.22N/AN/A2,5243,73465,28339,848
2019-06-14$40.45$38.0023.8%7.1%17.5%18.4%24.6%2.7%1.3%7.1M-112.1M-549.2K0.6510.64N/AN/A2,5351,63565,77040,898
2019-06-17$40.72$38.0023.0%6.6%17.1%16.1%24.0%2.7%3.8%7.3M-126.8M-528.4K1.366.80N/AN/A1,3651,85865,11439,749
2019-06-18$41.00$38.0022.5%6.5%17.0%14.7%24.0%3.0%2.9%7.1M-139.4M-522.2K0.495.98N/AN/A4,5082,20566,01540,934
2019-06-19$41.75$38.0021.3%6.1%17.6%11.1%25.0%3.0%4.3%6.9M-173.8M-504.5K0.416.74N/AN/A6,7682,77167,74341,121
2019-06-20$41.88$38.0022.6%6.3%17.7%15.1%22.2%3.2%3.3%7.1M-185.6M-506.4K0.487.74N/AN/A7,0553,39770,17141,900
2019-06-21$41.78$38.0023.0%6.2%17.4%16.1%23.1%2.6%3.4%7.4M-180.5M-513.5K0.1915.97N/AN/A19,0863,60070,50843,335
2019-06-24$41.98$39.0025.1%6.3%16.0%22.1%21.9%3.0%-0.9%6.8M-145.0M-591.5K0.3259.24N/AN/A2,69587367,39234,896
2019-06-25$41.75$39.0026.5%6.4%16.2%26.4%22.0%2.6%-0.7%7.2M-141.0M-602.8K0.0968.08N/AN/A15,9171,38769,44835,368
2019-06-26$41.49$39.0026.5%6.3%16.2%26.2%22.2%3.3%-0.5%8.4M-144.9M-698.5K0.5974.98N/AN/A3,8572,27681,09836,182
2019-06-27$42.09$39.0025.9%5.9%16.6%24.4%20.8%1.9%-0.5%9.6M-171.4M-690.9K0.4662.50N/AN/A4,5142,09481,77636,880
2019-06-28$42.70$39.0025.7%5.9%16.9%23.9%20.5%3.2%-0.4%9.1M-194.5M-679.7K0.3467.95N/AN/A4,7461,61982,00137,323