BSX Options History — July 2019

In July 2019, BSX traded between $41.90 and $43.05. ATM implied volatility averaged 23.5%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 9.7% (HV 20d: 13.8%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2019-07-12: Highest Volume — 9,464 contracts
  • 2019-07-24: Largest IV drop — 19.3% change
  • 2019-07-17: Highest IV Rank — 22.7%
  • 2019-07-17: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.52$41.90$43.05$42.86$42.61
Max Pain$38.14$38.00$39.00$39.00$38.00
ATM IV23.5%19.9%25.3%24.8%20.7%
Expected Move6.4%5.3%7.2%5.4%5.8%
HV 20d13.8%11.7%16.6%16.6%13.1%
HV 60d19.1%16.1%22.0%21.9%16.2%
IV Rank17.7%7.2%22.7%21.5%9.4%
IV Percentile24.7%1.6%39.3%31.7%4.4%
Term Structure-0.3%-0.8%0.7%-0.3%0.2%
VWIV22.8%18.5%25.8%19.4%19.9%
Skew 25d2.6%1.8%3.5%3.5%2.5%
Skew 10d6.1%4.2%9.4%6.4%7.0%
Call IV 25d22.6%18.9%24.5%23.4%19.9%
Put IV 25d25.2%21.0%27.0%26.8%22.4%
Bid-Ask Spread %15.605.4874.5463.145.48
Gamma HHI0.150.110.200.130.18
Net GEX8.8M4.9M11.2M9.1M10.1M
Net DEX-173.4M-197.9M-142.6M-192.5M-158.5M
Net VEX-642.1K-673.3K-597.9K-653.5K-597.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.121.390.200.37
Total Volume5,426.9551,6169,4644,4902,981
Total OI121,846.409113,669140,440114,839116,988

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$42.86$39.0024.8%5.4%16.6%21.5%19.4%3.5%-0.3%9.1M-192.5M-653.5K0.2063.14N/AN/A3,74075080,02134,818
2019-07-02$42.52$39.0024.8%5.3%16.5%21.4%18.5%3.0%-0.5%9.0M-177.7M-657.7K0.3566.74N/AN/A3,9211,35780,17535,244
2019-07-03$42.57$39.0025.1%5.3%14.0%22.3%18.8%2.5%-0.7%8.8M-178.3M-662.2K0.4774.54N/AN/A3,9731,85380,40636,117
2019-07-05$42.59$38.0025.0%6.9%13.3%21.9%25.2%2.1%0.0%9.9M-182.3M-653.5K0.357.20N/AN/A3,9201,37581,54036,649
2019-07-08$42.62$38.0025.2%6.9%12.6%22.7%25.7%3.1%-0.8%8.4M-178.6M-638.5K0.446.31N/AN/A3,8611,70880,52136,145
2019-07-09$42.99$38.0024.8%6.9%12.7%21.3%25.0%2.9%-0.6%9.0M-195.3M-644.2K0.416.00N/AN/A3,4511,41582,39537,064
2019-07-10$42.84$38.0024.1%6.8%12.6%19.2%24.7%3.0%-0.4%9.2M-191.9M-635.0K0.435.88N/AN/A2,5771,09683,20737,333
2019-07-11$43.05$38.0024.4%6.8%11.7%20.2%24.1%2.8%-0.8%9.5M-197.9M-633.5K0.126.75N/AN/A7,69488583,07737,628
2019-07-12$42.19$38.0024.8%7.0%14.0%21.4%24.2%2.7%-0.7%8.5M-174.8M-671.9K0.336.00N/AN/A7,1042,36089,14137,661
2019-07-15$42.41$38.0024.9%7.1%13.9%21.7%25.4%2.7%-0.7%9.0M-180.8M-673.3K0.376.14N/AN/A1,17644089,23437,833
2019-07-16$41.90$38.0025.0%7.1%14.7%22.0%25.8%2.6%-0.2%8.1M-162.5M-659.7K1.398.84N/AN/A3,5935,00989,42238,104
2019-07-17$42.28$38.0025.3%7.2%14.8%22.7%25.0%2.6%-0.7%6.7M-176.8M-660.8K0.348.40N/AN/A2,68291391,55744,239
2019-07-18$42.55$38.0025.0%7.2%13.6%21.9%24.8%2.1%-0.1%7.4M-194.1M-655.6K0.208.28N/AN/A5,6651,11792,67344,392
2019-07-19$42.33$38.0024.8%7.1%13.7%21.3%25.0%2.0%-0.7%4.9M-187.8M-662.2K0.667.19N/AN/A4,8423,19595,66744,773
2019-07-22$42.41$38.0024.4%7.1%13.7%20.3%25.1%2.8%-0.3%8.3M-153.8M-646.2K0.148.51N/AN/A4,37959279,94233,727
2019-07-23$42.73$38.0024.7%7.2%13.9%21.0%25.1%2.4%0.7%9.0M-166.0M-656.3K0.5812.48N/AN/A4,3652,54782,39934,125
2019-07-24$42.74$38.0019.9%5.4%13.6%7.2%19.1%2.5%0.4%11.2M-169.0M-626.7K0.539.78N/AN/A4,1402,21485,04335,931
2019-07-25$42.10$38.0019.9%5.5%14.6%7.3%19.2%1.8%0.2%8.9M-142.6M-620.9K0.446.80N/AN/A3,6041,58485,53036,125
2019-07-26$42.12$38.0020.0%5.5%13.7%7.5%20.2%2.2%0.5%8.8M-143.4M-611.9K0.296.09N/AN/A4,7551,40085,90636,480
2019-07-29$42.32$38.0019.9%5.6%12.8%7.3%20.1%3.1%-0.5%9.2M-145.1M-600.2K0.336.27N/AN/A1,82360781,31933,726
2019-07-30$42.80$38.0020.2%5.6%13.3%8.1%20.4%2.6%-0.3%10.1M-165.0M-603.8K0.336.42N/AN/A2,05867282,46533,879
2019-07-31$42.61$38.0020.7%5.8%13.1%9.4%19.9%2.5%0.2%10.1M-158.5M-597.9K0.375.48N/AN/A2,17081182,91534,073