BSX Options History — August 2019 In August 2019, BSX traded between $41.33 and $43.35. ATM implied volatility averaged 24.5%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.6% (HV 20d: 20.9%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.62.
Notable Days 2019-08-20 : Highest Volume — 17,594 contracts2019-08-05 : Largest IV spike — 14.2% change2019-08-05 : Highest IV Rank — 30.1%2019-08-05 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $42.38 $41.33 $43.35 $42.61 $42.64 Max Pain $41.77 $38.00 $43.00 $38.00 $42.00 ATM IV 24.5% 22.0% 27.8% 23.4% 23.0% Expected Move 7.0% 6.3% 8.0% 6.8% 6.5% HV 20d 20.9% 13.1% 25.7% 13.1% 25.7% HV 60d 17.6% 15.5% 19.3% 15.5% 18.1% IV Rank 16.8% 6.4% 30.1% 17.4% 9.7% IV Percentile 31.3% 6.7% 60.7% 19.8% 12.3% Term Structure 0.1% -0.6% 0.7% -0.2% 0.2% VWIV 24.8% 22.0% 27.7% 23.8% 22.6% Skew 25d 4.0% 2.8% 4.9% 3.2% 3.6% Skew 10d 7.5% 3.2% 10.4% 6.6% 7.6% Call IV 25d 22.9% 20.7% 26.1% 22.4% 21.3% Put IV 25d 26.9% 24.8% 30.4% 25.6% 24.9% Bid-Ask Spread % 10.57 6.89 15.48 6.89 9.30 Gamma HHI 0.18 0.14 0.28 0.17 0.16 Net GEX 7.8M 3.5M 11.4M 9.8M 6.3M Net DEX -115.2M -190.0M -49.3M -160.8M -83.1M Net VEX -581.1K -627.3K -543.2K -613.7K -602.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.04 2.39 0.47 0.40 Total Volume 3,473.409 908 17,594 6,841 3,293 Total OI 106,664.591 77,319 124,263 118,130 94,903
Daily Data (22 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 2019-08-01 $42.61 $38.00 23.4% 6.8% 13.1% 17.4% 23.8% 3.2% -0.2% 9.8M -160.8M -613.7K 0.47 6.89 N/A N/A 4,639 2,202 83,885 34,245 2019-08-02 $42.68 $38.00 24.4% 7.0% 13.1% 20.1% 24.2% 4.3% 0.2% 9.8M -164.8M -627.3K 1.29 9.71 N/A N/A 985 1,270 85,659 35,599 2019-08-05 $41.47 $43.00 27.8% 8.0% 16.7% 30.1% 27.1% 4.3% -0.3% 7.9M -115.8M -618.4K 1.21 10.41 N/A N/A 809 980 84,730 35,327 2019-08-06 $42.17 $43.00 25.8% 7.3% 17.5% 24.3% 26.1% 4.9% -0.6% 9.4M -141.9M -607.4K 0.93 11.56 N/A N/A 1,018 947 85,651 35,412 2019-08-07 $42.33 $43.00 25.7% 7.5% 17.6% 23.9% 26.1% 4.7% -0.5% 9.5M -145.8M -606.8K 2.39 10.11 N/A N/A 808 1,929 86,022 35,893 2019-08-08 $42.78 $42.00 23.7% 6.8% 17.9% 18.1% 24.4% 2.8% 0.4% 10.4M -166.1M -606.9K 0.79 15.48 N/A N/A 1,008 801 86,242 37,323 2019-08-09 $43.35 $42.00 23.0% 7.0% 16.9% 16.2% 25.1% 3.2% 0.7% 11.4M -190.0M -604.1K 0.81 11.82 N/A N/A 1,319 1,062 86,523 37,272 2019-08-12 $42.35 $42.00 25.1% 7.4% 19.0% 22.1% 26.2% 4.8% 0.7% 10.2M -146.1M -577.8K 0.29 7.32 N/A N/A 1,354 387 85,888 37,003 2019-08-13 $42.89 $42.00 23.9% 6.9% 18.9% 16.9% 24.1% 4.0% 0.2% 11.3M -170.0M -568.0K 0.69 14.68 N/A N/A 1,242 861 85,896 37,243 2019-08-14 $41.55 $42.00 27.1% 7.6% 22.0% 26.3% 27.7% 4.4% -0.6% 8.6M -118.0M -560.6K 0.42 10.61 N/A N/A 1,283 542 86,533 37,722 2019-08-15 $41.97 $42.00 25.9% 7.4% 22.2% 18.8% 26.6% 4.4% 0.1% 7.6M -133.2M -549.4K 0.43 9.94 N/A N/A 964 415 86,296 37,645 2019-08-16 $42.17 $42.00 24.4% 7.0% 22.2% 13.8% 25.1% 3.9% -0.0% 7.4M -139.2M -543.4K 0.25 13.90 N/A N/A 1,976 501 86,491 37,772 2019-08-19 $42.83 $42.00 22.0% 6.3% 22.9% 6.4% 22.0% 4.1% 0.5% 4.9M -75.9M -543.2K 0.20 12.31 N/A N/A 2,801 564 53,463 23,856 2019-08-20 $42.64 $42.00 23.1% 6.7% 22.8% 10.0% 22.3% 2.8% -0.2% 5.0M -75.2M -556.5K 0.04 12.67 N/A N/A 16,852 742 55,719 24,375 2019-08-21 $42.49 $42.00 22.6% 6.5% 22.8% 8.3% 23.3% 3.6% 0.1% 7.3M -77.6M -571.4K 0.39 11.64 N/A N/A 2,822 1,112 62,658 24,782 2019-08-22 $42.68 $42.00 23.3% 6.7% 22.2% 10.4% 24.2% 3.6% 0.1% 9.0M -84.3M -575.1K 0.33 9.70 N/A N/A 2,625 874 63,781 25,505 2019-08-23 $41.33 $42.00 25.9% 7.4% 25.0% 18.6% 25.6% 4.5% -0.1% 3.5M -49.3M -547.3K 0.89 8.30 N/A N/A 2,523 2,249 64,218 25,883 2019-08-26 $41.74 $42.00 26.1% 7.5% 25.3% 19.3% 27.5% 4.6% -0.0% 4.5M -60.0M -563.3K 0.73 9.22 N/A N/A 524 384 62,314 26,161 2019-08-27 $42.20 $42.00 25.1% 7.2% 25.2% 16.2% 25.5% 4.1% 0.5% 5.3M -70.1M -575.5K 0.16 7.90 N/A N/A 2,483 388 62,517 26,494 2019-08-28 $42.49 $42.00 24.6% 7.0% 25.3% 14.5% 23.9% 3.8% 0.1% 6.0M -77.4M -585.0K 0.24 9.38 N/A N/A 1,575 378 63,610 26,778 2019-08-29 $42.91 $42.00 22.6% 6.4% 25.6% 8.2% 23.2% 4.0% 0.2% 7.4M -88.9M -580.1K 0.23 9.77 N/A N/A 3,994 930 64,349 26,983 2019-08-30 $42.64 $42.00 23.0% 6.5% 25.7% 9.7% 22.6% 3.6% 0.2% 6.3M -83.1M -602.4K 0.40 9.30 N/A N/A 2,353 940 67,177 27,726
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