BSX Options History — September 2019

In September 2019, BSX traded between $40.12 and $43.56. ATM implied volatility averaged 24.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.8% (HV 20d: 28.6%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2019-09-19: Highest Volume — 22,661 contracts
  • 2019-09-27: Largest IV spike — 21.5% change
  • 2019-09-27: Highest IV Rank — 40.1%
  • 2019-09-27: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.16$40.12$43.56$41.68$40.91
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV24.8%21.3%32.8%24.8%28.9%
Expected Move6.7%5.9%7.7%7.2%7.2%
HV 20d28.6%24.3%34.8%24.9%34.8%
HV 60d21.8%18.5%25.7%18.5%25.7%
IV Rank15.1%4.5%40.1%15.4%28.1%
IV Percentile31.3%3.6%86.1%34.5%71.4%
Term Structure0.9%-0.9%5.1%-0.2%-0.8%
VWIV23.3%20.4%28.3%24.3%26.5%
Skew 25d4.3%2.5%11.3%4.4%5.9%
Skew 10d7.9%3.7%18.9%8.9%6.4%
Call IV 25d23.0%19.5%29.7%23.1%25.5%
Put IV 25d27.3%22.4%36.5%27.5%31.4%
Bid-Ask Spread %9.997.3817.449.839.17
Gamma HHI0.160.100.280.160.10
Net GEX6.0M2.3M9.6M4.7M3.6M
Net DEX-70.7M-110.4M-7.9M-55.9M-23.1M
Net VEX-553.3K-610.5K-496.4K-556.4K-522.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.042.630.871.52
Total Volume6,556.687622,6612,2973,777
Total OI99,836.9581,230109,28692,595109,286

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$41.68$42.0024.8%7.2%24.9%15.4%24.3%4.4%-0.2%4.7M-55.9M-556.4K0.879.83N/AN/A1,2291,06865,34927,246
2019-09-04$41.98$42.0023.6%6.7%24.3%11.5%23.6%4.5%-0.2%5.4M-62.6M-559.0K0.457.60N/AN/A1,23155265,53827,784
2019-09-05$42.53$42.0022.3%6.3%24.7%7.3%22.3%5.1%0.9%6.5M-78.6M-571.2K0.0711.05N/AN/A6,93950765,94527,752
2019-09-06$43.56$42.0022.2%6.3%25.8%7.3%22.0%3.4%0.4%7.6M-104.1M-568.4K0.309.41N/AN/A5,0451,49363,10427,908
2019-09-09$41.69$42.0024.9%7.0%29.9%15.5%24.9%3.4%-0.3%4.7M-54.4M-559.0K0.388.03N/AN/A4,6511,76864,61128,679
2019-09-10$41.01$42.0026.0%7.4%29.3%18.9%25.5%3.6%-0.3%3.8M-38.1M-545.3K0.208.22N/AN/A16,1143,25967,48729,780
2019-09-11$42.25$42.0025.2%7.1%31.0%16.4%24.5%3.6%-0.3%8.5M-100.4M-610.5K0.1213.82N/AN/A4,57354477,09131,378
2019-09-12$42.40$42.0023.9%7.0%28.8%12.5%24.8%3.4%0.6%8.4M-101.7M-607.9K0.3410.50N/AN/A1,90264176,71531,769
2019-09-13$41.75$42.0023.5%6.6%29.1%11.1%22.7%3.9%-0.9%7.8M-77.2M-582.9K2.639.18N/AN/A1,2713,34576,67931,899
2019-09-16$41.85$42.0023.6%6.7%29.1%11.4%23.6%3.5%3.5%6.7M-69.7M-571.8K1.028.77N/AN/A43444273,05734,596
2019-09-17$42.38$42.0023.7%6.8%28.9%11.8%22.3%3.7%3.0%7.7M-87.7M-574.5K0.419.02N/AN/A1,01241773,26734,570
2019-09-18$42.83$42.0021.9%6.3%29.1%6.3%22.6%3.0%5.1%8.7M-101.9M-569.7K0.6711.82N/AN/A1,28085473,36434,711
2019-09-19$43.01$42.0021.3%5.9%29.1%4.5%21.6%3.2%2.2%9.6M-110.4M-567.7K0.098.68N/AN/A20,7931,86873,69835,358
2019-09-20$43.28$42.0021.9%6.0%29.1%6.3%21.1%3.0%3.4%6.8M-105.6M-508.8K0.487.38N/AN/A3,7511,79963,27136,523
2019-09-23$43.25$42.0024.3%6.0%26.5%13.7%20.4%2.5%-0.5%4.6M-72.6M-496.4K0.338.33N/AN/A2,13271447,90433,326
2019-09-24$42.18$42.0027.7%6.7%28.0%24.3%23.1%4.1%-0.2%3.2M-48.8M-515.2K1.9610.00N/AN/A1,0422,04350,78934,930
2019-09-25$42.16$42.0025.4%6.2%27.7%17.2%20.5%11.3%2.6%2.8M-45.4M-505.6K0.0410.86N/AN/A18,71779551,02635,711
2019-09-26$42.44$42.0027.0%6.2%27.7%22.1%20.9%3.7%0.5%7.5M-68.6M-572.0K0.5017.44N/AN/A89845170,81436,183
2019-09-27$40.12$42.0032.8%7.7%33.8%40.1%28.3%6.8%-0.9%2.3M-7.9M-502.1K0.6510.77N/AN/A7,1414,64071,28336,358
2019-09-30$40.91$42.0028.9%7.2%34.8%28.1%26.5%5.9%-0.8%3.6M-23.1M-522.5K1.529.17N/AN/A1,4992,27871,37037,916