BSX Options History — March 2020 In March 2020, BSX traded between $25.74 and $38.51. ATM implied volatility averaged 67.5%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 6.5% (HV 20d: 61.0%). Max pain ranged from $31.00 to $42.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.63.
Notable Days 2020-03-31 : Highest Volume — 19,042 contracts2020-03-12 : Largest IV spike — 62.7% change2020-03-06 : Highest IV Rank — 100.0%2020-03-19 : Largest Expected Move — 32.1%Monthly Statistics Metric Avg Min Max Open Close Price $31.99 $25.74 $38.51 $37.64 $32.62 Max Pain $36.11 $31.00 $42.00 $42.00 $31.00 ATM IV 67.5% 32.0% 107.0% 35.5% 59.3% Expected Move 19.8% 9.4% 32.1% 10.9% 19.8% HV 20d 61.0% 31.1% 93.2% 31.5% 92.6% HV 60d 41.7% 26.4% 58.2% 26.6% 58.2% IV Rank 75.3% 46.1% 100.0% 63.8% 46.1% IV Percentile 98.4% 94.0% 100.0% 98.8% 94.0% Term Structure -5.8% -41.6% 21.6% -1.7% 21.6% VWIV 67.3% 33.5% 98.6% 37.0% 91.6% Skew 25d 24.6% -14.6% 64.1% 7.1% 5.3% Skew 10d 31.9% -25.9% 92.8% 14.0% 28.9% Call IV 25d 64.8% 28.8% 95.8% 32.0% 80.2% Put IV 25d 89.4% 36.2% 148.0% 39.0% 85.5% Bid-Ask Spread % 64.98 7.98 106.09 7.98 102.45 Gamma HHI 0.11 0.07 0.25 0.10 0.12 Net GEX -961.2K -3.7M 549.3K -2.1M 451.2K Net DEX 81.2M 23.9M 114.3M 76.3M 23.9M Net VEX -512.5K -698.0K -274.2K -610.5K -599.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 0.05 4.79 3.11 0.99 Total Volume 5,912.182 1,659 19,042 5,395 19,042 Total OI 105,473.591 89,769 115,058 89,769 115,058
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 2020-03-02 $37.64 $42.00 35.5% 10.9% 31.5% 63.8% 37.0% 7.1% -1.7% -2.1M 76.3M -610.5K 3.11 7.98 N/A N/A 1,314 4,081 41,159 48,610 2020-03-03 $37.56 $42.00 36.9% 12.0% 31.1% 69.2% 41.2% 9.2% -0.2% -2.5M 79.2M -620.7K 4.07 11.71 N/A N/A 808 3,292 43,181 51,613 2020-03-04 $38.51 $41.50 32.0% 9.4% 32.2% 50.8% 33.5% 7.4% -1.4% -3.1M 69.0M -659.2K 4.79 11.44 N/A N/A 1,124 5,389 43,511 53,967 2020-03-05 $37.08 $39.00 43.0% 11.8% 34.2% 92.1% 40.5% 9.3% -3.0% -2.9M 86.7M -658.5K 0.62 12.81 N/A N/A 2,451 1,510 45,234 56,667 2020-03-06 $37.27 $39.00 49.5% 14.0% 33.8% 100.0% 55.7% 13.8% -1.5% -3.7M 72.4M -698.0K 1.55 24.01 N/A N/A 3,116 4,818 46,775 56,607 2020-03-09 $34.25 $39.00 61.5% 17.5% 43.4% 100.0% 55.1% 28.1% 4.3% -1.3M 96.9M -596.4K 0.33 47.89 N/A N/A 2,639 875 48,018 54,932 2020-03-10 $35.20 $39.00 51.3% 14.8% 45.4% 76.4% 54.1% 17.6% 8.7% -1.5M 92.3M -614.1K 2.95 15.10 N/A N/A 949 2,803 49,330 55,041 2020-03-11 $34.08 $38.00 60.5% 17.7% 45.5% 97.7% 62.7% 26.9% 4.8% -1.3M 100.3M -592.5K 4.13 20.42 N/A N/A 1,190 4,918 49,613 56,983 2020-03-12 $31.20 $38.00 98.5% 28.5% 53.0% 100.0% 81.7% 64.1% 5.8% -904.3K 108.6M -517.3K 4.77 74.69 N/A N/A 1,095 5,219 50,075 58,129 2020-03-13 $31.12 $38.00 82.9% 23.0% 53.1% 80.5% 76.6% 39.6% -6.1% -1.0M 114.3M -496.8K 0.37 67.81 N/A N/A 1,980 738 49,945 57,710 2020-03-16 $28.37 $38.00 92.0% 26.9% 59.2% 91.8% 88.0% 15.6% -7.7% -759.8K 106.5M -400.9K 0.43 80.39 N/A N/A 4,374 1,877 48,947 53,735 2020-03-17 $28.81 $36.00 72.0% 20.5% 60.2% 66.8% 79.5% -14.6% -11.5% -813.7K 103.7M -422.1K 1.53 76.47 N/A N/A 656 1,003 52,699 54,416 2020-03-18 $26.45 $35.00 87.1% 25.0% 62.6% 85.8% 98.6% 46.1% -4.7% -567.5K 98.8M -354.9K 0.49 86.07 N/A N/A 1,881 916 52,909 53,072 2020-03-19 $28.48 $34.00 107.0% 32.1% 71.7% 100.0% 90.2% 52.3% -28.7% -711.3K 98.2M -409.9K 1.74 99.02 N/A N/A 1,118 1,941 53,692 53,594 2020-03-20 $27.45 $34.00 88.7% 27.7% 71.4% 79.3% 71.4% 37.6% -41.6% -644.3K 103.7M -329.8K 0.06 100.00 N/A N/A 11,509 704 54,115 52,890 2020-03-23 $25.74 $33.00 68.6% 22.5% 72.9% 56.6% 63.4% 41.3% -0.7% -185.6K 95.1M -274.2K 0.05 95.28 N/A N/A 12,607 606 49,019 49,819 2020-03-24 $27.39 $32.00 66.5% 17.2% 78.9% 54.2% 66.6% 34.6% -27.5% 320.9K 80.8M -346.8K 0.14 83.29 N/A N/A 4,056 555 63,956 48,508 2020-03-25 $30.91 $32.00 71.0% 30.1% 93.2% 59.3% 88.2% 29.9% -8.7% 484.3K 49.8M -500.7K 0.38 103.55 N/A N/A 3,014 1,143 63,607 46,632 2020-03-26 $30.98 $32.00 74.9% 14.9% 93.1% 63.7% 57.6% 35.7% -33.6% 458.9K 48.8M -508.3K 0.54 102.35 N/A N/A 3,005 1,634 64,439 47,213 2020-03-27 $31.13 $31.00 84.9% 25.5% 92.2% 75.0% 70.2% 29.6% -1.9% 544.6K 45.6M -519.8K 0.30 100.69 N/A N/A 2,380 713 65,757 47,660 2020-03-30 $31.59 $31.00 61.1% 13.2% 91.5% 48.1% 76.9% 5.6% 7.1% 549.3K 36.2M -543.9K 2.50 106.09 N/A N/A 1,437 3,588 64,423 47,159 2020-03-31 $32.62 $31.00 59.3% 19.8% 92.6% 46.1% 91.6% 5.3% 21.6% 451.2K 23.9M -599.6K 0.99 102.45 N/A N/A 9,574 9,468 65,221 49,837
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