BSX Options History — April 2020

In April 2020, BSX traded between $30.10 and $38.23. ATM implied volatility averaged 48.5%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 31.4% (HV 20d: 79.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2020-04-07: Highest Volume — 20,707 contracts
  • 2020-04-09: Largest IV spike — 59.2% change
  • 2020-04-01: Highest IV Rank — 61.3%
  • 2020-04-01: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.29$30.10$38.23$30.10$37.62
Max Pain$33.14$30.00$35.00$31.00$35.00
ATM IV48.5%31.9%72.7%72.7%40.9%
Expected Move13.8%9.5%24.2%24.2%9.5%
HV 20d79.9%56.6%95.5%95.3%56.6%
HV 60d64.3%60.1%67.4%60.1%67.4%
IV Rank33.9%15.1%61.3%61.3%25.4%
IV Percentile89.6%80.2%96.8%96.8%85.7%
Term Structure4.9%-3.5%25.7%8.9%25.7%
VWIV50.3%32.4%90.9%70.7%32.4%
Skew 25d10.5%-33.2%47.9%27.7%47.9%
Skew 10d19.5%-21.6%55.2%33.3%17.9%
Call IV 25d49.9%27.7%87.6%66.5%31.1%
Put IV 25d60.4%43.2%107.7%94.2%79.0%
Bid-Ask Spread %29.825.6898.8498.848.29
Gamma HHI0.140.090.200.150.10
Net GEX792.0K-952.3K1.5M574.7K1.5M
Net DEX-20.4M-87.5M52.3M52.3M-63.9M
Net VEX-793.3K-882.5K-611.7K-611.7K-795.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.066.561.100.64
Total Volume6,201.9521,73720,7072,9582,714
Total OI148,251.238132,717157,521132,717157,521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$30.10$31.0072.7%24.2%95.3%61.3%70.7%27.7%8.9%574.7K52.3M-611.7K1.1098.84N/AN/A1,4091,54973,55859,159
2020-04-02$30.72$30.0064.6%15.9%95.4%52.1%54.8%20.3%13.1%574.3K48.1M-638.1K0.4279.32N/AN/A1,63668774,60460,291
2020-04-03$30.93$30.0068.2%16.0%95.5%56.1%58.9%-21.7%22.7%709.4K46.6M-632.8K6.5675.43N/AN/A3342,19174,88460,293
2020-04-06$32.74$30.0044.0%13.4%93.9%28.8%45.1%-33.2%9.3%789.4K22.8M-686.7K0.2191.43N/AN/A2,83559673,60460,701
2020-04-07$33.95$30.0055.0%14.8%94.3%41.3%90.9%39.9%3.1%949.0K1.2M-729.6K0.8678.08N/AN/A11,1179,59075,00460,956
2020-04-08$35.47$30.0032.7%12.9%94.9%16.1%48.7%-7.3%10.0%1.2M-37.5M-853.0K0.9430.68N/AN/A2,3402,18881,86469,534
2020-04-09$37.00$30.0052.1%13.1%89.6%38.0%44.9%-2.3%2.0%1.1M-74.4M-882.5K0.5027.66N/AN/A3,1581,59381,56970,145
2020-04-13$35.19$30.0053.5%14.2%92.0%39.5%53.6%13.5%7.7%831.6K-25.8M-850.4K0.0627.44N/AN/A12,42776280,73571,009
2020-04-14$35.93$35.0047.4%13.4%84.3%32.6%52.5%12.3%18.5%712.5K-28.7M-824.5K0.3110.91N/AN/A14,5054,51475,10771,340
2020-04-15$34.88$35.0047.7%13.7%85.6%33.0%52.9%13.3%-0.9%726.6K-2.8M-827.9K0.447.77N/AN/A3,5041,53177,26975,033
2020-04-16$35.41$35.0049.0%14.2%77.8%34.4%49.3%12.5%-2.9%1.0M-20.1M-836.3K0.438.14N/AN/A1,47964277,89575,055
2020-04-17$38.23$35.0043.9%12.8%78.1%28.7%43.8%9.7%-2.5%914.8K-87.5M-865.8K0.197.31N/AN/A12,6282,39778,26175,461
2020-04-20$37.47$35.0047.2%13.9%76.9%32.5%46.2%10.2%-2.4%1.4M-52.3M-863.2K0.868.20N/AN/A3,3702,91475,02569,820
2020-04-21$35.31$35.0051.1%14.8%76.2%36.8%52.7%10.4%-3.5%471.9K-574.0K-833.4K0.8610.82N/AN/A3,5933,08876,63372,172
2020-04-22$35.66$35.0048.2%14.3%74.2%33.6%49.5%11.1%-1.3%550.9K-7.5M-833.2K0.708.97N/AN/A1,9011,32479,53374,624
2020-04-23$36.44$35.0045.6%13.4%62.6%30.6%44.9%10.4%-1.3%715.4K-27.1M-847.2K0.9110.21N/AN/A1,3291,21580,96675,325
2020-04-24$37.08$35.0042.6%12.3%62.6%27.3%43.6%11.7%-1.6%-952.3K-44.0M-841.4K0.605.68N/AN/A1,08465381,41075,958
2020-04-27$37.16$35.0039.5%11.8%62.6%23.7%41.3%9.6%-0.4%885.4K-45.3M-816.5K1.565.79N/AN/A9311,45576,42074,792
2020-04-28$36.05$35.0040.1%12.2%64.1%24.4%44.9%8.8%-1.1%613.9K-16.5M-787.0K1.176.30N/AN/A2,6783,12477,06275,745
2020-04-29$37.81$35.0031.9%10.0%65.2%15.1%35.1%16.2%0.8%1.3M-64.5M-802.7K0.4318.91N/AN/A2,27298478,99977,940
2020-04-30$37.62$35.0040.9%9.5%56.6%25.4%32.4%47.9%25.7%1.5M-63.9M-795.8K0.648.29N/AN/A1,6591,05579,38878,133