BSX Options History — May 2020

In May 2020, BSX traded between $34.67 and $38.06. ATM implied volatility averaged 36.4%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 15.4% (HV 20d: 51.8%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2020-05-14: Highest Volume — 32,627 contracts
  • 2020-05-13: Largest IV spike — 68.8% change
  • 2020-05-13: Highest IV Rank — 49.6%
  • 2020-05-14: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.51$34.67$38.06$36.00$37.76
Max Pain$36.35$35.00$37.00$35.00$36.00
ATM IV36.4%31.0%62.4%31.0%33.2%
Expected Move10.1%9.4%11.3%10.9%9.6%
HV 20d51.8%44.6%59.9%59.8%47.1%
HV 60d69.4%67.8%71.2%67.9%70.0%
IV Rank20.2%14.1%49.6%14.1%16.6%
IV Percentile81.0%73.8%94.0%77.8%76.2%
Term Structure-1.1%-19.8%8.4%-19.8%-0.1%
VWIV35.4%30.8%41.2%38.3%35.3%
Skew 25d9.6%-7.0%32.4%32.4%9.2%
Skew 10d20.7%-30.8%51.7%26.9%19.5%
Call IV 25d35.4%28.2%64.0%28.7%29.6%
Put IV 25d45.0%36.9%76.9%61.1%38.8%
Bid-Ask Spread %8.636.0612.776.0612.77
Gamma HHI0.130.080.200.120.13
Net GEX1.4M-1.4K4.1M504.7K4.1M
Net DEX-16.7M-68.3M54.3M-17.7M-57.2M
Net VEX-830.3K-920.7K-754.3K-780.2K-920.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.167.720.910.94
Total Volume8,381.792532,62710,0984,085
Total OI161,369.55145,912191,008158,810166,352

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$36.00$35.0031.0%10.9%59.8%14.1%38.3%32.4%-19.8%504.7K-17.7M-780.2K0.916.06N/AN/A5,2964,80280,19578,615
2020-05-04$35.93$37.0037.2%11.1%59.9%21.2%38.9%-0.4%-0.3%703.0K-5.6M-791.7K7.728.29N/AN/A9967,68778,10579,462
2020-05-05$36.86$37.0043.0%10.3%57.4%27.7%37.7%13.0%8.4%949.1K-32.7M-803.5K1.8010.09N/AN/A2,7855,00178,50576,518
2020-05-06$35.92$37.0036.1%10.5%57.3%20.0%41.2%9.0%-1.4%821.3K-5.2M-785.4K1.127.85N/AN/A1,3821,54779,57279,445
2020-05-07$37.02$36.0035.7%9.9%56.2%19.4%30.8%1.3%-0.2%837.6K-37.6M-797.9K1.018.34N/AN/A1,4821,50480,00979,788
2020-05-08$38.06$36.0033.6%9.4%55.0%17.1%32.2%7.4%1.0%840.3K-68.3M-798.3K0.179.45N/AN/A6,5921,08980,65480,960
2020-05-11$37.86$37.0035.4%9.5%51.7%19.1%30.9%24.3%-1.2%664.7K-62.9M-786.7K0.1610.42N/AN/A5,27886681,95679,418
2020-05-12$37.11$37.0037.0%9.7%51.9%20.9%33.1%16.9%-1.7%1.0M-40.5M-781.6K0.496.43N/AN/A62230385,09879,537
2020-05-13$35.69$37.0062.4%11.1%52.8%49.6%37.2%22.9%-14.6%1.4M3.6M-758.5K0.237.95N/AN/A4,9671,14185,37179,559
2020-05-14$35.47$37.0036.2%11.3%52.5%20.0%39.7%-4.9%5.4%1.8M9.2M-754.3K1.429.54N/AN/A13,45719,17087,00879,813
2020-05-15$34.67$37.0034.6%10.5%44.6%18.2%37.0%-7.0%2.9%-1.4K54.3M-793.4K1.018.77N/AN/A3,3893,42699,04691,962
2020-05-18$36.60$36.0033.0%9.5%48.8%16.4%36.3%8.2%-0.8%2.0M-11.2M-885.0K1.608.15N/AN/A3,5585,70570,94881,841
2020-05-19$35.66$36.0034.3%9.9%44.8%17.9%32.2%8.9%-0.2%615.4K18.5M-861.0K0.3110.48N/AN/A4,8571,50671,93082,974
2020-05-20$37.30$36.0032.9%9.4%47.4%16.3%32.9%9.3%-0.7%2.0M-29.4M-869.2K0.246.65N/AN/A9,3622,27868,15177,761
2020-05-21$35.41$36.0036.4%10.4%50.6%20.3%36.0%8.7%0.6%764.7K25.1M-843.8K1.099.32N/AN/A8,3799,10874,48878,927
2020-05-22$35.91$36.0035.6%10.2%50.4%19.3%36.4%8.0%-0.2%1.1M13.1M-876.4K1.338.18N/AN/A5,2246,94279,35686,931
2020-05-26$36.26$36.0033.9%9.9%50.5%17.4%34.8%8.1%-0.3%1.8M-2.8M-894.9K0.629.51N/AN/A2,9741,84676,85583,498
2020-05-27$37.03$36.0033.2%9.4%49.9%16.6%34.5%9.0%-0.4%3.1M-31.9M-908.6K0.547.59N/AN/A2,1691,16278,33784,378
2020-05-28$37.58$36.0032.3%9.6%47.1%15.6%32.4%8.7%0.8%3.8M-53.6M-914.9K0.896.80N/AN/A3,0202,67778,77185,297
2020-05-29$37.76$36.0033.2%9.6%47.1%16.6%35.3%9.2%-0.1%4.1M-57.2M-920.7K0.9412.77N/AN/A2,1091,97679,44386,909