BSX Options History — June 2020 In June 2020, BSX traded between $33.39 and $39.02. ATM implied volatility averaged 38.1%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 5.8% (HV 20d: 43.9%). Max pain ranged from $35.50 to $36.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.06.
Notable Days 2020-06-26 : Highest Volume — 22,649 contracts2020-06-11 : Largest IV spike — 18.8% change2020-06-26 : Highest IV Rank — 30.5%2020-06-26 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $36.37 $33.39 $39.02 $37.59 $35.10 Max Pain $35.95 $35.50 $36.00 $36.00 $35.50 ATM IV 38.1% 30.8% 45.5% 33.9% 39.7% Expected Move 10.8% 8.8% 12.7% 10.1% 10.8% HV 20d 43.9% 37.2% 49.4% 44.2% 46.5% HV 60d 59.0% 50.0% 69.6% 69.6% 50.3% IV Rank 22.2% 14.0% 30.5% 17.4% 23.9% IV Percentile 80.4% 67.9% 87.3% 78.2% 80.6% Term Structure 0.2% -1.5% 2.5% -0.3% -1.5% VWIV 37.9% 30.7% 42.9% 37.4% 36.9% Skew 25d 6.8% 5.1% 8.6% 8.6% 7.1% Skew 10d 14.6% 7.6% 19.3% 19.3% 15.1% Call IV 25d 35.6% 28.1% 43.1% 30.2% 37.2% Put IV 25d 42.5% 34.6% 50.5% 38.8% 44.3% Bid-Ask Spread % 8.15 5.31 13.73 7.50 7.20 Gamma HHI 0.17 0.10 0.46 0.14 0.11 Net GEX 3.4M -1.0M 10.6M 3.5M 1.3M Net DEX -8.6M -119.3M 84.8M -45.2M 45.6M Net VEX -899.3K -1.0M -808.8K -905.6K -1.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.09 4.67 1.45 1.36 Total Volume 9,282.318 1,953 22,649 2,857 5,794 Total OI 175,312.955 149,668 200,049 162,763 200,049
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 2020-06-01 $37.59 $36.00 33.9% 10.1% 44.2% 17.4% 37.4% 8.6% -0.3% 3.5M -45.2M -905.6K 1.45 7.50 N/A N/A 1,166 1,691 77,390 85,373 2020-06-02 $37.49 $36.00 33.1% 9.7% 44.2% 16.5% 35.6% 7.5% -0.4% 3.7M -40.4M -902.2K 1.55 6.28 N/A N/A 875 1,359 77,950 86,659 2020-06-03 $37.91 $36.00 30.9% 9.1% 43.5% 14.0% 35.6% 8.3% 0.1% 4.4M -54.3M -892.2K 1.05 7.97 N/A N/A 1,683 1,771 78,371 86,880 2020-06-04 $37.30 $36.00 32.6% 9.4% 42.8% 15.9% 33.6% 6.7% -0.2% 6.3M -42.5M -893.3K 0.64 7.11 N/A N/A 10,809 6,966 85,299 88,336 2020-06-05 $38.84 $36.00 30.8% 8.8% 43.9% 14.0% 30.7% 5.9% -0.6% 6.7M -119.3M -879.9K 0.15 7.41 N/A N/A 8,729 1,325 85,980 89,922 2020-06-08 $39.02 $36.00 33.8% 9.6% 42.9% 17.3% 32.0% 6.6% -0.3% 5.5M -102.7M -874.5K 0.25 9.64 N/A N/A 3,438 864 80,657 88,910 2020-06-09 $38.28 $36.00 34.7% 10.1% 43.4% 18.4% 33.5% 5.8% 0.6% 5.1M -75.2M -882.5K 0.36 8.41 N/A N/A 1,434 519 82,066 89,331 2020-06-10 $37.69 $36.00 34.5% 9.7% 43.2% 18.1% 33.2% 5.6% -0.6% 5.3M -52.2M -855.6K 0.53 7.64 N/A N/A 1,944 1,035 82,770 89,547 2020-06-11 $34.92 $36.00 41.0% 11.9% 49.3% 25.4% 41.6% 7.9% 0.8% -883.9K 54.6M -808.8K 1.37 6.74 N/A N/A 6,370 8,734 83,064 90,006 2020-06-12 $35.24 $36.00 42.6% 12.1% 49.4% 27.3% 42.2% 7.9% -0.2% -224.0K 44.6M -895.1K 0.39 13.73 N/A N/A 4,886 1,926 88,100 95,335 2020-06-15 $35.72 $36.00 41.0% 11.7% 48.9% 25.4% 41.4% 6.6% 1.9% 1.6M 18.2M -889.7K 1.25 11.85 N/A N/A 3,766 4,711 87,181 94,319 2020-06-16 $36.61 $36.00 40.1% 11.5% 45.7% 24.4% 40.1% 7.9% 2.1% 5.0M -21.5M -927.4K 0.38 9.53 N/A N/A 4,512 1,722 89,668 95,037 2020-06-17 $36.88 $36.00 39.6% 11.3% 44.7% 23.8% 39.5% 7.5% 1.3% 7.1M -33.7M -923.3K 0.82 5.56 N/A N/A 1,190 981 91,564 95,849 2020-06-18 $36.58 $36.00 39.2% 11.1% 41.8% 23.4% 41.0% 6.9% 2.5% 9.1M -17.8M -910.8K 1.32 5.31 N/A N/A 2,143 2,835 91,782 96,698 2020-06-19 $36.85 $36.00 38.4% 10.9% 37.2% 22.5% 40.1% 6.0% 1.5% 10.6M -33.1M -894.3K 0.27 6.34 N/A N/A 17,177 4,613 92,342 97,140 2020-06-22 $35.91 $36.00 39.7% 11.2% 38.2% 24.0% 39.2% 5.1% -0.3% 737.9K 16.2M -873.9K 0.09 7.16 N/A N/A 15,681 1,334 69,634 80,034 2020-06-23 $36.35 $36.00 38.7% 10.6% 38.3% 22.8% 36.5% 6.4% 0.5% 1.7M -1.9M -925.8K 1.09 7.19 N/A N/A 6,325 6,870 77,071 80,774 2020-06-24 $33.97 $36.00 44.2% 12.3% 44.3% 29.0% 42.9% 6.9% -0.8% -88.8K 62.0M -857.4K 1.74 11.09 N/A N/A 5,884 10,224 80,867 82,945 2020-06-25 $33.91 $36.00 43.6% 12.1% 43.8% 28.3% 41.3% 6.4% -0.1% -310.8K 70.7M -896.3K 1.26 5.55 N/A N/A 2,447 3,080 84,194 91,066 2020-06-26 $33.39 $36.00 45.5% 12.7% 43.8% 30.5% 40.9% 7.4% -0.7% -1.0M 84.8M -901.4K 1.21 12.66 N/A N/A 10,267 12,382 84,341 93,114 2020-06-29 $34.48 $35.50 41.3% 11.4% 45.8% 25.7% 38.5% 5.7% -0.8% 817.2K 54.5M -957.0K 4.67 7.51 N/A N/A 2,248 10,501 91,023 98,247 2020-06-30 $35.10 $35.50 39.7% 10.8% 46.5% 23.9% 36.9% 7.1% -1.5% 1.3M 45.6M -1.0M 1.36 7.20 N/A N/A 2,451 3,343 91,606 108,443
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