BSX Options History — July 2020 In July 2020, BSX traded between $34.42 and $39.84. ATM implied volatility averaged 35.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 1.6% (HV 20d: 36.9%). Max pain ranged from $35.50 to $37.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.24.
Notable Days 2020-07-15 : Highest Volume — 18,460 contracts2020-07-29 : Largest IV drop — 10.5% change2020-07-13 : Highest IV Rank — 22.3%2020-07-13 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $36.77 $34.42 $39.84 $35.38 $38.55 Max Pain $36.27 $35.50 $37.00 $35.50 $37.00 ATM IV 35.3% 28.9% 38.2% 38.2% 30.9% Expected Move 10.0% 8.2% 11.0% 10.1% 8.9% HV 20d 36.9% 27.8% 46.4% 46.4% 32.3% HV 60d 43.5% 39.9% 49.0% 49.0% 40.4% IV Rank 19.0% 11.8% 22.3% 22.3% 14.0% IV Percentile 70.1% 51.2% 78.2% 78.2% 54.0% Term Structure -0.5% -1.9% 0.7% -0.4% 0.2% VWIV 35.2% 30.2% 40.9% 36.8% 31.2% Skew 25d 6.0% 4.9% 7.2% 6.3% 6.2% Skew 10d 13.3% 10.0% 15.8% 13.5% 15.4% Call IV 25d 33.0% 26.7% 36.2% 35.7% 29.1% Put IV 25d 39.0% 32.1% 42.7% 42.1% 35.3% Bid-Ask Spread % 5.92 4.39 9.82 6.82 6.01 Gamma HHI 0.14 0.11 0.22 0.11 0.17 Net GEX 1.7M -1.1M 4.7M 2.0M 1.9M Net DEX 3.9M -97.0M 90.1M 39.3M -32.9M Net VEX -969.8K -1.0M -915.4K -1.0M -926.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.09 3.88 0.50 0.90 Total Volume 7,157.318 2,258 18,460 2,633 3,606 Total OI 197,868.364 181,057 214,176 203,368 196,201
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 2020-07-01 $35.38 $35.50 38.2% 10.1% 46.4% 22.3% 36.8% 6.3% -0.4% 2.0M 39.3M -1.0M 0.50 6.82 N/A N/A 1,755 878 91,958 111,410 2020-07-02 $35.49 $35.50 35.8% 9.2% 46.2% 19.5% 32.6% 5.0% -0.6% 718.9K 36.1M -1.0M 2.16 8.46 N/A N/A 2,497 5,392 92,386 112,179 2020-07-06 $35.46 $36.00 35.6% 10.2% 43.3% 19.4% 38.2% 5.3% -0.1% 572.8K 42.3M -984.9K 3.88 7.40 N/A N/A 2,725 10,582 88,258 109,810 2020-07-07 $34.67 $36.00 37.2% 10.3% 43.6% 21.1% 38.3% 5.3% -0.9% -392.8K 70.8M -952.7K 2.98 4.78 N/A N/A 790 2,355 88,652 108,960 2020-07-08 $34.42 $36.00 36.8% 10.6% 43.4% 20.7% 33.6% 6.8% -0.4% -864.9K 86.2M -930.3K 1.80 5.85 N/A N/A 2,504 4,506 88,839 110,177 2020-07-09 $34.47 $36.00 38.0% 10.7% 43.3% 22.0% 37.0% 6.0% -0.5% -1.0M 90.1M -944.9K 1.72 4.76 N/A N/A 2,054 3,529 90,201 113,756 2020-07-10 $34.58 $36.00 37.4% 10.2% 33.9% 21.3% 37.4% 6.3% -0.1% -869.3K 82.0M -970.3K 0.27 4.70 N/A N/A 1,950 529 91,620 115,295 2020-07-13 $34.45 $36.00 38.2% 11.0% 33.8% 22.3% 37.0% 5.3% 0.7% -1.1M 86.1M -938.7K 1.01 6.06 N/A N/A 3,231 3,255 91,087 114,739 2020-07-14 $35.09 $36.00 38.0% 10.7% 34.1% 22.0% 36.0% 7.2% -0.9% 536.3K 63.0M -966.4K 0.39 4.67 N/A N/A 2,672 1,029 92,865 117,013 2020-07-15 $36.72 $36.00 37.5% 10.2% 36.8% 21.5% 35.7% 7.2% -1.9% 3.1M -13.3M -1.0M 0.71 4.80 N/A N/A 10,800 7,660 94,007 117,518 2020-07-16 $36.35 $36.00 37.6% 10.6% 36.9% 21.6% 38.7% 6.4% -1.0% 3.2M 609.5K -989.0K 0.70 6.08 N/A N/A 2,595 1,806 95,791 118,183 2020-07-17 $37.86 $36.00 35.9% 10.0% 39.6% 19.6% 34.1% 6.5% -1.2% 3.6M -69.0M -998.1K 0.09 9.21 N/A N/A 7,633 696 95,720 118,456 2020-07-20 $37.16 $36.00 34.8% 9.9% 40.2% 18.5% 33.5% 6.1% 0.1% 1.1M 1.7M -974.1K 0.88 6.52 N/A N/A 2,405 2,106 74,297 106,760 2020-07-21 $37.51 $36.00 35.5% 10.1% 39.0% 19.3% 40.9% 6.2% -0.4% 1.5M -9.5M -991.0K 3.11 4.73 N/A N/A 3,847 11,982 75,360 107,747 2020-07-22 $38.51 $36.00 34.7% 9.9% 39.8% 18.3% 34.5% 5.7% -0.9% 2.9M -52.7M -991.0K 0.61 5.14 N/A N/A 4,364 2,643 79,238 107,936 2020-07-23 $38.34 $37.00 34.7% 10.0% 30.1% 18.3% 33.8% 5.8% -0.3% 2.9M -48.5M -992.9K 0.48 5.26 N/A N/A 3,939 1,910 81,171 110,016 2020-07-24 $38.58 $37.00 34.8% 10.1% 29.9% 18.4% 34.8% 6.3% -1.1% 3.1M -52.7M -990.9K 0.40 5.19 N/A N/A 3,006 1,209 79,591 110,046 2020-07-27 $38.42 $37.00 33.9% 9.9% 29.1% 17.4% 33.6% 5.2% -0.6% 2.7M -42.6M -941.4K 0.35 4.52 N/A N/A 1,668 590 76,528 108,548 2020-07-28 $38.28 $37.00 32.3% 9.4% 27.8% 15.6% 34.4% 4.9% -0.2% 3.1M -38.7M -917.3K 1.50 5.06 N/A N/A 3,773 5,658 77,963 107,972 2020-07-29 $39.84 $37.00 28.9% 8.2% 30.1% 11.8% 30.2% 5.4% -1.0% 4.7M -97.0M -915.4K 2.24 9.82 N/A N/A 5,175 11,605 79,218 111,867 2020-07-30 $38.91 $37.00 30.6% 8.9% 31.9% 13.7% 32.2% 5.5% 0.2% 4.6M -55.2M -928.8K 0.54 4.39 N/A N/A 2,952 1,600 79,468 114,297 2020-07-31 $38.55 $37.00 30.9% 8.9% 32.3% 14.0% 31.2% 6.2% 0.2% 1.9M -32.9M -926.5K 0.90 6.01 N/A N/A 1,901 1,705 80,277 115,924
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