BSX Options History — August 2020

In August 2020, BSX traded between $37.16 and $41.18. ATM implied volatility averaged 28.4%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.4% (HV 20d: 28.8%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2020-08-21: Highest Volume — 19,059 contracts
  • 2020-08-27: Largest IV spike — 11.6% change
  • 2020-08-31: Highest IV Rank — 14.9%
  • 2020-08-31: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.21$37.16$41.18$38.16$41.18
Max Pain$38.86$37.00$40.00$37.00$39.00
ATM IV28.4%25.9%31.6%30.5%31.6%
Expected Move8.1%7.2%8.8%8.4%8.8%
HV 20d28.8%23.3%34.0%32.7%24.5%
HV 60d36.7%34.3%40.1%40.0%34.3%
IV Rank11.2%8.3%14.9%13.6%14.9%
IV Percentile46.2%36.9%56.3%52.4%56.3%
Term Structure0.4%-1.2%3.5%-0.2%-0.2%
VWIV28.6%24.7%34.1%29.9%34.1%
Skew 25d5.7%4.5%7.0%6.4%6.7%
Skew 10d14.2%10.5%23.6%13.3%14.2%
Call IV 25d26.2%22.6%28.9%28.5%27.8%
Put IV 25d31.9%28.7%34.9%34.9%34.5%
Bid-Ask Spread %6.144.5610.176.156.45
Gamma HHI0.220.100.620.160.14
Net GEX4.5M-167.0K12.9M2.8M1.9M
Net DEX-37.5M-100.4M25.6M-18.2M-59.5M
Net VEX-800.8K-881.4K-709.8K-881.4K-772.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.022.340.731.52
Total Volume6,656.4292,11219,0595,7844,533
Total OI179,862.286123,276207,301190,090136,249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$38.16$37.0030.5%8.4%32.7%13.6%29.9%6.4%-0.2%2.8M-18.2M-881.4K0.736.15N/AN/A3,3422,44276,922113,168
2020-08-04$37.16$37.5031.2%8.8%33.1%14.3%29.8%5.7%-0.8%1.3M25.6M-870.3K0.514.56N/AN/A1,39971379,125114,869
2020-08-05$37.73$37.5029.4%8.1%33.1%12.4%27.8%5.5%-0.4%2.4M3.8M-863.4K0.784.64N/AN/A1,26098379,388115,248
2020-08-06$37.84$38.0028.4%8.4%33.1%11.2%29.4%6.3%0.2%2.7M-1.7M-856.3K0.155.75N/AN/A2,50337679,580116,026
2020-08-07$38.86$38.0028.6%8.2%34.0%11.5%29.9%5.1%-0.1%6.2M-38.5M-859.7K0.3210.17N/AN/A6,7322,12380,488116,209
2020-08-10$38.97$38.0028.9%8.3%33.8%11.8%29.8%5.9%0.3%4.3M-44.9M-850.2K1.876.78N/AN/A1,5942,98678,502115,181
2020-08-11$39.47$38.0028.6%8.6%33.6%11.4%31.5%5.1%2.6%5.1M-70.4M-848.9K0.228.50N/AN/A5,5521,23979,077115,572
2020-08-12$40.03$38.0027.7%7.8%30.4%10.4%27.8%5.5%-0.4%6.4M-100.4M-822.8K2.175.85N/AN/A1,7383,77679,044116,767
2020-08-13$39.77$40.0028.1%7.9%30.2%10.9%29.0%5.5%-0.6%6.8M-86.5M-827.1K2.144.74N/AN/A1,5593,33881,382119,183
2020-08-14$39.09$40.0028.5%8.1%27.9%11.3%28.4%5.1%-0.0%5.4M-48.3M-824.0K0.105.30N/AN/A5,62458382,129120,849
2020-08-17$39.35$40.0027.9%8.1%26.9%10.6%28.5%5.5%0.5%7.8M-61.1M-781.6K0.395.41N/AN/A1,99577982,295120,174
2020-08-18$39.32$40.0027.3%7.9%26.8%9.9%26.9%6.4%-0.1%9.2M-51.2M-767.7K2.345.93N/AN/A8461,98384,605120,524
2020-08-19$39.41$40.0027.4%7.9%25.3%10.1%27.5%5.4%1.7%10.8M-65.0M-759.2K0.025.64N/AN/A15,34825784,821121,685
2020-08-20$38.97$40.0026.2%7.5%25.6%8.8%25.2%6.2%1.4%4.3M-21.2M-739.3K1.235.54N/AN/A1,4761,82184,986121,358
2020-08-21$38.34$40.0027.4%7.8%26.2%10.1%26.8%4.5%-0.4%116.5K3.4M-709.8K0.095.81N/AN/A17,4801,57985,412121,889
2020-08-24$38.81$39.0027.9%7.6%26.5%10.6%26.5%6.0%-1.2%-167.0K3.1M-730.5K0.406.19N/AN/A5,5172,19044,31078,966
2020-08-25$39.59$39.0025.9%7.2%27.3%8.3%24.7%5.1%1.1%1.1M-18.6M-752.2K0.166.80N/AN/A6,35399646,99280,951
2020-08-26$39.41$39.0026.4%7.9%23.3%8.9%27.6%7.0%3.5%1.1M-18.1M-757.0K0.705.31N/AN/A2,8081,96749,97081,328
2020-08-27$40.92$39.0029.5%8.3%25.3%12.4%30.3%5.8%0.4%2.4M-58.2M-767.0K0.305.99N/AN/A12,4203,75851,37582,151
2020-08-28$41.00$39.0029.0%8.2%25.0%11.9%28.7%6.0%0.0%12.9M-61.9M-775.2K0.517.54N/AN/A3,8481,96954,14084,218
2020-08-31$41.18$39.0031.6%8.8%24.5%14.9%34.1%6.7%-0.2%1.9M-59.5M-772.3K1.526.45N/AN/A1,8002,73351,94384,306