BSX Options History — September 2020

In September 2020, BSX traded between $37.06 and $42.16. ATM implied volatility averaged 32.4%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 8.4% (HV 20d: 23.9%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2020-09-18: Highest Volume — 15,564 contracts
  • 2020-09-30: Largest IV spike — 17.3% change
  • 2020-09-30: Highest IV Rank — 22.6%
  • 2020-09-03: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.74$37.06$42.16$41.44$38.09
Max Pain$39.57$39.00$40.00$39.00$39.00
ATM IV32.4%29.3%38.5%32.6%38.5%
Expected Move8.9%8.3%9.8%8.7%8.7%
HV 20d23.9%21.7%26.8%21.7%23.6%
HV 60d29.6%26.9%34.4%34.4%27.0%
IV Rank15.7%12.2%22.6%16.0%22.6%
IV Percentile56.9%46.0%78.6%58.7%78.6%
Term Structure0.1%-2.8%5.9%-1.9%1.8%
VWIV31.2%28.4%34.3%32.1%30.5%
Skew 25d7.6%3.7%16.1%8.5%16.1%
Skew 10d14.6%4.4%29.6%13.6%11.3%
Call IV 25d29.9%25.1%36.6%26.7%31.5%
Put IV 25d37.5%32.7%47.6%35.2%47.6%
Bid-Ask Spread %12.314.9240.6619.526.29
Gamma HHI0.110.060.300.150.08
Net GEX413.8K-2.9M6.8M2.0M-1.4M
Net DEX-9.8M-82.9M68.7M-62.7M37.3M
Net VEX-740.5K-790.8K-676.5K-786.1K-785.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.142.370.570.61
Total Volume5,876.9052,83915,5643,3565,201
Total OI146,878.905137,939157,065138,444156,114

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$41.44$39.0032.6%8.7%21.7%16.0%32.1%8.5%-1.9%2.0M-62.7M-786.1K0.5719.52N/AN/A2,1321,22452,22886,216
2020-09-02$42.16$39.0032.4%9.3%21.8%15.8%30.2%6.5%0.0%2.0M-82.9M-752.5K0.2740.66N/AN/A3,41490852,48986,940
2020-09-03$41.41$40.0032.4%9.8%23.4%15.7%34.0%8.3%-0.7%1.7M-56.4M-790.8K1.288.99N/AN/A2,4343,11253,66087,722
2020-09-04$41.58$40.0032.0%9.2%21.8%15.3%33.3%4.3%-1.4%2.0M-62.9M-768.0K0.6727.45N/AN/A2,8301,89654,47889,880
2020-09-08$41.08$40.0034.0%9.8%22.5%17.5%34.2%6.4%0.0%1.5M-47.7M-748.4K0.806.76N/AN/A2,5312,02253,46689,856
2020-09-09$41.67$40.0032.3%8.8%22.6%15.7%32.0%6.7%-2.1%2.3M-71.2M-718.9K1.0113.61N/AN/A1,4121,42754,37690,063
2020-09-10$41.06$40.0032.3%9.0%23.0%15.6%32.3%7.9%-1.5%2.4M-51.3M-721.6K1.2022.42N/AN/A2,3922,87354,58290,675
2020-09-11$40.40$40.0031.0%8.7%23.7%14.2%30.3%6.3%-0.9%1.5M-28.9M-732.5K0.727.01N/AN/A2,2141,59355,56092,183
2020-09-14$41.25$40.0029.8%8.5%23.7%12.8%28.4%5.3%1.1%3.6M-63.0M-689.3K0.256.93N/AN/A11,3112,80755,53391,425
2020-09-15$40.95$40.0029.3%8.3%23.9%12.2%28.8%4.7%1.1%6.8M-62.6M-725.2K0.1410.37N/AN/A4,15859764,86092,205
2020-09-16$40.25$40.0029.9%8.6%24.9%12.9%28.6%6.1%0.9%1.1M-16.7M-730.2K0.7525.49N/AN/A2,5451,91760,10392,730
2020-09-17$39.53$40.0031.5%8.6%25.8%14.7%30.0%5.4%0.7%-92.7K5.9M-720.5K0.745.96N/AN/A3,5202,58860,66692,170
2020-09-18$38.61$40.0030.0%8.3%26.8%13.0%28.5%4.9%2.6%-1.7M37.3M-676.5K2.3712.79N/AN/A4,62010,94461,82393,235
2020-09-21$38.40$40.0033.1%8.7%26.3%16.5%29.5%6.5%-2.6%-1.8M34.9M-718.7K1.065.89N/AN/A3,9244,16150,36187,578
2020-09-22$38.51$39.0032.7%8.8%25.9%16.1%30.4%11.1%-2.8%-1.5M27.3M-716.5K1.255.67N/AN/A1,6232,03252,52489,820
2020-09-23$37.77$39.0033.5%9.2%25.6%17.0%32.3%13.5%0.1%-2.2M47.2M-742.8K2.036.96N/AN/A1,0052,03653,63290,536
2020-09-24$37.06$39.0033.8%9.3%26.2%17.3%34.3%9.1%-0.8%-2.9M68.7M-745.8K1.506.66N/AN/A1,5942,38854,28791,916
2020-09-25$37.39$39.0032.9%8.9%22.0%16.3%33.4%7.5%-2.1%-2.9M55.4M-743.6K2.076.64N/AN/A2,2164,59255,06193,271
2020-09-28$38.17$39.0032.7%8.8%23.6%16.1%31.0%3.7%3.6%-1.7M36.3M-757.3K0.447.42N/AN/A3,8711,70454,62893,892
2020-09-29$37.82$39.0032.9%8.9%23.5%16.2%30.9%10.3%5.9%-1.9M49.6M-779.7K0.904.92N/AN/A4,0183,62956,85394,860
2020-09-30$38.09$39.0038.5%8.7%23.6%22.6%30.5%16.1%1.8%-1.4M37.3M-785.5K0.616.29N/AN/A3,2401,96159,74996,365