BSX Options History — March 2021

In March 2021, BSX traded between $37.25 and $39.73. ATM implied volatility averaged 31.9%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.0% (HV 20d: 25.9%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.02.

Notable Days

2021-03-19: Highest Volume — 20,186 contracts
2021-03-23: Largest IV spike — 61.2% change
2021-03-24: Highest IV Rank — 33.3%
2021-03-04: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.67	$37.25	$39.73	$38.88	$38.75
Max Pain	$38.52	$37.00	$39.00	$37.00	$38.00
ATM IV	31.9%	23.8%	44.1%	27.9%	28.1%
Expected Move	7.7%	6.5%	9.4%	7.7%	6.5%
HV 20d	25.9%	23.2%	27.4%	24.0%	25.8%
HV 60d	24.5%	22.8%	25.2%	23.0%	24.7%
IV Rank	9.8%	0.0%	33.3%	2.5%	8.8%
IV Percentile	31.6%	0.0%	90.9%	6.0%	9.1%
Term Structure	0.6%	-16.5%	16.5%	13.0%	-3.4%
VWIV	27.1%	22.2%	33.6%	27.1%	22.2%
Skew 25d	7.2%	-3.8%	20.0%	11.1%	4.0%
Skew 10d	12.9%	-6.1%	36.0%	13.1%	-3.8%
Call IV 25d	30.6%	21.4%	51.5%	27.8%	23.6%
Put IV 25d	37.8%	26.5%	61.9%	38.9%	27.7%
Bid-Ask Spread %	54.94	20.99	123.31	66.45	30.74
Gamma HHI	0.10	0.08	0.13	0.08	0.10
Net GEX	2.4M	-360.7K	5.4M	919.7K	2.7M
Net DEX	-52.6M	-96.3M	-7.9M	-49.6M	-44.1M
Net VEX	-1.2M	-1.3M	-1.1M	-1.1M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.06	3.41	0.06	2.04
Total Volume	5,558.783	1,197	20,186	20,043	5,132
Total OI	158,478.261	135,669	169,666	135,669	163,507

Daily Data (23 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
2021-03-01	$38.88	$37.00	27.9%	7.7%	24.0%	2.5%	27.1%	11.1%	13.0%	919.7K	-49.6M	-1.1M	0.06	66.45	N/A	N/A	18,951	1,092	61,999	73,670
2021-03-02	$38.84	$37.00	27.9%	7.7%	23.9%	2.5%	27.4%	6.8%	4.7%	3.0M	-64.4M	-1.2M	0.13	54.32	N/A	N/A	4,953	661	75,738	74,612
2021-03-03	$38.84	$37.00	29.6%	8.7%	23.2%	4.6%	28.0%	8.1%	2.0%	3.4M	-64.8M	-1.2M	0.47	82.46	N/A	N/A	1,864	878	77,955	75,099
2021-03-04	$37.82	$39.00	43.2%	9.4%	24.4%	21.4%	32.6%	20.0%	-7.7%	1.3M	-36.3M	-1.1M	0.51	123.31	N/A	N/A	2,243	1,144	78,203	75,846
2021-03-05	$39.59	$39.00	28.0%	8.1%	27.0%	2.7%	25.9%	8.0%	-2.6%	4.5M	-85.1M	-1.2M	0.36	81.99	N/A	N/A	5,253	1,899	78,537	76,228
2021-03-08	$39.59	$39.00	35.5%	8.4%	26.9%	11.9%	33.6%	15.9%	-5.0%	4.4M	-90.7M	-1.3M	0.67	61.52	N/A	N/A	4,967	3,330	83,372	74,988
2021-03-09	$39.73	$39.00	43.1%	8.4%	26.7%	21.3%	27.2%	9.6%	-16.5%	5.1M	-96.3M	-1.3M	0.23	56.17	N/A	N/A	3,247	746	84,831	77,780
2021-03-10	$39.34	$39.00	42.5%	7.9%	26.6%	20.4%	27.4%	15.2%	-15.7%	4.7M	-76.5M	-1.2M	0.52	42.07	N/A	N/A	787	410	84,891	78,333
2021-03-11	$38.75	$39.00	29.0%	7.7%	27.1%	3.8%	31.1%	-3.8%	-1.7%	3.0M	-66.3M	-1.3M	0.73	42.74	N/A	N/A	1,691	1,241	85,081	78,655
2021-03-12	$38.86	$39.00	28.0%	7.8%	27.1%	2.7%	27.9%	8.0%	-0.5%	3.7M	-61.5M	-1.2M	3.41	31.07	N/A	N/A	598	2,041	85,506	79,495
2021-03-15	$39.35	$39.00	28.4%	8.1%	27.2%	3.1%	28.8%	1.4%	8.7%	5.4M	-79.2M	-1.2M	0.70	46.75	N/A	N/A	1,009	709	85,058	79,101
2021-03-16	$38.89	$39.00	26.2%	7.5%	27.1%	0.4%	26.9%	2.7%	3.4%	4.0M	-66.4M	-1.2M	3.04	42.57	N/A	N/A	1,172	3,568	85,204	79,437
2021-03-17	$38.85	$39.00	25.4%	7.3%	26.7%	0.0%	26.7%	2.2%	0.1%	3.8M	-62.0M	-1.2M	1.02	57.61	N/A	N/A	2,987	3,049	85,291	80,536
2021-03-18	$38.26	$39.00	29.3%	7.5%	27.4%	4.8%	27.1%	6.1%	13.3%	-360.7K	-39.8M	-1.2M	0.60	38.67	N/A	N/A	1,506	908	85,270	83,054
2021-03-19	$38.53	$39.00	32.8%	8.4%	27.3%	9.1%	27.1%	-0.1%	8.5%	436.0K	-46.9M	-1.2M	1.10	56.03	N/A	N/A	9,599	10,587	86,040	83,626
2021-03-22	$38.30	$39.00	23.8%	6.9%	24.5%	0.0%	24.1%	2.4%	-1.7%	1.1M	-33.3M	-1.1M	0.49	37.61	N/A	N/A	1,595	774	74,314	75,717
2021-03-23	$37.25	$39.00	38.3%	7.1%	26.1%	23.8%	24.4%	12.0%	3.4%	-139.7K	-7.9M	-1.1M	2.25	73.43	N/A	N/A	1,650	3,707	75,166	76,137
2021-03-24	$37.62	$39.00	44.1%	7.5%	25.1%	33.3%	26.1%	12.2%	-9.2%	72.5K	-11.2M	-1.1M	0.15	75.56	N/A	N/A	5,024	733	75,976	78,950
2021-03-25	$37.86	$38.00	28.2%	7.3%	25.3%	7.2%	25.3%	6.9%	16.5%	208.6K	-14.6M	-1.1M	2.84	58.84	N/A	N/A	925	2,628	75,866	79,445
2021-03-26	$37.98	$38.00	27.6%	7.2%	24.9%	6.1%	25.3%	16.4%	7.1%	17.9K	-23.9M	-1.1M	0.39	60.01	N/A	N/A	3,489	1,350	74,762	82,375
2021-03-29	$38.57	$38.00	29.4%	7.6%	25.5%	9.1%	26.0%	-0.6%	1.1%	1.7M	-37.6M	-1.1M	1.12	22.64	N/A	N/A	2,674	2,998	77,248	79,778
2021-03-30	$38.92	$38.00	36.6%	7.3%	25.8%	26.2%	23.8%	0.4%	-2.9%	2.7M	-52.4M	-1.1M	0.61	20.99	N/A	N/A	1,294	789	78,969	83,354
2021-03-31	$38.75	$38.00	28.1%	6.5%	25.8%	8.8%	22.2%	4.0%	-3.4%	2.7M	-44.1M	-1.1M	2.04	30.74	N/A	N/A	1,686	3,446	79,554	83,953