BSX Options History — May 2021

In May 2021, BSX traded between $41.28 and $43.50. ATM implied volatility averaged 23.4%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.8% (HV 20d: 22.6%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2021-05-24: Highest Volume — 59,357 contracts
  • 2021-05-04: Largest IV spike — 34.6% change
  • 2021-05-10: Highest IV Rank — 18.3%
  • 2021-05-12: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.39$41.28$43.50$43.50$42.56
Max Pain$41.70$38.00$43.00$38.00$42.00
ATM IV23.4%20.6%28.2%20.6%23.6%
Expected Move6.4%5.9%7.4%5.9%6.2%
HV 20d22.6%19.6%26.0%21.8%20.1%
HV 60d22.5%22.0%23.2%22.5%22.1%
IV Rank9.0%0.0%18.3%0.0%12.3%
IV Percentile4.4%0.0%20.2%0.0%4.8%
Term Structure-0.7%-9.6%1.7%-0.6%1.5%
VWIV23.8%21.8%27.4%22.3%22.6%
Skew 25d2.3%-6.2%7.0%3.7%0.1%
Skew 10d6.1%-7.6%19.0%9.3%-3.7%
Call IV 25d23.8%18.0%36.5%19.3%23.9%
Put IV 25d26.2%22.7%31.1%22.9%24.0%
Bid-Ask Spread %35.2217.8359.3458.9132.28
Gamma HHI0.150.080.440.150.17
Net GEX6.9M2.0M19.8M8.4M13.9M
Net DEX-124.8M-179.2M-78.5M-179.2M-153.3M
Net VEX-1.2M-1.6M-1.0M-1.1M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.122.260.890.23
Total Volume11,310.951,64959,3575,65213,561
Total OI198,729156,379231,441191,549231,441

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$43.50$38.0020.6%5.9%21.8%0.0%22.3%3.7%-0.6%8.4M-179.2M-1.1M0.8958.91N/AN/A2,9852,66788,829102,720
2021-05-04$43.22$38.0027.7%6.2%22.1%17.0%24.5%7.0%-9.6%8.4M-166.3M-1.1M1.2732.56N/AN/A2,8443,62589,490104,809
2021-05-05$43.20$38.0022.6%6.2%22.0%4.9%22.4%2.7%-0.9%8.9M-159.8M-1.1M0.8328.29N/AN/A1,3831,15390,270106,585
2021-05-06$42.90$43.0022.9%6.3%22.2%5.6%22.7%3.6%-1.2%9.7M-148.2M-1.1M0.5525.27N/AN/A4,3202,36391,107107,476
2021-05-07$43.11$43.0021.6%6.0%22.0%2.6%21.8%1.5%0.9%19.8M-175.6M-1.1M0.1429.81N/AN/A8,0251,09392,872109,387
2021-05-10$43.38$43.0028.2%6.2%22.0%18.3%22.2%0.7%-8.9%6.9M-165.3M-1.0M0.6417.83N/AN/A1,9531,25786,163104,477
2021-05-11$42.50$43.0023.4%6.6%23.8%6.8%23.0%4.3%-0.9%4.7M-124.0M-1.1M0.9538.22N/AN/A2,2242,11186,281105,439
2021-05-12$41.40$43.0024.2%7.4%26.0%8.6%27.4%-6.2%1.7%2.5M-78.5M-1.2M2.2634.23N/AN/A1,7463,95086,594107,201
2021-05-13$41.81$43.0023.8%6.9%24.1%7.7%25.3%4.6%1.2%3.4M-96.6M-1.2M0.8729.08N/AN/A88176887,044107,933
2021-05-14$41.58$42.0022.1%6.2%24.2%5.9%22.5%0.0%0.8%2.5M-87.1M-1.1M0.6132.72N/AN/A3,6782,25487,066107,989
2021-05-17$41.72$42.0022.4%6.4%24.1%7.5%26.2%3.7%0.5%2.6M-89.6M-1.1M0.3240.17N/AN/A12,0783,88384,986105,643
2021-05-18$41.88$42.0021.0%6.1%24.1%1.8%21.8%4.9%-0.5%3.5M-107.6M-1.2M0.6943.59N/AN/A1,39095993,672107,963
2021-05-19$41.28$42.0023.8%6.8%22.4%12.8%23.4%3.5%-1.1%2.0M-83.4M-1.2M0.5532.49N/AN/A1,31873094,385108,537
2021-05-20$41.95$42.0021.5%6.1%22.9%3.6%24.9%3.0%1.5%3.1M-111.9M-1.2M1.1631.72N/AN/A1,5221,75894,886108,990
2021-05-21$42.15$42.0022.2%6.3%23.0%6.6%22.9%2.7%0.3%3.1M-122.9M-1.2M0.2159.34N/AN/A15,0283,14795,276110,486
2021-05-24$42.83$42.0023.7%6.8%23.4%12.7%25.3%1.8%-0.0%4.1M-85.6M-1.3M0.1241.45N/AN/A52,9616,39675,34681,033
2021-05-25$43.01$42.0023.8%6.7%23.4%13.0%24.4%5.9%0.4%10.9M-142.3M-1.4M0.1823.53N/AN/A17,1033,046110,89886,826
2021-05-26$41.89$42.0024.9%7.0%19.6%17.6%26.4%-0.8%-1.8%8.2M-100.0M-1.5M0.2127.68N/AN/A23,4454,842121,47689,485
2021-05-27$41.98$42.0024.3%6.4%19.6%15.1%24.4%0.0%1.6%10.8M-119.5M-1.6M0.5145.19N/AN/A7,8193,953131,38692,133
2021-05-28$42.56$42.0023.6%6.2%20.1%12.3%22.6%0.1%1.5%13.9M-153.3M-1.6M0.2332.28N/AN/A11,0172,544136,23195,210