BSX Options History — June 2021

In June 2021, BSX traded between $41.43 and $44.01. ATM implied volatility averaged 22.9%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.5% (HV 20d: 20.4%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2021-06-18: Highest Volume — 24,932 contracts
  • 2021-06-25: Largest IV spike — 24.6% change
  • 2021-06-30: Highest IV Rank — 36.1%
  • 2021-06-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.88$41.43$44.01$43.02$42.75
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV22.9%19.5%28.4%26.1%28.4%
Expected Move6.2%5.6%6.8%6.6%6.0%
HV 20d20.4%12.6%24.1%20.5%12.6%
HV 60d20.6%19.8%21.5%20.3%20.2%
IV Rank11.5%0.0%36.1%22.3%36.1%
IV Percentile7.6%0.0%35.7%12.7%35.7%
Term Structure-0.1%-11.9%4.3%-7.2%-11.9%
VWIV23.2%21.9%29.3%23.5%23.5%
Skew 25d0.8%-8.8%6.6%0.9%0.4%
Skew 10d2.6%-17.0%21.7%-0.9%-0.2%
Call IV 25d25.1%20.3%35.1%24.6%28.5%
Put IV 25d25.8%22.6%32.8%25.5%28.9%
Bid-Ask Spread %35.8316.6474.2933.3524.95
Gamma HHI0.180.120.300.200.12
Net GEX12.5M7.0M20.8M16.9M7.0M
Net DEX-139.6M-179.2M-73.8M-179.2M-103.0M
Net VEX-1.5M-1.6M-1.5M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.183.270.533.27
Total Volume8,9612,95924,9325,95410,270
Total OI232,760.545207,333249,425230,628224,465

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$43.02$42.0026.1%6.6%20.5%22.3%23.5%0.9%-7.2%16.9M-179.2M-1.6M0.5333.35N/AN/A3,8832,071138,14792,481
2021-06-02$41.64$42.0023.7%6.8%23.4%12.4%24.9%3.4%-0.8%10.0M-86.9M-1.6M0.2345.55N/AN/A16,7243,903138,35493,372
2021-06-03$41.43$42.0023.1%6.8%23.4%10.1%23.3%2.3%-0.4%8.2M-73.8M-1.6M1.0232.05N/AN/A4,2474,316144,32994,805
2021-06-04$42.07$42.0022.6%6.5%24.1%8.0%23.1%2.5%-0.4%11.9M-123.7M-1.6M0.2931.33N/AN/A3,052887145,64796,050
2021-06-07$42.06$42.0022.4%6.3%24.1%7.5%23.5%2.3%-0.7%10.6M-105.7M-1.5M0.3120.73N/AN/A3,8301,185143,66194,821
2021-06-08$42.02$42.0022.4%6.6%23.9%7.2%23.5%2.0%1.1%10.4M-109.4M-1.5M0.4632.49N/AN/A3,5611,648144,84394,538
2021-06-09$42.30$42.0022.2%6.6%23.0%6.5%23.3%3.6%0.7%12.2M-114.6M-1.5M0.6419.87N/AN/A3,5862,286145,13794,946
2021-06-10$42.72$42.0021.4%6.3%21.0%3.3%21.9%5.6%0.7%15.3M-145.2M-1.6M0.2121.28N/AN/A7,8141,628145,15795,985
2021-06-11$42.84$42.0020.2%5.9%20.8%0.0%22.0%2.3%0.1%17.1M-153.4M-1.5M0.6552.33N/AN/A2,9441,908147,23197,134
2021-06-14$42.45$42.0021.2%6.1%21.0%3.9%22.1%1.6%-0.6%13.0M-116.4M-1.5M0.3816.64N/AN/A5,4682,055143,88396,739
2021-06-15$42.72$42.0021.2%6.1%21.1%4.0%22.6%1.7%0.7%15.0M-135.1M-1.5M1.0246.70N/AN/A4,0154,103146,11897,671
2021-06-16$42.77$42.0019.6%5.6%21.1%0.0%22.4%2.9%-0.3%16.0M-136.8M-1.5M0.4064.09N/AN/A2,4901,005147,301101,226
2021-06-17$43.35$42.0021.6%6.1%20.7%7.8%22.1%1.9%0.1%20.8M-173.6M-1.5M0.4039.64N/AN/A5,5882,231147,775100,950
2021-06-18$43.20$42.0023.8%6.6%20.1%16.5%29.3%-1.8%2.3%10.6M-161.5M-1.5M0.1862.36N/AN/A21,1963,736146,919102,506
2021-06-21$43.65$42.0023.7%6.6%20.3%16.0%23.6%6.6%4.3%10.5M-171.7M-1.5M0.3025.19N/AN/A11,8933,559116,11291,221
2021-06-22$43.89$42.0023.3%6.0%19.7%14.5%22.9%-2.3%2.7%12.0M-173.0M-1.5M0.4374.29N/AN/A8,1573,514122,03391,069
2021-06-23$43.88$42.0023.9%5.9%19.7%16.9%22.0%-4.9%1.8%12.7M-178.2M-1.5M0.9022.10N/AN/A7,0416,353123,38092,849
2021-06-24$43.80$42.0019.5%5.9%16.9%0.0%22.0%-3.6%4.1%12.4M-172.5M-1.5M2.5420.47N/AN/A1,9154,872124,46993,581
2021-06-25$44.01$42.0024.2%5.7%16.9%18.4%22.0%-8.8%2.1%13.1M-175.2M-1.5M0.4431.45N/AN/A2,055904123,53398,221
2021-06-28$43.43$42.0024.6%6.1%17.2%19.9%22.5%-2.5%0.3%9.9M-144.6M-1.5M0.6236.78N/AN/A2,2111,365122,02597,550
2021-06-29$43.26$42.0024.8%6.2%16.9%21.6%24.1%0.7%-1.6%9.2M-138.3M-1.5M1.5334.63N/AN/A4,6207,053124,26598,233
2021-06-30$42.75$42.0028.4%6.0%12.6%36.1%23.5%0.4%-11.9%7.0M-103.0M-1.5M3.2724.95N/AN/A2,4047,866123,570100,895