BSX Options History — July 2021

In July 2021, BSX traded between $41.11 and $45.57. ATM implied volatility averaged 26.9%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.9% (HV 20d: 19.0%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2021-07-27: Highest Volume — 16,942 contracts
  • 2021-07-07: Largest IV spike — 23.4% change
  • 2021-07-07: Highest IV Rank — 57.4%
  • 2021-07-23: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.63$41.11$45.57$43.40$45.57
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV26.9%21.5%33.7%27.3%21.5%
Expected Move7.2%5.4%8.5%5.9%6.7%
HV 20d19.0%12.9%26.6%13.2%25.7%
HV 60d20.7%19.5%21.9%20.3%21.4%
IV Rank29.9%8.4%57.4%31.5%8.4%
IV Percentile28.3%3.6%77.8%25.8%3.6%
Term Structure-1.1%-8.2%4.2%-1.4%-0.9%
VWIV26.7%19.7%33.6%21.4%23.3%
Skew 25d1.3%-12.0%7.0%0.3%3.0%
Skew 10d0.3%-16.3%14.4%-0.3%3.6%
Call IV 25d29.0%19.9%50.0%28.6%21.9%
Put IV 25d30.3%25.0%52.7%28.8%25.0%
Bid-Ask Spread %44.1821.7671.6141.1259.35
Gamma HHI0.130.090.160.120.13
Net GEX6.6M531.8K11.9M9.3M8.8M
Net DEX-125.8M-214.1M-18.7M-135.4M-214.1M
Net VEX-1.4M-1.5M-1.3M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.093.220.990.90
Total Volume5,710.0951,70716,9429,5814,660
Total OI218,302.667194,428235,323226,793218,338

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$43.40$42.0027.3%5.9%13.2%31.5%21.4%0.3%-1.4%9.3M-135.4M-1.5M0.9941.12N/AN/A4,8194,762123,552103,241
2021-07-02$43.93$42.0026.8%5.4%12.9%29.4%19.7%0.7%-1.9%11.9M-157.5M-1.5M0.5854.82N/AN/A1,622940125,580107,219
2021-07-06$43.59$42.0027.3%7.3%13.3%31.7%27.0%-2.4%-1.2%9.7M-146.9M-1.4M3.2245.48N/AN/A1,4744,749122,684106,778
2021-07-07$43.89$42.0033.7%7.5%13.4%57.4%29.7%2.7%-8.2%10.5M-152.9M-1.5M0.5651.67N/AN/A1,9711,107123,236110,973
2021-07-08$43.16$42.0029.4%7.6%14.9%39.9%29.2%-4.6%-3.4%7.7M-120.0M-1.5M2.4653.80N/AN/A1,1522,829122,872111,701
2021-07-09$43.56$42.0028.3%7.3%14.8%35.6%26.2%-0.2%-1.3%10.9M-127.3M-1.5M0.4455.50N/AN/A2,4261,069123,208112,115
2021-07-12$43.51$42.0027.4%7.3%14.8%32.1%26.0%2.5%-1.7%10.0M-123.9M-1.4M1.1234.63N/AN/A823921120,455109,105
2021-07-13$43.15$42.0027.6%7.1%14.7%32.5%29.1%3.0%-1.6%7.2M-112.2M-1.4M0.1425.64N/AN/A1,758247120,639109,775
2021-07-14$42.74$42.0027.4%7.1%15.0%31.7%25.9%0.8%-2.1%4.3M-83.8M-1.4M0.9326.68N/AN/A886821120,444109,800
2021-07-15$42.09$42.0027.1%7.2%16.0%30.5%28.5%1.8%-1.8%1.3M-46.4M-1.4M1.7621.76N/AN/A1,6482,895120,366110,114
2021-07-16$42.16$42.0024.8%7.0%15.1%21.4%25.5%-12.0%1.6%1.0M-52.9M-1.4M0.6433.45N/AN/A5,9453,781119,879112,061
2021-07-19$41.11$42.0028.2%7.9%17.3%35.3%29.4%5.4%2.1%531.8K-18.7M-1.4M0.8444.38N/AN/A2,4322,05090,341104,087
2021-07-20$42.85$42.0027.3%7.7%23.0%31.4%26.5%2.2%0.2%3.0M-79.1M-1.4M0.1237.75N/AN/A6,54275691,542104,692
2021-07-21$43.52$42.0027.4%7.8%23.6%31.8%30.4%-0.9%-1.3%5.8M-118.4M-1.4M0.2526.06N/AN/A4,4111,11196,282105,225
2021-07-22$43.55$42.0027.0%7.8%23.6%30.4%28.7%2.9%-1.0%5.8M-115.9M-1.4M1.2731.74N/AN/A1,1381,44895,520106,381
2021-07-23$44.16$42.0029.2%8.5%24.1%39.2%27.8%3.6%-4.4%5.4M-144.7M-1.3M0.3349.22N/AN/A2,94398495,507107,515
2021-07-26$43.98$42.0027.6%8.3%24.1%32.9%33.6%4.0%0.0%4.4M-122.5M-1.4M1.6837.45N/AN/A4,4577,48393,072105,584
2021-07-27$45.56$42.0023.1%6.6%26.6%14.8%24.2%3.1%0.7%6.5M-187.5M-1.3M0.2162.06N/AN/A13,9552,98794,710106,236
2021-07-28$45.50$42.0023.6%6.7%26.5%16.8%25.2%3.8%4.2%6.6M-192.0M-1.3M0.0971.61N/AN/A8,82876497,424112,474
2021-07-29$45.33$42.0022.8%6.3%26.1%13.4%23.2%7.0%0.2%7.9M-189.5M-1.3M0.7263.54N/AN/A2,5051,81399,781113,848
2021-07-30$45.57$42.0021.5%6.7%25.7%8.4%23.3%3.0%-0.9%8.8M-214.1M-1.3M0.9059.35N/AN/A2,4542,206103,918114,420