BSX Options History — August 2021

In August 2021, BSX traded between $42.75 and $45.89. ATM implied volatility averaged 22.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.0% (HV 20d: 24.7%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2021-08-10: Highest Volume — 29,676 contracts
  • 2021-08-04: Largest IV spike — 23.8% change
  • 2021-08-20: Highest IV Rank — 19.6%
  • 2021-08-18: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.52$42.75$45.89$45.89$45.11
Max Pain$43.77$42.00$44.00$42.00$44.00
ATM IV22.8%19.6%24.3%22.2%23.5%
Expected Move6.4%5.8%6.9%6.5%6.2%
HV 20d24.7%20.7%29.3%25.5%20.8%
HV 60d21.5%20.2%22.3%21.4%20.2%
IV Rank13.3%0.5%19.6%11.2%16.5%
IV Percentile11.8%0.8%22.2%6.3%17.1%
Term Structure0.3%-5.5%6.0%-1.9%-0.9%
VWIV23.6%21.6%26.6%24.1%22.5%
Skew 25d3.9%-0.3%6.9%5.2%2.9%
Skew 10d11.9%2.9%26.1%12.8%9.0%
Call IV 25d22.8%20.5%24.7%22.2%23.3%
Put IV 25d26.6%24.4%28.4%27.4%26.1%
Bid-Ask Spread %44.0321.7579.2554.7744.41
Gamma HHI0.130.090.350.130.11
Net GEX4.3M-7.3M7.7M7.7M2.9M
Net DEX-133.3M-215.1M-49.6M-215.1M-132.6M
Net VEX-1.4M-1.5M-1.3M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.194.140.921.64
Total Volume7,724.8182,75529,6769,2383,040
Total OI219,051.818183,034244,530210,934204,905

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$45.89$42.0022.2%6.5%25.5%11.2%24.1%5.2%-1.9%7.7M-215.1M-1.3M0.9254.77N/AN/A4,8114,42799,270111,664
2021-08-03$45.60$42.0019.6%6.0%25.5%0.5%24.3%6.3%4.1%7.7M-200.6M-1.3M1.1959.26N/AN/A1,2591,496100,412113,792
2021-08-04$44.39$43.0024.3%6.6%27.4%19.3%23.2%6.0%-5.5%5.7M-126.2M-1.4M0.2752.23N/AN/A2,485661100,166117,185
2021-08-05$44.59$44.0022.3%6.3%26.7%11.5%23.2%5.4%-0.0%6.1M-145.9M-1.4M0.5128.54N/AN/A4,1162,111100,011116,990
2021-08-06$44.65$44.0022.3%5.8%26.5%11.5%21.7%6.9%0.5%6.3M-153.1M-1.3M3.0949.57N/AN/A1,2333,808101,039117,327
2021-08-09$43.80$44.0022.7%6.5%27.5%13.1%23.0%5.1%0.5%5.5M-112.1M-1.4M0.1942.81N/AN/A6,4151,199101,337115,499
2021-08-10$42.75$44.0023.3%6.4%28.7%15.3%23.7%4.0%-1.3%2.0M-49.6M-1.4M2.1358.98N/AN/A9,48820,188101,636118,796
2021-08-11$43.58$44.0022.6%6.4%29.3%12.6%23.0%3.3%0.3%4.1M-97.6M-1.4M0.2040.81N/AN/A4,156850106,062119,664
2021-08-12$44.06$44.0022.2%6.4%28.9%11.0%23.3%2.3%0.3%4.9M-119.4M-1.5M0.2926.79N/AN/A2,802811106,770132,593
2021-08-13$44.31$44.0021.9%6.3%28.9%9.8%25.8%4.9%-0.5%5.6M-138.8M-1.4M0.5324.91N/AN/A4,1722,213107,841132,924
2021-08-16$44.61$44.0021.3%6.1%27.0%7.4%24.0%3.7%1.2%6.5M-164.2M-1.3M1.1721.75N/AN/A3,1613,688103,994131,842
2021-08-17$45.00$44.0022.2%6.4%23.2%11.0%23.4%3.1%0.9%7.5M-186.0M-1.4M0.7526.16N/AN/A3,2942,461105,802133,657
2021-08-18$44.28$44.0024.1%6.9%23.5%18.5%24.0%4.6%0.4%6.5M-143.9M-1.4M0.9237.17N/AN/A3,3863,100106,472134,267
2021-08-19$44.19$44.0024.2%6.9%23.6%19.1%26.0%3.6%1.4%5.4M-125.7M-1.4M0.7936.14N/AN/A1,6831,325107,270136,086
2021-08-20$44.49$44.0024.3%6.8%23.2%19.6%23.7%3.8%3.1%-7.3M-144.7M-1.3M0.7458.19N/AN/A6,8825,124107,433137,097
2021-08-23$44.02$44.0023.5%6.4%23.5%16.1%22.3%2.9%0.5%3.3M-89.5M-1.3M4.1043.44N/AN/A2,61910,73381,246101,788
2021-08-24$44.91$44.0022.7%6.5%20.9%13.0%24.2%1.8%1.4%3.1M-124.2M-1.3M3.2379.25N/AN/A3,66611,85085,112106,750
2021-08-25$44.84$44.0023.5%6.4%20.9%16.2%23.8%1.4%-0.6%1.1M-122.7M-1.4M1.2341.43N/AN/A3,8234,70087,017115,156
2021-08-26$44.61$44.0023.7%6.5%20.9%16.9%26.6%6.7%-0.4%1.5M-107.7M-1.4M4.1440.27N/AN/A7853,25287,536113,754
2021-08-27$44.85$44.0020.5%6.3%20.9%4.1%21.6%-0.3%6.0%5.2M-121.9M-1.4M1.0047.95N/AN/A2,3622,36690,430118,162
2021-08-30$44.84$44.0023.9%6.2%20.7%17.9%22.6%2.2%-2.1%2.9M-110.9M-1.4M3.5153.89N/AN/A1,7606,18588,796113,590
2021-08-31$45.11$44.0023.5%6.2%20.8%16.5%22.5%2.9%-0.9%2.9M-132.6M-1.3M1.6444.41N/AN/A1,1501,89089,734115,171