BSX Options History — September 2021

In September 2021, BSX traded between $43.50 and $45.59. ATM implied volatility averaged 25.2%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.7% (HV 20d: 17.5%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2021-09-17: Highest Volume — 22,667 contracts
  • 2021-09-20: Largest IV spike — 13.9% change
  • 2021-09-30: Highest IV Rank — 37.6%
  • 2021-09-20: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.60$43.50$45.59$45.51$43.66
Max Pain$44.38$44.00$45.00$44.00$44.00
ATM IV25.2%22.2%28.8%22.2%28.8%
Expected Move6.8%5.8%8.2%5.8%7.0%
HV 20d17.5%14.0%19.3%18.5%18.8%
HV 60d21.1%20.3%22.0%20.3%21.7%
IV Rank23.3%10.9%37.6%10.9%37.6%
IV Percentile31.6%7.1%57.5%7.1%57.5%
Term Structure0.7%-2.8%4.9%-0.6%-1.6%
VWIV25.1%21.5%30.1%21.5%25.0%
Skew 25d3.7%-0.2%10.0%2.1%-0.2%
Skew 10d13.1%2.9%24.6%9.4%5.9%
Call IV 25d25.8%21.7%33.3%23.3%33.3%
Put IV 25d29.5%25.5%38.7%25.5%33.1%
Bid-Ask Spread %41.3920.5460.2048.0729.78
Gamma HHI0.130.090.260.110.09
Net GEX2.7M-8.6M9.2M2.7M218.4K
Net DEX-107.7M-156.9M-46.3M-144.4M-46.3M
Net VEX-1.3M-1.4M-1.2M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.059.720.470.19
Total Volume8,337.2382,70622,6672,9614,520
Total OI215,874.238201,604234,081208,995213,951

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$45.51$44.0022.2%5.8%18.5%10.9%21.5%2.1%-0.6%2.7M-144.4M-1.4M0.4748.07N/AN/A2,00895390,649118,346
2021-09-02$45.02$45.0022.3%6.0%19.0%11.6%22.1%2.0%-2.8%-906.4K-125.9M-1.3M0.6547.02N/AN/A1,6441,06291,038119,779
2021-09-03$44.83$45.0022.6%6.3%19.0%12.5%24.3%4.6%-0.1%-8.6M-109.7M-1.3M9.7220.85N/AN/A1,11310,82190,971120,450
2021-09-07$45.11$45.0022.8%6.4%17.7%13.3%27.0%1.3%-0.2%6.1M-134.9M-1.3M3.7520.54N/AN/A8473,17789,818112,015
2021-09-08$45.59$45.0023.6%6.7%15.1%16.6%24.1%1.6%0.1%5.0M-156.9M-1.3M0.2158.44N/AN/A7,1011,50690,239117,656
2021-09-09$45.48$45.0023.3%6.5%14.0%15.2%23.3%2.9%-0.0%5.0M-149.2M-1.3M0.2052.72N/AN/A3,10261990,494119,512
2021-09-10$44.50$45.0025.3%7.1%15.9%23.5%24.8%4.3%-1.2%-2.8M-102.5M-1.3M6.3734.25N/AN/A2,18713,93095,673119,410
2021-09-13$44.12$44.0024.3%6.9%16.1%19.4%28.8%4.0%3.4%4.9M-87.3M-1.3M0.9321.03N/AN/A2,8632,67095,813116,283
2021-09-14$44.98$44.0025.0%7.1%17.4%22.1%29.3%3.3%0.9%3.1M-123.1M-1.3M0.6460.20N/AN/A9,7416,22296,605123,920
2021-09-15$45.01$45.0024.1%6.9%17.1%18.7%25.2%3.4%1.2%2.2M-130.7M-1.3M0.0552.36N/AN/A13,71065996,968125,377
2021-09-16$44.92$45.0024.3%6.8%16.0%19.7%24.9%1.9%2.9%7.3M-138.8M-1.3M0.1233.83N/AN/A3,573423104,311125,863
2021-09-17$44.42$44.0024.9%7.1%16.6%22.1%27.2%3.0%1.2%335.4K-99.3M-1.3M1.1347.60N/AN/A10,63312,034107,944126,137
2021-09-20$43.50$44.0028.4%8.2%18.0%36.1%28.2%10.0%4.3%2.4M-60.6M-1.3M0.2939.67N/AN/A9,4512,74590,241111,363
2021-09-21$43.55$44.0027.5%7.5%17.6%32.2%30.1%5.7%0.1%1.7M-54.0M-1.3M0.7259.12N/AN/A5,5804,04297,303119,402
2021-09-22$44.34$44.0026.1%7.0%17.3%26.7%24.1%4.8%1.2%4.7M-96.0M-1.3M0.1257.12N/AN/A8,031967100,019120,630
2021-09-23$45.11$44.0025.3%6.4%18.5%23.4%22.6%6.5%4.9%9.2M-145.5M-1.2M0.3239.21N/AN/A3,8341,221102,954123,983
2021-09-24$44.75$44.0024.9%6.3%18.6%21.9%23.0%3.7%3.5%7.0M-113.7M-1.3M0.5631.97N/AN/A3,4041,911103,659124,621
2021-09-27$44.45$44.0028.1%6.6%18.6%34.8%23.1%3.6%-1.3%4.3M-105.2M-1.2M1.0035.86N/AN/A2,4362,42892,244119,921
2021-09-28$43.82$44.0028.4%7.4%19.3%35.9%25.4%3.7%-0.5%2.0M-69.2M-1.3M0.4641.39N/AN/A4,9672,29191,749121,243
2021-09-29$43.90$44.0028.0%6.7%19.1%34.4%23.4%5.5%-0.2%800.6K-68.5M-1.3M0.1338.15N/AN/A4,11454291,363123,442
2021-09-30$43.66$44.0028.8%7.0%18.8%37.6%25.0%-0.2%-1.6%218.4K-46.3M-1.2M0.1929.78N/AN/A3,80171990,399123,552