BSX Options History — March 2022

In March 2022, BSX traded between $40.96 and $44.74. ATM implied volatility averaged 31.5%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.9% (HV 20d: 30.6%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 2.18.

Notable Days

2022-03-18: Highest Volume — 37,501 contracts
2022-03-23: Largest IV spike — 28.0% change
2022-03-01: Highest IV Rank — 72.7%
2022-03-10: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.25	$40.96	$44.74	$43.32	$44.61
Max Pain	$43.39	$43.00	$44.00	$44.00	$43.00
ATM IV	31.5%	23.7%	38.8%	38.8%	24.8%
Expected Move	9.3%	7.4%	12.0%	11.0%	7.4%
HV 20d	30.6%	27.0%	32.8%	32.6%	29.3%
HV 60d	27.7%	26.2%	29.0%	27.7%	27.6%
IV Rank	46.4%	18.1%	72.7%	72.7%	21.9%
IV Percentile	80.3%	27.4%	97.2%	97.2%	40.5%
Term Structure	-0.4%	-6.2%	8.8%	0.6%	6.4%
VWIV	37.5%	25.3%	68.9%	43.8%	27.8%
Skew 25d	3.5%	-8.5%	11.0%	-8.5%	3.5%
Skew 10d	8.2%	-8.3%	26.9%	-2.1%	16.7%
Call IV 25d	32.4%	24.6%	50.6%	50.6%	27.4%
Put IV 25d	35.8%	28.8%	43.5%	42.1%	30.9%
Bid-Ask Spread %	50.32	20.22	79.30	67.98	41.23
Gamma HHI	0.16	0.10	0.21	0.18	0.21
Net GEX	4.2M	-1.4M	9.1M	4.0M	9.1M
Net DEX	-14.0M	-63.3M	51.2M	-20.5M	-60.3M
Net VEX	-1.0M	-1.2M	-980.8K	-1.2M	-991.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.18	0.38	4.86	1.76	2.07
Total Volume	16,353.348	7,169	37,501	23,859	10,667
Total OI	181,090.87	159,552	213,861	171,552	172,244

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-03-01	$43.32	$44.00	38.8%	11.0%	32.6%	72.7%	43.8%	-8.5%	0.6%	4.0M	-20.5M	-1.2M	1.76	67.98	N/A	N/A	8,654	15,205	84,985	86,567
2022-03-02	$44.06	$44.00	35.9%	10.3%	32.8%	62.1%	48.9%	1.9%	-1.7%	5.5M	-51.1M	-1.2M	1.98	55.15	N/A	N/A	7,044	13,971	88,294	87,944
2022-03-03	$43.85	$44.00	34.7%	9.7%	28.4%	58.1%	45.1%	3.6%	-0.8%	6.1M	-43.9M	-1.2M	3.88	72.12	N/A	N/A	4,371	16,981	92,529	87,975
2022-03-04	$43.92	$44.00	34.9%	10.7%	27.0%	58.7%	47.4%	3.5%	-2.4%	6.6M	-46.2M	-1.2M	4.86	63.27	N/A	N/A	3,441	16,713	94,387	88,109
2022-03-07	$42.59	$44.00	36.6%	11.9%	29.2%	64.8%	56.5%	6.1%	-1.2%	3.3M	7.4M	-1.1M	4.81	79.30	N/A	N/A	2,821	13,560	93,313	87,317
2022-03-08	$40.96	$44.00	37.6%	11.8%	32.3%	68.5%	57.6%	4.5%	-3.4%	472.0K	42.6M	-1.0M	2.84	72.95	N/A	N/A	4,180	11,876	93,431	87,416
2022-03-09	$42.04	$44.00	31.1%	11.2%	32.1%	44.8%	68.9%	11.0%	1.6%	1.5M	33.7M	-1.0M	2.57	74.56	N/A	N/A	4,479	11,518	95,066	87,809
2022-03-10	$41.69	$44.00	34.4%	12.0%	31.6%	56.7%	44.6%	3.8%	-0.7%	1.5M	34.7M	-1.0M	1.70	73.49	N/A	N/A	5,993	10,197	96,007	87,831
2022-03-11	$41.84	$44.00	33.5%	10.5%	30.8%	53.6%	41.2%	3.0%	-0.6%	1.2M	39.6M	-1.0M	1.48	75.46	N/A	N/A	12,842	18,942	96,407	88,004
2022-03-14	$41.79	$43.00	33.5%	9.2%	30.6%	53.6%	35.3%	4.2%	-6.0%	-1.4M	51.2M	-1.0M	1.57	39.11	N/A	N/A	3,898	6,130	105,012	98,083
2022-03-15	$42.59	$43.00	34.4%	9.5%	31.4%	56.8%	33.0%	3.9%	-4.2%	1.4M	24.4M	-1.0M	0.72	34.97	N/A	N/A	11,519	8,276	104,920	97,111
2022-03-16	$43.65	$43.00	32.1%	8.9%	31.6%	48.7%	32.2%	2.8%	-1.8%	5.7M	-17.9M	-1.0M	2.03	42.24	N/A	N/A	3,676	7,448	110,429	99,366
2022-03-17	$44.11	$43.00	29.5%	8.8%	31.6%	39.2%	29.1%	4.8%	-6.2%	6.8M	-36.8M	-1.0M	1.50	39.52	N/A	N/A	4,344	6,518	111,613	99,779
2022-03-18	$44.15	$43.00	30.8%	8.2%	29.7%	43.9%	29.9%	4.2%	-2.0%	5.7M	-47.8M	-1.0M	0.38	44.44	N/A	N/A	27,211	10,290	113,885	99,976
2022-03-21	$44.09	$43.00	30.6%	8.0%	29.6%	42.9%	29.7%	4.9%	0.2%	4.8M	-45.1M	-1.1M	0.64	39.36	N/A	N/A	11,493	7,321	76,754	82,798
2022-03-22	$43.82	$43.00	23.7%	7.5%	29.7%	18.1%	27.4%	2.9%	8.8%	5.1M	-33.0M	-1.0M	1.56	20.22	N/A	N/A	4,259	6,654	78,517	84,278
2022-03-23	$42.27	$43.00	30.3%	8.2%	31.7%	42.1%	28.2%	4.3%	-0.7%	942.6K	16.1M	-997.2K	1.05	42.96	N/A	N/A	9,075	9,512	79,239	84,497
2022-03-24	$42.75	$43.00	27.4%	7.9%	32.0%	31.5%	29.4%	-1.6%	1.9%	1.9M	6.3M	-1.0M	2.99	42.05	N/A	N/A	2,237	6,682	80,561	88,414
2022-03-25	$43.34	$43.00	28.0%	7.9%	30.6%	33.7%	27.8%	4.5%	2.7%	3.8M	-14.9M	-1.0M	2.36	35.34	N/A	N/A	3,194	7,550	80,711	88,513
2022-03-28	$44.09	$43.00	30.6%	7.7%	29.9%	42.9%	27.3%	6.6%	-3.6%	5.9M	-38.4M	-1.0M	3.06	35.87	N/A	N/A	1,767	5,402	80,116	86,951
2022-03-29	$44.74	$43.00	24.3%	7.5%	29.9%	20.0%	25.3%	5.3%	4.1%	8.5M	-63.3M	-980.8K	2.55	31.83	N/A	N/A	2,352	6,006	80,622	87,156
2022-03-30	$44.55	$43.00	27.7%	7.4%	29.4%	32.6%	25.6%	0.4%	-0.2%	8.2M	-58.9M	-998.9K	1.70	33.87	N/A	N/A	3,657	6,201	81,157	88,997
2022-03-31	$44.61	$43.00	24.8%	7.4%	29.3%	21.9%	27.8%	3.5%	6.4%	9.1M	-60.3M	-991.2K	2.07	41.23	N/A	N/A	3,476	7,191	82,929	89,315