BSX Options History — May 2022

In May 2022, BSX traded between $38.14 and $42.80. ATM implied volatility averaged 34.5%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 6.5% (HV 20d: 41.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2022-05-20: Highest Volume — 42,928 contracts
  • 2022-05-13: Largest IV drop — 14.3% change
  • 2022-05-20: Highest IV Rank — 75.6%
  • 2022-05-20: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.22$38.14$42.80$41.44$41.04
Max Pain$41.43$40.00$45.00$44.00$40.00
ATM IV34.5%28.0%39.6%34.0%31.2%
Expected Move10.0%8.6%11.5%10.3%9.4%
HV 20d41.0%36.5%46.4%36.6%37.4%
HV 60d33.6%30.9%34.9%30.9%34.2%
IV Rank57.0%33.5%75.6%55.2%45.1%
IV Percentile89.3%63.1%99.2%90.9%76.6%
Term Structure-0.4%-2.0%1.0%-0.9%-0.6%
VWIV35.2%30.1%40.3%36.4%33.2%
Skew 25d4.5%-1.9%6.4%6.4%4.7%
Skew 10d8.1%-6.7%24.1%13.1%14.0%
Call IV 25d33.3%27.5%41.5%31.3%30.3%
Put IV 25d37.7%32.1%43.2%37.7%35.0%
Bid-Ask Spread %48.4525.3167.8253.6657.23
Gamma HHI0.160.120.220.160.17
Net GEX-2.4M-5.9M6.0M-3.4M6.0M
Net DEX71.4M-13.4M156.6M73.4M-4.0M
Net VEX-1.1M-1.2M-960.3K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.383.731.263.30
Total Volume14,395.3817,96242,92813,81811,352
Total OI182,714.905164,768202,549164,768191,806

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$41.44$44.0034.0%10.3%36.6%55.2%36.4%6.4%-0.9%-3.4M73.4M-1.1M1.2653.66N/AN/A6,1127,70665,71499,054
2022-05-03$41.72$43.0031.5%9.6%36.5%46.2%33.5%3.7%0.1%-3.0M58.2M-1.1M2.0446.88N/AN/A2,8545,83268,830100,143
2022-05-04$42.80$43.0028.0%8.6%37.9%33.5%30.1%4.6%0.1%-970.7K32.7M-1.1M1.7565.84N/AN/A4,1207,19069,040100,476
2022-05-05$41.81$45.0031.9%9.0%38.6%48.0%30.7%4.3%-0.8%-3.4M60.5M-1.1M1.7835.42N/AN/A3,7096,61469,464102,092
2022-05-06$40.91$45.0033.3%9.5%38.6%52.8%31.0%6.3%0.2%-5.9M90.1M-1.0M1.1450.83N/AN/A8,5059,68769,544102,236
2022-05-09$38.14$43.0036.8%10.5%45.0%65.7%36.9%5.7%0.2%-5.7M156.6M-960.3K2.2639.85N/AN/A5,45112,34170,059101,629
2022-05-10$38.55$43.0036.1%10.3%45.4%63.0%35.7%5.4%-0.6%-5.3M140.0M-989.6K0.3846.00N/AN/A14,2845,43271,852100,553
2022-05-11$38.67$42.0036.8%10.7%45.5%65.4%36.4%5.2%0.5%-4.4M126.5M-1.0M0.8425.31N/AN/A5,2824,45381,506101,191
2022-05-12$38.55$42.0038.1%10.8%44.7%70.3%37.5%5.5%-1.4%-4.3M133.1M-1.0M0.6142.11N/AN/A7,6504,68582,225102,277
2022-05-13$39.67$40.0032.7%9.4%46.4%50.5%34.5%6.0%0.4%-5.0M99.1M-1.1M0.9644.40N/AN/A4,1403,98985,371103,175
2022-05-16$39.75$40.0032.9%9.3%46.2%51.5%32.8%3.8%1.0%-4.3M90.9M-1.0M0.7032.85N/AN/A4,6863,27683,263100,195
2022-05-17$41.19$40.0033.1%9.5%44.9%52.0%31.7%4.3%-2.0%-1.8M39.2M-1.1M0.4452.66N/AN/A7,5583,34584,487100,000
2022-05-18$40.28$40.0035.5%10.2%43.1%60.9%35.1%4.7%-0.9%-3.3M65.0M-1.1M0.8033.92N/AN/A5,9944,76987,657100,372
2022-05-19$39.59$40.0034.7%10.0%43.2%58.0%35.6%3.1%1.0%-4.8M95.3M-1.1M0.5942.95N/AN/A13,9348,20488,407101,901
2022-05-20$39.13$40.0039.6%11.5%40.2%75.6%40.3%3.2%-2.0%-5.4M108.5M-1.1M0.4253.88N/AN/A30,25812,67097,388105,161
2022-05-23$39.74$40.0037.4%10.8%40.5%67.8%38.8%-1.9%-0.5%-765.2K46.1M-1.2M0.9051.51N/AN/A6,5525,88685,22097,986
2022-05-24$40.23$40.0037.2%11.2%37.7%66.9%40.1%5.6%-0.9%33.1K34.2M-1.2M1.2856.81N/AN/A5,7977,41489,21399,846
2022-05-25$40.10$40.0035.7%10.5%37.3%61.5%37.7%5.0%-0.4%-96.1K33.5M-1.2M3.7354.13N/AN/A2,83410,58390,250100,641
2022-05-26$40.28$40.0034.4%10.0%37.4%57.0%36.8%4.7%-0.5%192.1K34.0M-1.2M1.6663.46N/AN/A5,1938,62590,649100,887
2022-05-27$41.02$40.0032.8%9.3%37.9%51.0%33.8%3.6%-0.6%6.0M-13.4M-1.2M2.6767.82N/AN/A3,6379,70092,698102,555
2022-05-31$41.04$40.0031.2%9.4%37.4%45.1%33.2%4.7%-0.6%6.0M-4.0M-1.1M3.3057.23N/AN/A2,6418,71192,79899,008