BSX Options History — June 2022

In June 2022, BSX traded between $35.35 and $40.59. ATM implied volatility averaged 35.6%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.7% (HV 20d: 28.9%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.66.

Notable Days

2022-06-24: Highest Volume — 33,137 contracts
2022-06-13: Largest IV spike — 11.4% change
2022-06-17: Highest IV Rank — 77.0%
2022-06-17: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.73	$35.35	$40.59	$40.17	$37.23
Max Pain	$38.95	$38.00	$40.00	$40.00	$38.00
ATM IV	35.6%	29.7%	40.0%	32.6%	39.2%
Expected Move	9.9%	8.5%	11.7%	9.7%	9.9%
HV 20d	28.9%	25.4%	38.0%	38.0%	27.2%
HV 60d	33.3%	32.8%	33.9%	33.9%	33.7%
IV Rank	61.1%	39.8%	77.0%	50.2%	74.2%
IV Percentile	89.1%	70.6%	99.2%	80.2%	98.0%
Term Structure	0.2%	-3.0%	10.5%	-0.4%	-1.1%
VWIV	35.8%	28.6%	40.9%	33.8%	36.7%
Skew 25d	3.8%	1.3%	6.4%	4.3%	4.5%
Skew 10d	9.0%	2.0%	20.7%	14.1%	6.8%
Call IV 25d	34.8%	28.0%	38.9%	30.9%	37.8%
Put IV 25d	38.5%	33.5%	42.2%	35.3%	42.2%
Bid-Ask Spread %	51.18	31.13	81.70	66.07	61.17
Gamma HHI	0.15	0.10	0.31	0.13	0.11
Net GEX	-1.9M	-5.9M	3.4M	2.3M	-1.5M
Net DEX	94.9M	29.0M	189.3M	36.0M	79.0M
Net VEX	-946.5K	-1.1M	-822.7K	-1.1M	-998.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.31	4.64	1.30	2.07
Total Volume	16,349.857	6,849	33,137	13,532	9,969
Total OI	188,805.667	154,288	214,185	192,472	199,301

Daily Data (21 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
2022-06-01	$40.17	$40.00	32.6%	9.7%	38.0%	50.2%	33.8%	4.3%	-0.4%	2.3M	36.0M	-1.1M	1.30	66.07	N/A	N/A	5,887	7,645	93,251	99,221
2022-06-02	$40.59	$40.00	29.7%	8.5%	36.9%	39.8%	28.6%	5.5%	-1.0%	3.4M	29.0M	-1.1M	2.09	40.43	N/A	N/A	2,217	4,632	94,958	99,392
2022-06-03	$39.87	$40.00	31.8%	9.0%	36.6%	47.4%	33.6%	2.4%	0.7%	-212.2K	43.5M	-1.1M	0.71	34.88	N/A	N/A	13,321	9,429	93,405	99,486
2022-06-06	$39.38	$40.00	32.6%	9.3%	36.0%	50.1%	32.5%	2.9%	0.0%	-1.4M	71.0M	-1.1M	1.92	31.13	N/A	N/A	3,221	6,180	92,675	101,977
2022-06-07	$39.50	$40.00	32.2%	9.0%	25.5%	49.0%	31.9%	3.2%	-0.2%	-1.4M	69.1M	-1.0M	3.68	39.60	N/A	N/A	1,805	6,645	93,856	102,286
2022-06-08	$39.17	$40.00	31.8%	8.9%	25.5%	47.3%	31.9%	3.2%	-1.1%	-2.5M	81.2M	-1.0M	2.01	35.09	N/A	N/A	2,841	5,714	94,121	102,222
2022-06-09	$38.07	$40.00	32.5%	9.0%	27.5%	49.8%	31.9%	2.5%	-1.5%	-5.5M	124.0M	-931.5K	2.98	32.03	N/A	N/A	1,918	5,707	93,917	102,219
2022-06-10	$37.38	$39.00	34.4%	9.8%	28.2%	56.8%	33.5%	5.5%	0.3%	-5.9M	142.8M	-911.5K	0.52	59.04	N/A	N/A	10,653	5,569	93,959	102,806
2022-06-13	$36.35	$39.00	38.3%	11.0%	27.3%	70.9%	35.7%	4.3%	-1.8%	-5.4M	163.0M	-861.3K	0.58	69.85	N/A	N/A	9,276	5,405	95,951	102,463
2022-06-14	$35.35	$39.00	37.3%	10.7%	28.4%	67.4%	36.5%	6.4%	-0.2%	-5.3M	189.3M	-822.7K	0.78	50.17	N/A	N/A	11,769	9,233	102,465	103,229
2022-06-15	$36.06	$39.00	35.2%	10.1%	25.8%	59.9%	37.3%	5.1%	-2.5%	-4.6M	164.0M	-878.9K	1.77	81.70	N/A	N/A	4,358	7,725	108,493	104,337
2022-06-16	$35.49	$39.00	37.9%	10.9%	25.4%	69.5%	39.0%	4.3%	0.5%	-5.2M	186.6M	-827.0K	1.55	66.91	N/A	N/A	4,707	7,276	108,572	104,799
2022-06-17	$36.17	$39.00	40.0%	11.7%	26.5%	77.0%	40.8%	1.7%	-3.0%	-2.4M	161.7M	-842.1K	0.53	60.74	N/A	N/A	20,761	10,994	109,929	104,256
2022-06-21	$36.44	$38.00	37.8%	11.1%	26.7%	69.3%	39.4%	1.3%	1.5%	-674.2K	94.5M	-858.0K	0.71	58.55	N/A	N/A	12,517	8,890	72,817	81,471
2022-06-22	$37.06	$38.00	38.6%	10.9%	26.9%	72.2%	40.9%	3.7%	10.5%	-1.3M	78.7M	-885.3K	1.07	59.90	N/A	N/A	9,362	9,981	74,058	82,309
2022-06-23	$36.94	$38.00	36.1%	10.1%	26.2%	63.0%	39.5%	2.3%	2.8%	-1.9M	88.4M	-885.8K	1.91	41.36	N/A	N/A	5,847	11,146	77,015	83,879
2022-06-24	$37.96	$38.00	35.1%	9.7%	28.5%	59.4%	36.0%	2.6%	1.5%	-5.7M	48.8M	-939.3K	0.31	38.80	N/A	N/A	25,258	7,879	78,603	84,982
2022-06-27	$37.91	$38.00	37.0%	9.8%	28.4%	66.2%	36.5%	4.9%	1.2%	2.0M	40.1M	-963.2K	0.93	40.09	N/A	N/A	8,706	8,058	92,762	80,615
2022-06-28	$37.48	$38.00	39.1%	10.1%	27.4%	73.7%	39.9%	4.0%	-1.7%	976.7K	51.9M	-949.9K	2.71	42.33	N/A	N/A	2,520	6,835	93,647	81,658
2022-06-29	$37.76	$38.00	38.3%	9.9%	27.7%	71.0%	36.1%	4.5%	-0.5%	1.3M	50.4M	-961.6K	4.64	65.02	N/A	N/A	5,579	25,912	94,222	83,335
2022-06-30	$37.23	$38.00	39.2%	9.9%	27.2%	74.2%	36.7%	4.5%	-1.1%	-1.5M	79.0M	-998.0K	2.07	61.17	N/A	N/A	3,251	6,718	97,017	102,284