BSX Options History — July 2022

In July 2022, BSX traded between $36.73 and $41.20. ATM implied volatility averaged 34.7%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 10.5% (HV 20d: 24.2%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.83.

Notable Days

  • 2022-07-27: Highest Volume — 24,875 contracts
  • 2022-07-27: Largest IV drop — 16.9% change
  • 2022-07-05: Highest IV Rank — 70.3%
  • 2022-07-26: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.05$36.73$41.20$38.05$41.12
Max Pain$38.75$38.00$39.00$38.00$38.00
ATM IV34.7%25.7%38.1%36.7%25.7%
Expected Move9.6%7.1%10.4%9.3%7.1%
HV 20d24.2%18.1%29.6%28.2%28.9%
HV 60d32.1%28.6%34.0%34.0%31.8%
IV Rank57.8%25.3%70.3%65.1%25.3%
IV Percentile79.1%29.8%95.2%90.9%29.8%
Term Structure-0.8%-3.2%0.7%-0.9%0.7%
VWIV34.6%26.3%40.8%32.2%26.3%
Skew 25d3.7%2.1%6.8%5.0%3.0%
Skew 10d7.6%4.4%9.7%4.4%7.3%
Call IV 25d33.6%25.1%37.0%34.7%25.1%
Put IV 25d37.3%28.1%40.4%39.7%28.1%
Bid-Ask Spread %41.1322.0069.3769.3733.39
Gamma HHI0.130.100.230.110.23
Net GEX199.2K-3.5M6.4M1.9M6.4M
Net DEX55.4M-63.3M105.5M51.0M-54.8M
Net VEX-917.3K-1.0M-841.1K-1.0M-938.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.587.592.653.89
Total Volume14,588.99,17724,87513,04716,520
Total OI187,686.95157,992208,009200,392184,895

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$38.05$38.0036.7%9.3%28.2%65.1%32.2%5.0%-0.9%1.9M51.0M-1.0M2.6569.37N/AN/A3,5749,47397,806102,586
2022-07-05$37.66$39.0038.1%10.2%27.8%70.3%36.3%3.8%-1.3%1.0M65.0M-988.4K2.5237.13N/AN/A2,8717,23998,786100,306
2022-07-06$37.71$39.0038.0%10.0%27.6%69.9%35.5%2.8%-1.4%865.6K65.4M-967.3K2.6537.55N/AN/A2,8647,60298,896100,568
2022-07-07$37.82$39.0037.0%9.8%27.6%66.2%34.8%3.4%-1.0%893.2K63.1M-966.2K1.5634.65N/AN/A4,5917,15799,117101,029
2022-07-08$37.94$39.0035.9%9.5%27.6%62.4%34.4%2.3%-1.3%2.0M57.5M-969.3K2.9738.86N/AN/A2,3106,867100,170101,065
2022-07-11$37.41$39.0037.4%10.2%26.2%67.6%34.8%2.5%-1.8%-663.4K78.9M-902.8K4.8422.00N/AN/A1,7768,60199,819100,482
2022-07-12$36.78$39.0037.4%10.2%26.1%67.6%35.7%3.4%-1.8%-2.8M103.0M-859.4K1.6635.11N/AN/A4,8688,094100,03099,835
2022-07-13$36.84$39.0036.4%10.1%24.0%63.9%34.5%3.0%-1.5%-3.2M101.8M-855.6K2.2030.79N/AN/A3,1386,902102,077100,495
2022-07-14$36.73$39.0034.2%9.2%21.6%56.0%34.7%6.8%-3.2%-3.5M105.5M-841.1K1.2160.45N/AN/A6,0717,327102,83699,653
2022-07-15$37.41$39.0035.4%10.1%21.4%60.6%34.6%3.9%-0.3%-654.3K80.9M-884.6K0.7347.17N/AN/A8,9126,522106,861101,148
2022-07-18$37.18$39.0035.5%10.1%20.6%60.7%35.3%2.7%-0.2%-1.7M76.4M-869.5K0.5845.57N/AN/A10,2745,91366,35991,633
2022-07-19$37.72$39.0033.9%9.7%20.2%55.1%35.3%4.4%0.6%660.0K57.3M-896.9K1.1342.81N/AN/A8,5439,64175,01291,913
2022-07-20$37.34$39.0035.3%10.1%20.5%60.1%39.4%4.4%-0.1%-511.2K73.0M-886.0K7.5940.73N/AN/A1,99615,15572,05194,998
2022-07-21$37.92$39.0034.5%9.9%20.4%57.2%38.5%4.5%-0.1%-544.2K68.0M-905.7K6.1939.07N/AN/A2,16513,41072,044101,243
2022-07-22$38.07$39.0034.9%10.0%20.3%58.5%40.8%4.5%0.4%-925.5K59.2M-935.9K3.1041.37N/AN/A3,40610,54274,640103,340
2022-07-25$37.84$39.0035.1%10.0%18.1%59.3%35.5%4.2%-1.3%-2.1M76.1M-896.7K2.4941.81N/AN/A4,15010,34872,17399,190
2022-07-26$37.84$38.0035.5%10.4%18.1%60.8%36.9%3.9%-1.2%-2.3M77.3M-897.5K2.1834.21N/AN/A5,86212,79373,708102,463
2022-07-27$40.42$38.0029.5%8.1%29.1%39.0%28.9%4.2%-0.3%3.3M-32.3M-940.9K4.0360.28N/AN/A4,94519,93076,667108,541
2022-07-28$41.20$38.0027.1%7.5%29.6%30.2%27.1%2.1%-0.1%5.8M-63.3M-931.2K2.4530.19N/AN/A5,63113,79577,137102,167
2022-07-29$41.12$38.0025.7%7.1%28.9%25.3%26.3%3.0%0.7%6.4M-54.8M-938.7K3.8933.39N/AN/A3,38013,14078,630106,265