BSX Options History — September 2022

In September 2022, BSX traded between $38.12 and $43.42. ATM implied volatility averaged 28.9%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.1% (HV 20d: 23.8%). Max pain ranged from $37.50 to $43.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2022-09-30: Highest Volume — 17,359 contracts
  • 2022-09-23: Largest IV spike — 11.1% change
  • 2022-09-27: Highest IV Rank — 60.2%
  • 2022-09-27: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.67$38.12$43.42$40.91$38.91
Max Pain$40.86$37.50$43.00$41.00$37.50
ATM IV28.9%24.7%35.3%25.5%34.2%
Expected Move7.9%6.8%9.7%7.0%8.7%
HV 20d23.8%19.5%26.0%19.5%25.5%
HV 60d24.4%23.8%25.6%25.4%24.8%
IV Rank36.8%21.7%60.2%24.4%56.2%
IV Percentile46.0%17.5%82.5%25.8%75.0%
Term Structure0.4%-1.9%7.1%0.2%-1.7%
VWIV27.7%23.7%33.2%27.5%31.4%
Skew 25d4.8%2.9%7.1%4.0%6.2%
Skew 10d9.5%3.2%15.1%8.7%12.2%
Call IV 25d26.7%22.9%32.1%23.9%31.4%
Put IV 25d31.5%27.1%39.2%27.9%37.6%
Bid-Ask Spread %32.3516.8050.0044.8040.93
Gamma HHI0.120.090.170.120.10
Net GEX2.5M-1.7M7.2M3.6M-583.6K
Net DEX3.3M-93.6M81.2M-3.4M39.8M
Net VEX-908.0K-943.4K-845.7K-939.7K-878.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.235.050.960.72
Total Volume7,685.71464817,35964817,359
Total OI148,674.81125,431165,917160,607142,533

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$40.91$41.0025.5%7.0%19.5%24.4%27.5%4.0%0.2%3.6M-3.4M-939.7K0.9644.80N/AN/A33031877,93982,668
2022-09-02$40.32$41.0026.8%7.1%19.9%29.4%23.7%4.7%0.7%1.6M13.9M-914.5K1.2731.04N/AN/A35044678,04482,684
2022-09-06$40.39$41.0028.0%7.9%20.0%33.8%28.3%4.5%-0.1%1.4M13.0M-904.5K5.0541.87N/AN/A1,5027,59075,04182,023
2022-09-07$41.55$41.0025.9%7.3%22.5%26.1%24.5%4.0%-0.1%3.8M-26.5M-917.9K2.0127.86N/AN/A3,4136,86275,15682,163
2022-09-08$42.59$41.0025.5%7.2%23.1%24.6%25.2%4.1%0.0%5.4M-72.7M-925.0K0.5631.75N/AN/A2,0771,16376,75982,294
2022-09-09$43.07$41.0024.7%6.8%23.3%21.7%23.8%4.2%0.3%6.5M-89.8M-936.5K1.2442.31N/AN/A1,4381,78477,89282,902
2022-09-12$43.42$42.0025.6%7.0%23.0%24.8%23.9%4.5%-1.3%6.9M-93.6M-930.8K0.6529.99N/AN/A1,5781,02975,88382,245
2022-09-13$42.24$43.0027.3%7.6%25.2%31.2%26.1%4.6%-0.6%6.3M-49.3M-935.7K2.6550.00N/AN/A3,2208,54877,06283,049
2022-09-14$42.06$43.0028.2%7.7%25.2%34.5%26.5%3.8%-0.6%5.9M-41.0M-925.4K1.3445.08N/AN/A1,4341,92277,72384,179
2022-09-15$41.89$43.0026.4%7.5%25.0%27.9%25.3%4.4%-0.2%6.5M-41.6M-943.4K0.5721.19N/AN/A2,7111,55478,74885,334
2022-09-16$41.54$43.0026.9%7.6%25.2%29.5%26.6%5.4%-0.8%7.2M-11.2M-935.4K1.7937.92N/AN/A4,8248,61379,39086,527
2022-09-19$41.16$43.0026.9%7.6%25.0%29.7%26.2%4.0%2.5%1.2M14.4M-942.2K0.2531.55N/AN/A2,86571757,71467,717
2022-09-20$40.56$42.0027.9%8.0%24.5%33.2%28.3%3.5%2.5%-782.6K36.3M-919.0K2.2116.80N/AN/A1,4903,29758,83170,589
2022-09-21$39.86$42.0028.1%8.1%25.1%34.0%27.4%2.9%4.4%-1.0M49.4M-897.5K1.4735.02N/AN/A47469559,08270,595
2022-09-22$39.59$42.0029.0%8.2%25.0%37.4%27.8%4.5%2.1%-1.2M63.8M-878.0K0.5526.47N/AN/A6,1243,37659,35871,163
2022-09-23$38.82$41.5032.3%8.8%24.9%49.0%30.3%5.6%7.1%-1.7M81.2M-848.0K0.2329.07N/AN/A12,4382,85462,87673,910
2022-09-26$38.42$37.5034.2%9.4%23.0%56.2%32.2%6.5%-1.5%-267.2K60.0M-845.7K0.5327.23N/AN/A8,4184,49569,10869,381
2022-09-27$38.12$37.5035.3%9.7%23.1%60.2%33.2%7.1%-1.4%-611.9K65.4M-851.3K0.3723.10N/AN/A9,1233,41269,99270,458
2022-09-28$39.36$37.5033.7%8.6%26.0%54.4%30.9%6.8%-1.9%1.5M31.8M-899.3K0.4420.60N/AN/A8,0133,53270,98570,242
2022-09-29$39.34$37.5033.9%8.8%25.7%55.0%31.9%6.4%-1.0%1.5M28.4M-899.5K0.5624.72N/AN/A6,4213,59171,67770,255
2022-09-30$38.91$37.5034.2%8.7%25.5%56.2%31.4%6.2%-1.7%-583.6K39.8M-878.5K0.7240.93N/AN/A10,1197,24072,01670,517