BSX Options History — May 2023 In May 2023, BSX traded between $50.52 and $53.98. ATM implied volatility averaged 20.9%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.1% (HV 20d: 19.8%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.95.
Notable Days 2023-05-08 : Highest Volume — 19,151 contracts2023-05-08 : Largest IV spike — 13.3% change2023-05-26 : Highest IV Rank — 21.4%2023-05-26 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $52.65 $50.52 $53.98 $52.77 $51.59 Max Pain $49.32 $47.00 $50.00 $50.00 $50.00 ATM IV 20.9% 18.9% 23.3% 18.9% 20.4% Expected Move 6.0% 5.4% 6.7% 5.4% 5.9% HV 20d 19.8% 15.6% 22.8% 18.6% 22.8% HV 60d 17.4% 16.2% 19.5% 17.1% 19.5% IV Rank 13.0% 6.2% 21.4% 6.2% 11.5% IV Percentile 14.9% 3.6% 34.9% 3.6% 13.1% Term Structure 0.8% -1.2% 2.5% 0.8% -0.1% VWIV 20.6% 18.2% 23.8% 20.6% 22.4% Skew 25d 3.9% 2.4% 7.7% 2.9% 7.7% Skew 10d 8.5% 5.4% 19.0% 7.3% 19.0% Call IV 25d 19.1% 16.0% 20.7% 18.4% 16.0% Put IV 25d 23.0% 21.0% 25.3% 21.4% 23.6% Bid-Ask Spread % 24.64 6.15 81.94 81.94 23.91 Gamma HHI 0.31 0.21 0.49 0.28 0.28 Net GEX 4.6M -2.5M 11.4M 3.4M 3.5M Net DEX -122.9M -202.0M -32.2M -122.5M -61.5M Net VEX -1.2M -1.3M -982.8K -982.8K -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.10 3.89 0.31 0.55 Total Volume 5,172.5 1,039 19,151 1,615 2,185 Total OI 169,026.864 130,800 202,124 153,363 142,426
Daily Data (22 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 2023-05-01 $52.77 $50.00 18.9% 5.4% 18.6% 6.2% 20.6% 2.9% 0.8% 3.4M -122.5M -982.8K 0.31 81.94 N/A N/A 1,232 383 60,131 93,232 2023-05-02 $52.86 $50.00 20.1% 5.8% 18.0% 10.5% 22.7% 2.4% -0.0% 2.8M -116.5M -1.0M 0.79 11.57 N/A N/A 7,966 6,305 60,623 93,523 2023-05-03 $52.78 $50.00 20.6% 5.9% 17.9% 12.2% 21.4% 3.2% 0.1% 2.4M -117.1M -1.1M 0.34 62.61 N/A N/A 776 263 67,365 99,513 2023-05-04 $52.00 $47.00 21.8% 6.1% 18.6% 16.2% 21.3% 4.3% 1.9% -693.0K -85.0M -1.1M 3.05 23.51 N/A N/A 954 2,907 67,564 99,670 2023-05-05 $51.56 $47.00 20.4% 5.7% 18.5% 11.6% 19.6% 4.0% 2.0% -2.5M -68.4M -1.1M 2.50 21.46 N/A N/A 1,582 3,955 67,529 102,448 2023-05-08 $53.03 $47.00 23.2% 6.3% 20.8% 21.1% 21.1% 3.7% 1.4% 1.6M -121.4M -1.1M 0.10 40.85 N/A N/A 17,460 1,691 68,785 107,810 2023-05-09 $53.28 $47.00 22.2% 6.4% 20.4% 17.8% 21.7% 4.3% 1.3% 4.8M -154.0M -1.2M 0.84 49.73 N/A N/A 1,165 984 80,528 108,586 2023-05-10 $53.19 $47.00 21.7% 6.2% 20.5% 15.9% 20.1% 3.5% 1.2% 5.2M -162.4M -1.2M 0.23 54.70 N/A N/A 8,094 1,835 80,473 109,178 2023-05-11 $53.34 $50.00 21.3% 6.1% 20.0% 14.5% 23.8% 3.5% 1.4% 5.4M -156.5M -1.2M 1.79 16.84 N/A N/A 1,339 2,397 82,874 110,732 2023-05-12 $53.27 $50.00 21.5% 6.2% 20.0% 15.3% 19.4% 4.5% 1.6% 7.6M -171.1M -1.2M 0.19 8.50 N/A N/A 7,461 1,447 83,497 112,766 2023-05-15 $53.70 $50.00 20.5% 5.9% 20.1% 11.8% 20.0% 3.3% 2.5% 9.2M -185.8M -1.2M 0.34 8.69 N/A N/A 1,702 573 82,885 114,000 2023-05-16 $53.98 $50.00 19.5% 5.6% 20.2% 8.2% 19.9% 3.6% 2.3% 11.4M -202.0M -1.1M 0.13 8.84 N/A N/A 2,519 327 83,317 114,469 2023-05-17 $53.39 $50.00 19.8% 5.7% 19.6% 9.3% 19.4% 2.9% 2.4% 7.7M -175.7M -1.2M 0.83 41.15 N/A N/A 1,436 1,192 84,014 114,471 2023-05-18 $53.50 $50.00 20.2% 5.8% 19.5% 10.6% 19.9% 3.4% 0.6% 7.4M -184.0M -1.2M 1.94 13.28 N/A N/A 1,946 3,782 84,612 115,408 2023-05-19 $53.45 $50.00 19.3% 5.5% 15.6% 7.7% 18.2% 3.6% 0.9% 7.7M -183.6M -1.2M 0.21 6.15 N/A N/A 3,908 840 85,575 116,549 2023-05-22 $53.72 $50.00 20.0% 5.7% 15.6% 10.1% 20.2% 3.4% 0.4% 8.0M -132.3M -1.2M 0.72 8.43 N/A N/A 1,516 1,090 67,295 63,505 2023-05-23 $51.52 $50.00 19.4% 5.5% 22.1% 7.7% 20.3% 3.5% 0.3% 3.8M -68.2M -1.2M 0.89 9.15 N/A N/A 5,238 4,656 67,922 63,882 2023-05-24 $52.05 $50.00 21.2% 6.1% 22.3% 14.3% 19.5% 4.6% -0.6% 5.3M -85.2M -1.2M 3.89 30.07 N/A N/A 1,046 4,070 70,992 66,792 2023-05-25 $51.67 $50.00 20.7% 5.9% 21.4% 12.6% 20.8% 4.5% 0.2% 3.7M -66.3M -1.3M 0.26 7.40 N/A N/A 1,668 433 71,407 69,198 2023-05-26 $51.11 $50.00 23.3% 6.7% 21.6% 21.4% 20.6% 4.4% -1.1% 2.6M -51.5M -1.2M 0.73 6.72 N/A N/A 1,396 1,023 72,100 68,756 2023-05-30 $50.52 $50.00 23.0% 6.6% 21.3% 20.6% 20.7% 4.6% -1.2% 1.2M -32.2M -1.2M 0.31 6.55 N/A N/A 806 247 72,723 69,466 2023-05-31 $51.59 $50.00 20.4% 5.9% 22.8% 11.5% 22.4% 7.7% -0.1% 3.5M -61.5M -1.2M 0.55 23.91 N/A N/A 1,408 777 73,054 69,372
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