BSX Options History — June 2023 In June 2023, BSX traded between $50.64 and $54.56. ATM implied volatility averaged 18.3%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 3.1% (HV 20d: 21.4%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.06.
Notable Days 2023-06-16 : Highest Volume — 8,794 contracts2023-06-13 : Largest IV spike — 74.4% change2023-06-13 : Highest IV Rank — 37.8%2023-06-07 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $52.74 $50.64 $54.56 $51.63 $54.19 Max Pain $52.26 $50.00 $52.50 $50.00 $52.50 ATM IV 18.3% 14.8% 27.0% 19.3% 14.8% Expected Move 5.1% 4.2% 5.7% 5.5% 4.2% HV 20d 21.4% 17.7% 25.1% 22.9% 18.4% HV 60d 19.4% 18.4% 19.9% 19.3% 19.7% IV Rank 7.7% 0.0% 37.8% 7.7% 0.0% IV Percentile 8.3% 0.0% 64.7% 5.6% 0.0% Term Structure 2.5% -0.9% 3.9% 0.0% 3.1% VWIV 18.0% 15.4% 21.6% 21.6% 15.5% Skew 25d 3.8% 0.9% 7.1% 6.6% 0.9% Skew 10d 8.6% -2.1% 18.4% 17.4% -2.1% Call IV 25d 16.4% 14.1% 18.1% 15.6% 15.4% Put IV 25d 20.3% 16.3% 23.6% 22.2% 16.3% Bid-Ask Spread % 26.72 5.76 69.51 30.87 5.76 Gamma HHI 0.24 0.17 0.31 0.26 0.29 Net GEX 4.1M -329.4K 7.5M 3.3M 7.5M Net DEX -84.9M -153.2M -26.8M -69.2M -118.1M Net VEX -1.2M -1.2M -1.1M -1.2M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.08 6.24 0.26 1.11 Total Volume 2,414 511 8,794 1,539 1,879 Total OI 140,151.476 120,422 158,113 143,453 128,142
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 2023-06-01 $51.63 $50.00 19.3% 5.5% 22.9% 7.7% 21.6% 6.6% 0.0% 3.3M -69.2M -1.2M 0.26 30.87 N/A N/A 1,217 322 73,842 69,611 2023-06-02 $51.89 $50.00 19.5% 5.6% 22.3% 8.2% 20.1% 7.1% -0.9% 3.1M -74.2M -1.2M 0.30 8.30 N/A N/A 448 134 74,604 69,902 2023-06-05 $51.36 $52.50 18.5% 5.3% 22.4% 4.8% 19.2% 5.8% 2.2% 2.2M -58.5M -1.2M 4.61 69.51 N/A N/A 613 2,828 74,771 69,898 2023-06-06 $50.64 $52.50 21.9% 5.6% 20.3% 16.7% 18.9% 4.7% 2.6% 364.6K -26.8M -1.2M 6.24 10.35 N/A N/A 513 3,199 74,755 71,254 2023-06-07 $50.73 $52.50 21.3% 5.7% 20.2% 14.7% 18.4% 5.2% 2.3% -122.7K -27.2M -1.2M 2.37 22.69 N/A N/A 2,049 4,852 74,855 74,165 2023-06-08 $51.00 $52.50 20.7% 5.6% 20.4% 12.5% 18.0% 5.1% 2.2% -329.4K -30.9M -1.2M 0.37 21.37 N/A N/A 555 205 75,984 78,756 2023-06-09 $51.34 $52.50 17.1% 4.9% 20.5% 0.0% 18.8% 3.9% 2.7% 763.1K -44.4M -1.2M 1.29 13.65 N/A N/A 327 421 76,211 78,351 2023-06-12 $51.28 $52.50 15.4% 4.9% 20.5% 0.0% 18.0% 4.9% 2.6% 613.8K -41.6M -1.2M 0.23 24.95 N/A N/A 416 95 76,245 78,664 2023-06-13 $51.25 $52.50 27.0% 5.6% 20.2% 37.8% 18.3% 4.4% 1.9% 312.7K -38.5M -1.2M 0.12 42.74 N/A N/A 987 114 76,381 78,750 2023-06-14 $53.25 $52.50 19.3% 5.5% 24.7% 12.7% 18.2% 2.9% 2.2% 6.9M -119.8M -1.2M 0.27 55.54 N/A N/A 4,572 1,246 77,001 78,821 2023-06-15 $54.05 $52.50 17.6% 5.1% 25.0% 7.2% 18.2% 3.1% 2.2% 6.9M -145.3M -1.2M 0.25 37.66 N/A N/A 1,683 427 78,060 79,169 2023-06-16 $54.28 $52.50 16.6% 4.8% 25.0% 3.8% 17.9% 3.1% 3.1% 5.6M -153.2M -1.2M 0.08 42.75 N/A N/A 8,137 657 78,712 79,401 2023-06-20 $54.05 $52.50 16.9% 4.9% 25.1% 4.9% 18.0% 2.5% 2.7% 5.9M -106.7M -1.1M 0.86 7.34 N/A N/A 1,550 1,328 58,664 61,758 2023-06-21 $53.94 $52.50 15.9% 4.6% 25.1% 1.5% 16.6% 2.2% 2.7% 6.0M -108.3M -1.2M 0.25 9.26 N/A N/A 731 183 59,849 62,973 2023-06-22 $54.56 $52.50 16.0% 4.6% 19.8% 1.8% 17.9% 2.7% 3.3% 6.4M -123.6M -1.2M 0.79 40.37 N/A N/A 1,466 1,154 60,064 63,026 2023-06-23 $54.09 $52.50 16.3% 4.7% 20.0% 2.9% 16.8% 2.2% 3.0% 6.3M -112.9M -1.2M 0.41 38.74 N/A N/A 1,073 437 61,145 63,777 2023-06-26 $53.61 $52.50 18.4% 5.3% 20.1% 9.5% 17.3% 2.8% 3.1% 6.1M -98.5M -1.2M 0.12 9.83 N/A N/A 530 63 61,877 63,750 2023-06-27 $53.56 $52.50 17.2% 4.9% 19.6% 5.8% 17.2% 4.3% 3.9% 6.2M -97.5M -1.1M 1.32 49.41 N/A N/A 659 873 62,087 63,770 2023-06-28 $53.47 $52.50 17.1% 4.9% 18.9% 5.4% 17.6% 2.8% 3.5% 6.1M -97.7M -1.1M 0.39 11.41 N/A N/A 1,488 586 62,207 64,156 2023-06-29 $53.36 $52.50 16.8% 4.8% 17.7% 4.3% 15.4% 3.2% 3.7% 6.2M -90.9M -1.1M 0.70 8.52 N/A N/A 398 279 63,213 64,560 2023-06-30 $54.19 $52.50 14.8% 4.2% 18.4% 0.0% 15.5% 0.9% 3.1% 7.5M -118.1M -1.2M 1.11 5.76 N/A N/A 891 988 63,371 64,771
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