BSX Options History — July 2023

In July 2023, BSX traded between $51.50 and $53.52. ATM implied volatility averaged 20.4%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.5% (HV 20d: 15.8%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2023-07-28: Highest Volume — 16,302 contracts
  • 2023-07-27: Largest IV drop — 26.0% change
  • 2023-07-26: Highest IV Rank — 31.1%
  • 2023-07-26: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.65$51.50$53.52$53.52$51.64
Max Pain$50.88$50.00$52.50$52.50$52.50
ATM IV20.4%16.8%24.4%16.8%19.1%
Expected Move5.9%4.8%7.0%4.8%5.5%
HV 20d15.8%11.6%19.1%19.1%16.1%
HV 60d19.2%18.2%19.8%19.8%19.3%
IV Rank18.1%6.6%31.1%6.6%14.2%
IV Percentile24.3%2.8%56.7%2.8%12.7%
Term Structure0.3%-1.5%3.8%3.3%1.9%
VWIV20.8%15.2%25.8%15.2%20.6%
Skew 25d2.9%0.5%4.3%2.4%0.5%
Skew 10d5.6%-1.2%9.8%3.2%-1.2%
Call IV 25d19.6%15.0%23.3%15.0%20.1%
Put IV 25d22.5%17.4%26.5%17.4%20.5%
Bid-Ask Spread %30.817.9276.6114.0848.81
Gamma HHI0.240.180.310.290.31
Net GEX3.4M-3.8M6.6M6.6M-3.1M
Net DEX-66.7M-111.1M-8.9M-98.4M-16.4M
Net VEX-1.2M-1.4M-1.1M-1.1M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.057.910.050.88
Total Volume5,613.851,01316,3021,01312,628
Total OI148,331.05129,941195,773129,941195,773

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$53.52$52.5016.8%4.8%19.1%6.6%15.2%2.4%3.3%6.6M-98.4M-1.1M0.0514.08N/AN/A9615264,14965,792
2023-07-05$53.16$52.5018.8%5.4%18.8%12.9%17.5%4.1%2.0%5.8M-85.2M-1.2M1.627.92N/AN/A1,3152,13464,65265,824
2023-07-06$52.97$50.0019.0%6.1%18.0%13.6%20.4%3.9%-0.1%5.2M-75.9M-1.2M1.2018.24N/AN/A1,3131,57365,49467,816
2023-07-07$52.36$50.0018.3%5.6%18.7%11.3%19.2%3.2%1.1%3.9M-61.4M-1.2M0.5618.94N/AN/A1,05758866,37368,899
2023-07-10$52.58$50.0020.6%5.9%18.7%18.7%22.7%3.5%-0.0%4.6M-66.2M-1.2M3.2621.21N/AN/A7002,28466,73169,127
2023-07-11$52.47$50.0019.4%5.8%18.6%14.9%19.3%3.5%0.2%4.2M-60.9M-1.2M0.9425.39N/AN/A88783566,86070,893
2023-07-12$52.45$50.0020.6%5.9%18.6%18.9%20.6%2.1%-0.1%4.1M-62.1M-1.2M0.2317.41N/AN/A1,31930967,28371,617
2023-07-13$52.97$50.0021.7%6.2%18.8%22.5%21.4%4.1%-1.0%5.4M-79.2M-1.2M0.5121.76N/AN/A86844267,99571,705
2023-07-14$53.02$50.0020.6%5.9%12.9%18.8%19.8%3.4%0.0%5.8M-86.5M-1.2M0.5541.04N/AN/A1,30171768,14271,959
2023-07-17$52.72$50.0021.0%6.0%11.7%20.1%23.5%2.9%-0.6%4.8M-70.7M-1.2M7.9115.61N/AN/A5204,11468,59372,303
2023-07-18$52.80$50.0021.2%6.1%11.6%20.8%23.6%3.6%-0.9%4.3M-69.0M-1.2M2.8023.14N/AN/A1,7344,86168,73076,291
2023-07-19$52.50$50.0021.9%6.3%11.7%23.0%22.4%3.0%-1.1%3.9M-59.9M-1.2M0.5056.24N/AN/A3,6681,81769,88280,590
2023-07-20$53.52$50.0022.9%6.6%13.8%26.2%22.7%3.4%-0.8%5.7M-111.1M-1.2M0.3258.39N/AN/A3,2011,01072,95682,156
2023-07-21$53.20$50.0021.3%6.1%13.2%21.1%21.1%2.9%-0.5%4.5M-99.3M-1.2M0.4423.36N/AN/A81235873,59282,273
2023-07-24$52.13$50.0022.7%6.5%14.6%25.6%23.6%1.5%-1.5%1.2M-45.0M-1.2M2.1011.11N/AN/A3,5427,43966,14578,697
2023-07-25$52.45$52.5022.0%6.3%14.6%23.3%20.9%4.3%-0.8%682.7K-49.3M-1.2M0.0517.76N/AN/A6,58430367,80285,533
2023-07-26$52.31$52.5024.4%7.0%14.6%31.1%25.8%3.2%-1.5%1.8M-59.3M-1.2M2.0764.20N/AN/A3,8077,89273,81285,768
2023-07-27$52.77$52.5018.1%5.2%15.1%10.6%18.0%2.4%3.3%2.8M-69.0M-1.2M1.5134.94N/AN/A5,1947,83676,21790,522
2023-07-28$51.50$52.5017.1%4.9%17.3%7.4%17.3%0.6%3.8%-3.8M-8.9M-1.3M0.9376.61N/AN/A8,4317,87180,36197,314
2023-07-31$51.64$52.5019.1%5.5%16.1%14.2%20.6%0.5%1.9%-3.1M-16.4M-1.4M0.8848.81N/AN/A6,7165,91291,468104,305