BSX Options History — August 2023 In August 2023, BSX traded between $50.17 and $54.80. ATM implied volatility averaged 24.4%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 6.5% (HV 20d: 17.9%). Max pain ranged from $50.50 to $52.50. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.07.
Notable Days 2023-08-28 : Highest Volume — 57,510 contracts2023-08-28 : Largest IV drop — 32.2% change2023-08-25 : Highest IV Rank — 58.7%2023-08-25 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $51.48 $50.17 $54.80 $51.88 $54.11 Max Pain $51.85 $50.50 $52.50 $52.50 $51.00 ATM IV 24.4% 17.6% 33.0% 17.6% 18.7% Expected Move 7.1% 4.3% 10.4% 5.1% 4.5% HV 20d 17.9% 12.9% 24.9% 15.8% 23.6% HV 60d 18.4% 16.0% 20.2% 19.1% 19.9% IV Rank 31.1% 9.3% 58.7% 9.3% 12.6% IV Percentile 54.6% 7.1% 91.7% 7.1% 11.5% Term Structure -0.7% -3.6% 3.4% 3.4% -0.2% VWIV 24.9% 17.0% 37.4% 17.9% 17.1% Skew 25d 2.9% 1.8% 5.2% 2.1% 2.2% Skew 10d 6.1% 2.9% 11.3% 2.9% 5.6% Call IV 25d 23.8% 17.0% 30.9% 19.0% 17.3% Put IV 25d 26.7% 19.3% 36.1% 21.1% 19.6% Bid-Ask Spread % 25.23 11.31 66.22 47.48 15.98 Gamma HHI 0.30 0.13 0.66 0.31 0.30 Net GEX 4.8M -48.0M 69.1M -3.4M 69.1M Net DEX -108.3M -597.5M 36.8M -31.5M -499.7M Net VEX -1.5M -1.8M -1.3M -1.4M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.11 3.39 1.24 0.46 Total Volume 16,255.13 1,744 57,510 3,855 7,316 Total OI 243,658.391 194,424 322,565 207,994 322,565
Daily Data (23 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 2023-08-01 $51.88 $52.50 17.6% 5.1% 15.8% 9.3% 17.9% 2.1% 3.4% -3.4M -31.5M -1.4M 1.24 47.48 N/A N/A 1,719 2,136 98,739 109,255 2023-08-02 $50.70 $52.50 21.6% 6.2% 17.5% 22.0% 21.2% 3.3% 2.5% -9.1M 36.8M -1.4M 0.11 17.22 N/A N/A 10,588 1,116 99,832 111,369 2023-08-03 $50.92 $52.50 21.1% 6.7% 17.7% 20.5% 22.5% 2.6% 0.1% -6.3M 9.6M -1.4M 1.36 66.22 N/A N/A 738 1,006 104,288 111,495 2023-08-04 $50.73 $52.50 20.3% 6.7% 17.3% 17.8% 22.7% 1.9% 0.0% -9.2M 29.2M -1.4M 1.77 31.89 N/A N/A 2,384 4,228 104,629 111,365 2023-08-07 $50.64 $52.50 20.4% 6.5% 17.2% 18.1% 22.5% 2.1% 0.2% -10.6M 34.5M -1.4M 0.21 16.89 N/A N/A 1,986 422 106,435 111,769 2023-08-08 $50.69 $52.50 23.0% 7.1% 17.2% 26.6% 24.6% 2.8% -1.6% -10.0M 28.2M -1.4M 1.61 37.63 N/A N/A 4,390 7,069 107,520 109,813 2023-08-09 $51.20 $52.50 23.2% 6.7% 17.7% 27.3% 22.7% 2.5% -0.5% -5.8M -23.7M -1.3M 0.41 16.44 N/A N/A 1,828 742 107,932 108,339 2023-08-10 $50.91 $52.50 23.2% 6.6% 17.3% 27.1% 22.0% 2.6% -0.0% -8.7M -2.7M -1.3M 1.27 13.91 N/A N/A 1,078 1,373 108,640 110,666 2023-08-11 $51.09 $52.50 26.3% 7.5% 17.4% 37.1% 25.6% 3.0% -2.3% -8.3M -17.3M -1.3M 0.68 11.90 N/A N/A 6,350 4,294 108,980 110,695 2023-08-14 $51.39 $52.50 23.4% 6.7% 17.5% 27.8% 24.3% 2.8% -1.1% -3.4M -54.7M -1.3M 2.12 14.37 N/A N/A 1,199 2,539 115,320 111,898 2023-08-15 $51.70 $52.50 24.9% 7.2% 17.7% 32.8% 26.0% 2.8% -2.1% -1.9M -67.5M -1.4M 0.59 11.31 N/A N/A 7,811 4,582 115,744 113,573 2023-08-16 $51.50 $52.50 27.5% 7.9% 17.6% 41.0% 28.3% 1.8% -3.6% -3.1M -61.6M -1.4M 1.75 49.91 N/A N/A 7,572 13,246 120,366 116,449 2023-08-17 $50.95 $52.50 27.5% 7.9% 16.2% 41.1% 26.1% 3.5% -0.4% -3.9M -36.4M -1.4M 1.06 12.76 N/A N/A 8,218 8,706 126,484 120,658 2023-08-18 $50.17 $52.50 28.3% 8.2% 16.8% 43.6% 29.0% 2.9% -1.1% -48.0M 6.7M -1.4M 3.39 12.72 N/A N/A 4,240 14,387 131,555 119,316 2023-08-21 $50.50 $52.50 29.0% 8.3% 15.8% 45.7% 31.3% 3.3% -0.8% 1.9M -9.4M -1.5M 1.40 24.78 N/A N/A 9,060 12,712 94,338 100,086 2023-08-22 $50.45 $50.50 30.3% 9.1% 15.6% 50.0% 30.3% 3.7% -2.0% 1.3M -11.7M -1.5M 0.13 40.54 N/A N/A 27,552 3,679 102,308 112,455 2023-08-23 $50.36 $50.50 29.7% 8.7% 15.6% 47.9% 30.6% 3.2% -1.6% 5.3M -22.9M -1.6M 0.77 20.14 N/A N/A 30,649 23,714 125,436 114,917 2023-08-24 $50.50 $50.50 31.5% 9.4% 15.1% 53.8% 32.0% 3.7% -2.1% 10.6M -78.9M -1.8M 1.52 16.51 N/A N/A 6,186 9,396 154,739 118,048 2023-08-25 $50.80 $50.50 33.0% 10.4% 12.9% 58.7% 37.4% 5.2% -2.0% 10.8M -102.2M -1.8M 0.94 15.39 N/A N/A 14,588 13,674 159,304 126,759 2023-08-28 $53.77 $50.50 22.4% 5.5% 24.2% 24.5% 20.9% 3.3% -1.0% 47.2M -481.9M -1.6M 0.51 48.09 N/A N/A 38,153 19,357 168,674 137,392 2023-08-29 $54.80 $50.50 20.8% 5.0% 24.9% 19.3% 19.7% 3.2% -0.3% 41.7M -597.5M -1.5M 0.91 24.20 N/A N/A 12,337 11,211 172,674 141,899 2023-08-30 $54.31 $51.00 18.1% 4.3% 23.4% 10.6% 17.0% 2.2% 0.1% 53.6M -535.4M -1.6M 0.46 14.12 N/A N/A 5,722 2,615 171,104 148,321 2023-08-31 $54.11 $51.00 18.7% 4.5% 23.6% 12.6% 17.1% 2.2% -0.2% 69.1M -499.7M -1.5M 0.46 15.98 N/A N/A 5,002 2,314 172,428 150,137
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