BSX Options History — September 2023

In September 2023, BSX traded between $52.11 and $54.63. ATM implied volatility averaged 19.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.3% (HV 20d: 23.2%). Max pain ranged from $51.00 to $53.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.83.

Notable Days

  • 2023-09-20: Highest Volume — 21,165 contracts
  • 2023-09-21: Largest IV spike — 10.8% change
  • 2023-09-27: Highest IV Rank — 31.4%
  • 2023-09-27: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.44$52.11$54.63$53.61$52.70
Max Pain$52.50$51.00$53.00$51.00$53.00
ATM IV19.9%17.4%24.5%17.7%23.0%
Expected Move5.4%4.5%6.1%4.5%5.9%
HV 20d23.2%15.3%25.8%23.9%18.2%
HV 60d19.4%18.7%20.1%20.0%20.0%
IV Rank16.6%8.4%31.4%9.4%26.6%
IV Percentile24.9%6.0%66.3%7.5%56.7%
Term Structure0.5%-0.9%3.6%-0.1%-0.2%
VWIV18.6%16.4%21.8%17.3%21.8%
Skew 25d2.9%2.0%4.2%2.9%3.5%
Skew 10d5.7%3.2%9.6%5.7%6.4%
Call IV 25d18.4%15.9%22.6%16.5%21.9%
Put IV 25d21.3%18.4%26.6%19.4%25.3%
Bid-Ask Spread %29.126.9966.0610.7137.30
Gamma HHI0.230.130.460.230.13
Net GEX21.1M1.3M49.1M31.7M2.5M
Net DEX-203.4M-408.6M-18.1M-407.0M-45.7M
Net VEX-1.4M-1.6M-1.3M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.1314.173.4414.17
Total Volume9,659.32,66221,16511,4916,449
Total OI239,775.9180,192326,539326,539194,832

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$53.61$51.0017.7%4.5%23.9%9.4%17.3%2.9%-0.1%31.7M-407.0M-1.6M3.4410.71N/AN/A2,5888,903176,702149,837
2023-09-05$53.45$52.5019.5%5.5%23.9%15.4%18.4%2.2%0.1%27.1M-267.4M-1.6M2.866.99N/AN/A1,0983,138137,423134,381
2023-09-06$54.11$52.5019.6%5.2%24.1%15.4%18.5%2.4%-0.6%28.6M-332.3M-1.5M2.5412.43N/AN/A1,6334,142138,159135,804
2023-09-07$53.95$52.5019.8%5.2%24.1%16.1%17.9%2.5%-0.5%26.8M-324.9M-1.5M1.7710.98N/AN/A2,1423,794138,541134,871
2023-09-08$53.94$52.5019.3%5.1%23.9%14.8%18.7%2.8%-0.3%19.1M-321.1M-1.5M7.4330.82N/AN/A1,1328,407139,086136,559
2023-09-11$54.63$52.5018.2%5.1%24.2%11.2%17.9%2.5%-0.5%28.5M-408.6M-1.4M0.1319.08N/AN/A11,1241,473137,695131,345
2023-09-12$53.53$52.5018.2%5.5%25.6%11.1%17.9%2.1%0.6%29.2M-285.7M-1.4M1.1217.48N/AN/A5,4466,088144,514132,314
2023-09-13$53.09$52.5019.1%5.4%25.8%14.0%18.5%2.9%-0.6%35.7M-242.4M-1.4M10.4210.61N/AN/A1,23912,911148,196133,244
2023-09-14$52.97$52.5018.7%5.3%25.7%12.7%17.2%2.6%0.1%49.1M-233.9M-1.4M0.249.41N/AN/A4,9091,155148,388134,460
2023-09-15$52.89$52.5018.6%5.4%25.4%12.3%18.2%2.3%0.5%17.0M-262.1M-1.3M0.2466.06N/AN/A15,2643,642151,882134,761
2023-09-18$53.05$52.5018.8%5.4%24.5%13.0%18.3%2.0%3.2%8.1M-86.9M-1.3M0.4825.16N/AN/A11,1565,39897,23397,408
2023-09-19$53.14$52.5019.1%5.4%24.5%14.0%19.2%3.1%2.9%11.5M-96.3M-1.4M0.8312.67N/AN/A3,4102,816106,943100,356
2023-09-20$54.05$52.5017.4%5.0%25.0%8.4%16.4%2.5%3.0%23.0M-176.3M-1.4M0.6563.75N/AN/A12,8038,362109,065102,334
2023-09-21$54.08$52.5019.2%5.4%24.9%14.4%18.5%2.6%2.7%17.6M-166.8M-1.4M4.3228.47N/AN/A2,82212,194108,922104,960
2023-09-22$53.55$52.5019.1%5.1%25.4%14.1%17.5%2.5%3.6%39.4M-121.9M-1.4M0.5564.36N/AN/A4,2622,336109,911102,382
2023-09-25$53.75$52.5020.9%5.3%25.3%19.9%17.6%3.8%-0.8%10.7M-116.5M-1.4M0.3065.99N/AN/A2,55676085,97794,215
2023-09-26$52.86$52.5023.0%5.6%16.4%26.5%18.5%4.0%-0.9%6.8M-66.6M-1.4M1.0751.15N/AN/A2,4602,63187,44294,702
2023-09-27$52.11$53.0024.5%6.1%15.3%31.4%21.6%3.5%-0.3%1.3M-18.1M-1.4M3.6812.67N/AN/A2,1137,76888,48299,036
2023-09-28$53.38$53.0024.3%6.0%17.8%30.7%21.5%4.2%-0.9%7.5M-87.9M-1.4M0.3126.26N/AN/A2,03163188,799104,357
2023-09-29$52.70$53.0023.0%5.9%18.2%26.6%21.8%3.5%-0.2%2.5M-45.7M-1.4M14.1737.30N/AN/A4256,02490,356104,476