BSX Options History — March 2024

In March 2024, BSX traded between $66.13 and $68.72. ATM implied volatility averaged 18.4%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.3% (HV 20d: 15.1%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2024-03-13: Highest Volume — 12,515 contracts
  • 2024-03-11: Largest IV spike — 26.3% change
  • 2024-03-11: Highest IV Rank — 25.7%
  • 2024-03-15: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.35$66.13$68.72$67.28$68.72
Max Pain$66.88$65.00$67.50$65.00$67.50
ATM IV18.4%16.7%23.5%17.3%16.7%
Expected Move5.2%4.8%5.6%5.0%4.8%
HV 20d15.1%11.1%17.6%11.3%16.8%
HV 60d15.1%13.9%15.9%13.9%15.0%
IV Rank10.8%5.8%25.7%7.4%5.8%
IV Percentile27.4%4.8%79.4%12.7%4.8%
Term Structure2.6%0.9%4.3%0.9%4.3%
VWIV18.3%16.1%21.6%18.1%16.1%
Skew 25d1.8%1.3%2.6%1.6%1.7%
Skew 10d3.9%1.7%6.7%6.7%3.9%
Call IV 25d17.4%15.8%19.0%17.8%15.9%
Put IV 25d19.3%17.5%20.9%19.4%17.5%
Bid-Ask Spread %38.319.8366.199.8325.39
Gamma HHI0.340.310.450.310.38
Net GEX10.6M4.8M16.4M10.6M12.9M
Net DEX-221.2M-267.4M-174.9M-227.5M-267.4M
Net VEX-1.5M-1.5M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.062.401.860.31
Total Volume3,09865312,5152,1611,466
Total OI145,779.25137,721155,033141,655148,060

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$67.28$65.0017.3%5.0%11.3%7.4%18.1%1.6%0.9%10.6M-227.5M-1.5M1.869.83N/AN/A7551,40666,96674,689
2024-03-04$67.28$67.5018.4%5.3%11.1%10.7%19.5%2.3%1.9%10.5M-221.0M-1.5M0.4747.81N/AN/A75435667,47675,664
2024-03-05$66.87$67.5019.4%5.3%11.5%13.5%19.1%2.3%2.1%10.7M-210.5M-1.5M0.5566.19N/AN/A1,60087767,60475,733
2024-03-06$67.30$67.5019.5%5.3%11.6%13.8%21.6%1.6%2.0%11.0M-219.5M-1.5M0.2442.91N/AN/A73517467,53176,247
2024-03-07$67.97$67.5018.5%5.4%11.8%11.0%18.2%1.8%1.9%12.0M-248.9M-1.5M0.1644.34N/AN/A3,75660168,15676,295
2024-03-08$67.63$67.5018.6%5.2%11.9%11.3%19.1%1.7%2.1%13.7M-248.8M-1.4M2.4044.66N/AN/A6081,45969,38976,306
2024-03-11$66.19$67.5023.5%5.6%14.4%25.7%19.6%2.2%1.4%10.9M-181.2M-1.5M0.6536.98N/AN/A1,16576369,52877,260
2024-03-12$67.44$65.0020.9%5.2%15.4%18.0%19.5%1.9%2.1%16.4M-232.9M-1.5M1.7055.10N/AN/A9891,68069,97977,530
2024-03-13$66.22$67.5019.4%5.6%17.0%13.7%18.3%2.2%1.7%10.2M-174.9M-1.5M0.0948.46N/AN/A11,5051,01070,16579,157
2024-03-14$66.53$65.0018.1%5.2%16.2%10.0%18.2%2.4%1.9%10.9M-191.1M-1.5M0.3851.96N/AN/A1,09941775,26479,714
2024-03-15$66.13$65.0019.7%5.6%16.4%14.6%19.3%1.8%2.2%4.8M-175.0M-1.5M0.0941.61N/AN/A7,05561975,35279,681
2024-03-18$67.25$65.0018.0%5.2%17.4%9.6%18.1%1.9%2.5%7.2M-203.1M-1.5M0.2930.79N/AN/A3,7561,10265,76171,960
2024-03-19$67.73$67.5017.3%5.0%17.5%7.4%17.4%1.5%3.6%8.4M-219.5M-1.5M0.0627.15N/AN/A5,40332667,13072,382
2024-03-20$67.28$67.5017.0%4.9%17.6%6.6%16.9%1.4%3.1%9.3M-220.5M-1.5M0.4950.60N/AN/A1,31363971,29572,456
2024-03-21$67.69$67.5017.1%4.9%16.8%7.0%17.3%1.3%3.5%9.6M-229.5M-1.5M1.2227.37N/AN/A51162271,96872,544
2024-03-22$67.72$67.5016.9%4.9%16.7%6.4%16.7%1.3%3.7%9.8M-232.2M-1.5M0.1327.99N/AN/A2,13227772,10372,744
2024-03-25$67.32$67.5017.4%5.0%16.8%7.8%17.5%1.3%3.8%10.1M-220.1M-1.5M0.6032.64N/AN/A40924473,76672,828
2024-03-26$67.94$67.5017.4%5.0%17.0%7.7%17.0%2.0%4.2%11.1M-236.7M-1.5M0.4029.58N/AN/A1,75469473,94773,303
2024-03-27$68.56$67.5017.4%5.0%17.1%7.7%17.6%2.6%3.5%12.7M-263.9M-1.4M0.2924.93N/AN/A1,49143874,22173,431
2024-03-28$68.72$67.5016.7%4.8%16.8%5.8%16.1%1.7%4.3%12.9M-267.4M-1.4M0.3125.39N/AN/A1,12134574,53573,525