BSX Options History — September 2024 In September 2024, BSX traded between $80.94 and $84.10. ATM implied volatility averaged 20.7%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.8% (HV 20d: 13.9%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.85.
Notable Days 2024-09-18 : Highest Volume — 15,024 contracts2024-09-23 : Largest IV spike — 13.8% change2024-09-30 : Highest IV Rank — 26.0%2024-09-06 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $82.87 $80.94 $84.10 $80.94 $83.63 Max Pain $79.78 $77.50 $82.50 $77.50 $80.00 ATM IV 20.7% 18.4% 23.8% 19.8% 23.8% Expected Move 5.5% 4.9% 6.0% 5.9% 5.3% HV 20d 13.9% 13.0% 14.8% 14.6% 13.2% HV 60d 18.8% 18.5% 19.1% 18.5% 19.0% IV Rank 16.9% 10.1% 26.0% 14.2% 26.0% IV Percentile 64.6% 42.5% 81.7% 61.9% 81.7% Term Structure 1.6% -0.4% 5.4% 0.7% 2.8% VWIV 19.1% 16.2% 22.0% 20.4% 18.6% Skew 25d 3.0% 2.0% 3.9% 2.3% 3.9% Skew 10d 6.2% 1.5% 9.9% 5.9% 8.0% Call IV 25d 19.4% 16.3% 23.7% 18.7% 23.7% Put IV 25d 22.4% 18.9% 27.6% 21.0% 27.6% Bid-Ask Spread % 55.00 42.61 64.76 60.96 48.47 Gamma HHI 0.14 0.11 0.17 0.12 0.16 Net GEX 14.3M 10.4M 19.8M 10.4M 15.2M Net DEX -374.4M -471.8M -306.0M -308.9M -328.6M Net VEX -1.9M -2.1M -1.8M -1.8M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.14 3.96 0.55 3.96 Total Volume 5,649.1 1,322 15,024 2,838 5,065 Total OI 205,032.2 193,256 226,424 193,256 204,147
Daily Data (20 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 2024-09-03 $80.94 $77.50 19.8% 5.9% 14.6% 14.2% 20.4% 2.3% 0.7% 10.4M -308.9M -1.8M 0.55 60.96 N/A N/A 1,835 1,003 83,033 110,223 2024-09-04 $81.94 $77.50 20.1% 5.8% 13.6% 15.0% 20.6% 3.0% -0.2% 11.3M -339.7M -1.9M 0.94 45.98 N/A N/A 1,034 972 84,037 110,985 2024-09-05 $81.06 $77.50 20.4% 5.9% 14.5% 15.9% 19.8% 2.9% -0.4% 11.6M -306.0M -1.8M 0.39 42.61 N/A N/A 2,450 950 84,314 111,625 2024-09-06 $81.56 $80.00 20.8% 6.0% 13.3% 17.1% 21.1% 3.6% -0.1% 12.5M -332.9M -1.9M 0.28 51.99 N/A N/A 2,640 738 86,172 112,068 2024-09-09 $82.50 $80.00 20.7% 5.9% 13.4% 16.8% 19.7% 3.4% -0.3% 12.3M -377.3M -1.8M 1.74 51.17 N/A N/A 2,392 4,165 85,744 110,653 2024-09-10 $83.00 $80.00 20.5% 5.8% 13.0% 16.2% 19.8% 3.0% -0.3% 12.8M -397.7M -1.8M 1.40 55.77 N/A N/A 1,465 2,058 87,120 111,831 2024-09-11 $82.84 $80.00 18.7% 5.8% 13.1% 11.0% 20.6% 2.3% 2.2% 13.7M -391.6M -1.9M 0.91 51.71 N/A N/A 2,269 2,056 87,605 113,060 2024-09-12 $83.74 $80.00 18.9% 5.7% 13.2% 11.5% 18.9% 3.0% 1.2% 13.3M -423.7M -1.9M 0.63 54.63 N/A N/A 1,929 1,223 88,817 114,179 2024-09-13 $83.22 $80.00 18.4% 5.4% 13.1% 10.1% 18.8% 2.0% 0.6% 14.6M -420.2M -1.8M 0.65 57.21 N/A N/A 5,799 3,780 89,945 114,682 2024-09-16 $83.63 $80.00 19.8% 5.7% 13.1% 14.2% 19.9% 3.5% 3.3% 13.2M -421.4M -2.0M 0.53 60.91 N/A N/A 2,354 1,248 91,750 112,915 2024-09-17 $82.32 $80.00 20.1% 5.8% 14.6% 15.2% 21.4% 3.0% 2.7% 13.2M -367.5M -2.0M 0.14 57.83 N/A N/A 11,862 1,642 92,191 113,937 2024-09-18 $82.47 $80.00 19.8% 5.7% 14.2% 14.2% 22.0% 3.3% 4.3% 19.8M -405.5M -2.0M 1.30 64.76 N/A N/A 6,527 8,497 99,915 115,167 2024-09-19 $83.69 $80.00 19.7% 5.5% 14.8% 14.1% 18.1% 2.5% 3.5% 16.9M -462.5M -2.0M 0.84 57.52 N/A N/A 4,287 3,581 101,112 122,740 2024-09-20 $83.94 $82.50 19.0% 4.9% 14.6% 11.8% 16.9% 2.6% 5.4% 13.6M -471.8M -2.0M 0.29 52.70 N/A N/A 9,335 2,723 101,834 124,590 2024-09-23 $84.10 $80.00 21.6% 4.9% 14.2% 19.5% 16.2% 3.4% 1.2% 15.3M -379.3M -1.9M 0.25 57.91 N/A N/A 3,426 855 90,446 111,700 2024-09-24 $83.38 $80.00 22.9% 5.1% 14.8% 23.3% 17.1% 3.2% 0.8% 16.5M -351.3M -2.0M 0.62 59.47 N/A N/A 1,253 779 92,565 112,006 2024-09-25 $83.22 $80.00 22.9% 5.1% 14.8% 23.5% 17.2% 2.8% 0.8% 16.6M -338.2M -2.0M 0.51 58.63 N/A N/A 4,389 2,253 92,534 112,753 2024-09-26 $82.97 $80.00 23.2% 5.1% 14.7% 24.2% 17.6% 3.5% 0.7% 17.3M -320.6M -2.1M 0.58 53.71 N/A N/A 1,788 1,038 95,690 114,815 2024-09-27 $83.31 $80.50 23.2% 5.2% 13.9% 24.4% 18.2% 3.6% 2.7% 14.8M -342.7M -2.1M 0.51 56.10 N/A N/A 874 448 96,320 115,424 2024-09-30 $83.63 $80.00 23.8% 5.3% 13.2% 26.0% 18.6% 3.9% 2.8% 15.2M -328.6M -2.1M 3.96 48.47 N/A N/A 1,022 4,043 92,921 111,226
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