Boston Scientific [BSX]
The memo issues no position verdict. This section states the vehicle, the measured inputs and the levels. The book decides whether to own it.
criteria.md: "Equity is the default and needs no argument." No argument for a higher rung is made,
therefore the vehicle is equity. The required disclosures follow regardless of vehicle.
| Item | Value |
|---|---|
| Chosen vehicle / ladder position | Equity, step 1 |
| Trailing 252-day realised volatility | 37.0% |
| Measured implied volatility (Jun-2027 $45 call, ATM, delta 0.64) | 46.43% |
| Implied − realised | +9.4pp |
| Quoted size at the strike | bid 8.63 × 1,201 / ask 9.72 × 1,217 |
| Bid-ask as % of mid | 11.2% |
| Open interest at strike | 751 |
Why not the LEAP. The Jun-2027 chain is genuinely deep — 1,200+ contracts on both sides at the $45 strike, unlike the HCA (18 contracts), GMED (13) and CRDO (78) chains that failed constructability. The failure here is price, not depth: an 11.2% bid-ask spread on top of a 9.4pp implied-over-realised premium means the option must be right by roughly 20% of premium before the equity is beaten. Every chain pulled on 2026-07-29 in this cluster showed implied above realised; a LEAP pays that spread for eleven months. No convexity argument is advanced, so the vehicle is equity.
| Level | Basis | |
|---|---|---|
| Spot | $46.04 | 2026-07-29 close |
| 12-month target | $57.00 (+23.8%) | 4.2x EV/Sales on $21,900m NTM revenue, ~2nd percentile of own 8-year history |
| 52-week range | $42.63 – $108.14 | −57.4% from high |
| Own-history EV/Sales floor | 4.26x → ~$57.50 | 8-year minimum (Mar-2020 COVID trough) |
| Bear case | $40 (−13%) / $33 (−28%) on multiple compression | PFA share loss + WATCHMAN air-pocket; p=30% |