BSX Options History — October 2015

In October 2015, BSX traded between $16.42 and $18.36. ATM implied volatility averaged 29.9%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.4% (HV 20d: 28.5%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2015-10-06: Highest Volume — 15,687 contracts
  • 2015-10-28: Largest IV drop — 20.1% change
  • 2015-10-12: Highest IV Rank — 53.6%
  • 2015-10-22: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.02$16.42$18.36$16.49$18.31
Max Pain$16.86$16.00$17.00$17.00$17.00
ATM IV29.9%24.2%35.1%32.3%24.2%
Expected Move8.5%6.9%9.4%9.2%6.9%
HV 20d28.5%24.1%39.9%28.0%39.4%
HV 60d28.7%27.0%33.9%27.0%33.1%
IV Rank36.6%18.0%53.6%44.3%18.0%
IV Percentile71.7%37.7%92.5%83.3%37.7%
Term Structure-1.2%-3.2%4.5%1.5%1.0%
VWIV31.0%22.3%36.3%32.4%22.3%
Skew 25d5.5%3.1%7.2%5.5%4.0%
Skew 10d11.3%6.2%16.3%9.3%6.2%
Call IV 25d27.5%21.5%30.5%28.3%22.1%
Put IV 25d33.0%26.1%37.0%33.8%26.1%
Bid-Ask Spread %6.874.9610.195.466.31
Gamma HHI0.290.200.420.210.37
Net GEX1.2M307.3K2.4M307.3K2.2M
Net DEX-15.0M-43.6M-4.2M-4.2M-38.1M
Net VEX-139.8K-167.0K-126.1K-129.3K-156.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.121.371.040.99
Total Volume7,315.9552,64415,6873,1544,782
Total OI65,370.72751,97171,12551,97167,666

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$16.49$17.0032.3%9.2%28.0%44.3%32.4%5.5%1.5%307.3K-4.2M-129.3K1.045.46N/AN/A1,5461,60831,47620,495
2015-10-02$16.84$17.0027.0%7.7%29.0%27.2%29.6%3.1%4.5%397.1K-7.6M-132.5K0.216.30N/AN/A7,4151,59031,55221,125
2015-10-05$17.07$16.0028.3%9.0%28.8%31.3%32.2%7.2%-2.0%858.7K-11.1M-136.2K0.127.24N/AN/A5,69169036,59421,251
2015-10-06$16.60$17.0031.6%9.1%27.4%42.1%33.7%7.2%-2.5%651.2K-7.0M-142.4K0.148.31N/AN/A13,7841,90341,81721,430
2015-10-07$16.81$17.0033.0%9.1%26.9%46.5%36.3%6.6%-2.3%1.4M-12.0M-150.5K0.167.35N/AN/A7,0211,15747,32921,968
2015-10-08$16.76$17.0031.2%9.2%26.7%40.7%36.3%5.6%-2.6%1.4M-11.7M-147.1K0.209.05N/AN/A6,6061,31447,66422,046
2015-10-09$16.83$17.0032.7%9.0%26.7%45.6%32.8%6.3%-1.8%1.4M-12.6M-144.1K0.1710.17N/AN/A6,9271,21247,67621,975
2015-10-12$16.95$17.0035.1%8.5%26.6%53.6%33.3%6.2%-1.5%1.7M-14.3M-140.0K0.2210.19N/AN/A6,7781,50947,71621,936
2015-10-13$16.73$17.0035.1%8.7%25.8%53.5%33.4%5.2%-2.3%1.4M-10.6M-134.2K0.216.09N/AN/A6,5071,38647,81621,696
2015-10-14$16.61$17.0029.3%8.4%25.8%34.6%30.3%5.7%-1.3%1.3M-8.3M-128.5K0.225.67N/AN/A7,2921,57847,82221,686
2015-10-15$16.87$17.0029.4%8.4%26.5%35.0%34.0%6.2%-1.5%1.8M-11.3M-129.0K0.786.12N/AN/A1,4841,16048,09321,662
2015-10-16$17.09$17.0028.0%8.0%25.7%30.2%26.3%5.2%-1.3%596.9K-20.6M-128.9K0.186.99N/AN/A10,7561,92248,10421,705
2015-10-19$17.08$17.0027.8%8.0%25.6%29.6%27.8%4.7%-1.4%1.1M-14.0M-137.4K0.874.96N/AN/A2,0631,79641,00120,639
2015-10-20$17.03$17.0028.2%8.1%24.8%31.2%28.0%5.3%-1.4%1.0M-13.0M-137.2K0.735.73N/AN/A2,4361,78641,59820,870
2015-10-21$17.18$17.0029.3%8.4%24.1%34.7%30.2%4.8%-1.2%1.2M-15.5M-141.6K0.825.91N/AN/A1,8701,52742,16320,865
2015-10-22$16.42$17.0032.8%9.4%29.2%46.0%34.9%5.3%-2.6%608.7K-5.7M-126.1K1.366.34N/AN/A2,1272,90142,27620,901
2015-10-23$16.73$17.0030.5%8.7%28.1%38.5%35.9%4.8%-2.6%849.1K-10.0M-132.2K1.375.46N/AN/A1,9152,62742,52021,785
2015-10-26$16.71$17.0031.2%8.9%26.5%40.7%31.5%6.4%-2.6%797.8K-8.0M-127.3K0.147.35N/AN/A7,0411,00242,90821,742
2015-10-27$16.83$17.0031.7%9.1%26.5%42.4%33.2%5.5%-3.2%1.2M-13.5M-148.7K0.306.15N/AN/A7,6392,30548,21621,738
2015-10-28$18.36$16.0025.3%7.3%39.5%21.6%24.5%6.5%-0.1%2.4M-43.6M-167.0K0.427.34N/AN/A9,2293,85048,67522,450
2015-10-29$18.19$16.0024.3%7.0%39.9%18.3%22.3%4.5%-0.0%2.2M-36.3M-157.6K0.756.74N/AN/A2,9762,24345,34422,165
2015-10-30$18.31$17.0024.2%6.9%39.4%18.0%22.3%4.0%1.0%2.2M-38.1M-156.9K0.996.31N/AN/A2,4072,37545,30422,362