BSX Options History — November 2015

In November 2015, BSX traded between $17.54 and $18.93. ATM implied volatility averaged 24.5%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 13.2% (HV 20d: 37.7%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2015-11-18: Highest Volume — 8,536 contracts
  • 2015-11-16: Largest IV spike — 4.6% change
  • 2015-11-17: Highest IV Rank — 24.4%
  • 2015-11-17: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.24$17.54$18.93$18.86$18.28
Max Pain$17.35$17.00$18.00$17.00$17.00
ATM IV24.5%22.5%26.2%22.5%25.3%
Expected Move7.0%6.5%7.5%6.5%7.3%
HV 20d37.7%23.5%42.5%40.3%23.5%
HV 60d33.2%30.9%34.7%33.6%30.9%
IV Rank18.9%12.6%24.4%12.6%21.6%
IV Percentile40.5%25.0%52.0%25.0%47.6%
Term Structure1.0%-0.4%2.0%0.2%0.5%
VWIV26.2%23.0%32.1%23.0%23.8%
Skew 25d4.2%2.2%9.5%9.5%4.2%
Skew 10d8.8%5.3%17.3%17.3%7.3%
Call IV 25d23.2%15.9%25.7%15.9%23.5%
Put IV 25d27.4%25.4%30.3%25.4%27.7%
Bid-Ask Spread %6.324.1911.305.595.15
Gamma HHI0.410.350.630.350.37
Net GEX2.2M1.1M3.5M2.2M1.5M
Net DEX-32.6M-48.7M-21.0M-48.7M-26.4M
Net VEX-139.4K-150.6K-131.8K-150.6K-133.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.081.920.340.15
Total Volume4,002.67338,5367,6432,354
Total OI66,135.2551,32576,96567,78052,732

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$18.86$17.0022.5%6.5%40.3%12.6%23.0%9.5%0.2%2.2M-48.7M-150.6K0.345.59N/AN/A5,7201,92345,39622,384
2015-11-03$18.73$17.0023.0%6.6%38.7%14.1%27.9%4.0%0.1%2.1M-43.9M-145.1K1.424.30N/AN/A1,6462,33443,17922,376
2015-11-04$18.66$17.0023.2%6.7%38.8%14.8%24.4%2.2%-0.4%2.2M-43.1M-140.8K1.284.97N/AN/A1,7632,25343,33122,478
2015-11-05$18.93$17.0024.0%6.8%38.8%17.5%27.4%4.4%0.9%2.0M-47.7M-143.1K0.775.78N/AN/A2,9612,27743,40222,682
2015-11-06$18.78$17.0023.4%6.6%39.1%15.4%25.2%3.9%1.6%2.2M-46.2M-139.9K0.086.63N/AN/A2,97024644,39022,744
2015-11-09$18.59$17.0024.3%6.8%39.5%18.2%25.9%3.9%0.6%2.5M-44.0M-142.6K0.116.04N/AN/A1,03611546,28122,848
2015-11-10$18.80$17.0023.9%7.2%39.0%16.9%30.6%3.5%0.4%2.5M-48.2M-144.3K0.638.12N/AN/A2,8341,77646,76122,933
2015-11-11$18.24$17.0024.7%7.1%40.8%19.6%29.4%2.9%1.9%2.6M-34.9M-138.8K0.7011.30N/AN/A2,4991,76146,62123,015
2015-11-12$17.74$18.0024.2%6.9%42.2%17.9%24.0%4.4%0.8%2.6M-25.6M-142.2K0.336.70N/AN/A4,4211,46548,40724,230
2015-11-13$17.54$18.0024.9%7.1%42.2%20.3%25.8%5.3%1.0%2.3M-21.6M-136.4K0.446.63N/AN/A3,5371,57148,22824,288
2015-11-16$17.74$18.0026.1%7.5%42.4%24.1%27.0%5.1%0.2%2.9M-24.5M-134.3K1.926.89N/AN/A25148248,57924,420
2015-11-17$17.60$18.0026.2%7.5%42.5%24.4%32.1%4.9%1.0%2.6M-21.0M-131.8K0.349.15N/AN/A4,3881,48448,54524,867
2015-11-18$17.78$18.0025.9%7.4%42.5%23.6%25.9%3.5%1.4%3.5M-26.8M-136.8K0.208.78N/AN/A7,0971,43949,97124,870
2015-11-19$17.62$18.0025.0%7.2%39.0%20.7%26.2%3.5%1.3%2.8M-23.1M-136.8K0.705.11N/AN/A1,9061,33652,07224,893
2015-11-20$17.88$18.0025.1%7.2%38.8%20.9%27.5%3.6%1.6%1.1M-23.1M-134.4K0.375.99N/AN/A4,6271,69651,97224,970
2015-11-23$18.10$17.0024.4%7.0%38.9%18.6%24.0%4.7%1.7%1.3M-23.1M-137.4K0.205.31N/AN/A1,75335935,45115,874
2015-11-24$18.32$17.0024.6%7.1%39.0%19.4%23.6%3.8%2.0%1.4M-26.7M-142.3K0.125.47N/AN/A88110436,44115,989
2015-11-25$18.34$17.0024.3%7.0%23.8%18.3%25.2%4.2%1.1%1.4M-26.5M-138.7K0.504.32N/AN/A1,67683836,28815,993
2015-11-27$18.33$17.0024.6%7.1%23.5%19.3%25.3%3.0%1.2%1.5M-27.1M-138.5K0.574.19N/AN/A1,44782636,60916,195
2015-11-30$18.28$17.0025.3%7.3%23.5%21.6%23.8%4.2%0.5%1.5M-26.4M-133.7K0.155.15N/AN/A2,04530936,54616,186