BSX Options History — December 2015

In December 2015, BSX traded between $18.02 and $18.87. ATM implied volatility averaged 23.9%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.0% (HV 20d: 22.0%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2015-12-18: Highest Volume — 5,788 contracts
  • 2015-12-09: Largest IV spike — 17.9% change
  • 2015-12-14: Highest IV Rank — 28.5%
  • 2015-12-14: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.51$18.02$18.87$18.52$18.55
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV23.9%20.7%27.4%23.3%22.6%
Expected Move6.9%5.9%7.9%6.7%6.5%
HV 20d22.0%19.7%24.0%21.3%22.1%
HV 60d30.0%28.4%30.9%30.9%28.4%
IV Rank17.1%6.6%28.5%15.1%12.7%
IV Percentile34.8%7.5%60.7%28.2%25.0%
Term Structure1.9%0.3%3.1%0.9%2.1%
VWIV24.5%21.5%29.7%25.4%22.1%
Skew 25d3.9%1.2%5.3%3.5%2.8%
Skew 10d8.7%3.4%14.5%6.6%5.7%
Call IV 25d23.0%21.2%25.6%23.2%23.0%
Put IV 25d26.9%23.5%30.9%26.7%25.8%
Bid-Ask Spread %4.934.036.615.674.44
Gamma HHI0.460.380.570.390.53
Net GEX1.7M1.2M2.1M1.6M1.8M
Net DEX-27.9M-35.1M-19.9M-29.9M-25.5M
Net VEX-123.5K-135.1K-113.6K-135.1K-113.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.102.050.110.75
Total Volume2,618.6363365,7886112,443
Total OI54,759.72752,21458,50253,78554,857

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$18.52$17.0023.3%6.7%21.3%15.1%25.4%3.5%0.9%1.6M-29.9M-135.1K0.115.67N/AN/A5516037,52316,262
2015-12-02$18.43$17.0024.9%7.2%21.3%20.4%23.9%3.5%0.3%1.7M-28.6M-134.3K0.585.01N/AN/A1,19068737,64016,303
2015-12-03$18.02$17.0025.4%7.3%22.6%21.7%25.1%4.1%1.8%1.5M-22.7M-129.9K0.465.64N/AN/A1,33461437,64316,326
2015-12-04$18.49$17.0024.1%7.0%24.0%17.7%23.0%4.2%2.3%1.7M-29.6M-131.0K0.365.44N/AN/A1,37450137,62816,507
2015-12-07$18.57$17.0023.1%6.6%23.9%14.3%23.3%4.4%2.3%1.8M-30.3M-127.2K0.104.92N/AN/A3063037,57016,510
2015-12-08$18.72$17.0022.2%6.6%23.8%11.6%24.6%4.8%2.7%1.8M-32.4M-127.4K0.404.54N/AN/A1,70368037,49216,530
2015-12-09$18.47$17.0026.2%7.5%23.9%24.5%24.4%4.6%1.1%1.8M-28.8M-128.1K0.285.33N/AN/A2,05657337,76916,694
2015-12-10$18.42$17.0025.8%7.4%21.3%23.3%26.2%4.5%1.0%1.9M-27.8M-127.4K0.524.39N/AN/A1,10357538,27716,691
2015-12-11$18.10$17.0027.3%7.8%19.8%28.1%29.7%5.3%0.7%1.6M-21.8M-126.6K1.754.03N/AN/A1,2832,24738,29016,687
2015-12-14$18.36$17.0027.4%7.9%19.7%28.5%26.7%5.1%1.1%1.8M-25.6M-125.6K0.544.68N/AN/A2,0001,08338,22517,851
2015-12-15$18.68$17.0024.3%7.0%20.2%18.3%26.0%5.3%1.9%1.9M-30.9M-127.3K0.646.61N/AN/A1,50095338,69018,105
2015-12-16$18.87$17.0023.2%6.7%20.0%14.8%23.3%5.0%2.5%2.1M-35.1M-124.5K0.265.41N/AN/A3,74997638,71918,239
2015-12-17$18.63$17.0022.0%6.3%20.6%10.9%23.4%4.3%3.1%2.0M-32.1M-121.1K0.404.81N/AN/A2,6151,04139,25718,249
2015-12-18$18.15$17.0025.4%7.3%22.6%21.9%24.8%4.8%2.2%1.2M-24.4M-118.3K0.284.66N/AN/A4,5381,25040,23318,269
2015-12-21$18.24$17.0024.7%7.1%22.2%19.7%25.2%4.4%2.3%1.4M-19.9M-115.1K0.685.16N/AN/A1,14578035,39816,816
2015-12-22$18.47$17.0024.4%7.0%22.2%18.8%25.4%4.2%2.4%1.5M-25.1M-118.3K0.774.49N/AN/A1,3271,01635,48916,887
2015-12-23$18.75$17.0020.7%5.9%22.4%6.6%21.5%2.4%3.1%1.8M-29.3M-118.8K2.054.38N/AN/A1,5123,09835,81017,210
2015-12-24$18.72$17.0021.4%6.1%22.4%8.7%25.7%2.4%2.6%1.8M-29.3M-119.5K0.844.66N/AN/A1,3541,14236,02418,216
2015-12-28$18.72$17.0022.6%6.5%22.4%12.9%24.3%2.9%1.9%1.8M-28.4M-117.2K0.895.17N/AN/A1,2531,11936,20018,306
2015-12-29$18.74$17.0022.5%6.4%22.4%12.3%23.6%2.2%2.1%1.9M-28.8M-115.5K0.724.86N/AN/A1,4931,08236,18518,301
2015-12-30$18.58$17.0022.7%6.5%22.2%13.2%21.8%1.2%1.9%1.8M-26.3M-116.0K0.794.19N/AN/A1,2711,00336,53318,303
2015-12-31$18.55$17.0022.6%6.5%22.1%12.7%22.1%2.8%2.1%1.8M-25.5M-113.6K0.754.44N/AN/A1,3991,04436,56018,297