BSX Options History — January 2016

In January 2016, BSX traded between $16.90 and $18.20. ATM implied volatility averaged 33.4%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 6.8% (HV 20d: 26.5%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.20.

Notable Days

  • 2016-01-15: Highest Volume — 11,836 contracts
  • 2016-01-13: Largest IV drop — 32.2% change
  • 2016-01-12: Highest IV Rank — 80.1%
  • 2016-01-29: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.62$16.90$18.20$17.99$17.39
Max Pain$17.53$17.00$18.00$18.00$17.00
ATM IV33.4%27.9%43.3%29.6%37.8%
Expected Move9.1%7.8%10.8%7.9%10.8%
HV 20d26.5%21.8%30.7%23.4%30.7%
HV 60d29.1%24.7%31.8%29.1%24.8%
IV Rank52.0%30.1%80.1%35.6%77.9%
IV Percentile87.6%68.3%99.6%77.0%98.8%
Term Structure-2.0%-5.7%0.5%0.5%-5.3%
VWIV33.9%28.2%40.9%28.9%40.9%
Skew 25d5.4%4.0%7.1%4.7%7.0%
Skew 10d11.6%5.1%18.8%9.0%10.1%
Call IV 25d29.9%25.1%37.2%26.1%33.9%
Put IV 25d35.3%29.1%41.2%30.8%40.9%
Bid-Ask Spread %6.834.2410.515.7310.21
Gamma HHI0.280.200.430.370.24
Net GEX539.5K-4.3K1.4M1.1M577.7K
Net DEX-9.0M-19.5M-62.6K-15.4M-7.1M
Net VEX-109.2K-120.0K-95.6K-103.0K-120.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.192.020.940.83
Total Volume5,342.5792,46911,8363,7262,469
Total OI46,945.68434,02058,78554,91440,591

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$17.99$18.0029.6%7.9%23.4%35.6%28.9%4.7%0.5%1.1M-15.4M-103.0K0.945.73N/AN/A1,9251,80136,59018,324
2016-01-05$18.20$18.0027.9%7.8%21.8%30.1%28.3%4.0%0.1%1.4M-19.5M-105.3K0.395.39N/AN/A4,7531,86036,81518,704
2016-01-06$18.00$18.0029.2%8.0%22.0%34.4%28.2%4.0%-0.2%1.1M-16.1M-104.3K0.915.72N/AN/A1,7251,56236,89318,811
2016-01-07$17.72$18.0032.4%8.3%22.2%44.8%30.3%4.4%-1.3%702.8K-11.5M-100.6K1.835.32N/AN/A1,9173,51536,85518,882
2016-01-08$17.39$18.0034.0%8.6%22.6%49.9%29.9%4.8%-0.1%339.6K-6.7M-104.3K1.809.32N/AN/A2,0793,73337,13020,026
2016-01-11$17.11$18.0037.3%8.7%23.1%60.8%31.2%4.9%-1.3%-4.3K-2.4M-95.6K1.577.96N/AN/A1,8402,88837,09820,130
2016-01-12$17.79$18.0043.3%8.1%27.0%80.1%32.0%4.8%0.2%663.5K-10.8M-105.1K1.325.56N/AN/A1,7822,35637,23420,262
2016-01-13$17.54$18.0029.3%8.4%26.8%34.8%29.3%5.1%-0.6%637.7K-11.9M-103.9K1.324.24N/AN/A2,7093,57637,54019,375
2016-01-14$18.17$18.0029.5%8.5%29.2%35.4%28.6%4.7%-0.3%1.1M-19.3M-107.9K0.586.31N/AN/A4,8002,79037,89820,219
2016-01-15$17.92$18.0032.5%9.3%29.2%45.1%34.1%5.6%-2.8%208.6K-11.5M-112.3K0.699.09N/AN/A6,9834,85337,85120,934
2016-01-19$17.63$17.0032.5%9.3%29.4%44.9%37.3%6.8%-2.1%310.8K-6.3M-116.7K1.245.09N/AN/A2,3502,91721,27612,744
2016-01-20$17.56$17.0033.5%9.6%28.0%48.2%39.9%7.1%-2.9%326.3K-5.7M-117.4K1.4010.51N/AN/A2,0982,93521,98712,821
2016-01-21$17.58$17.0033.1%9.5%28.0%47.2%38.4%6.1%-2.9%324.6K-6.1M-118.2K1.398.28N/AN/A2,1252,96322,09913,019
2016-01-22$17.84$17.0032.2%9.2%28.1%54.9%37.9%5.9%-3.0%400.0K-8.2M-119.4K1.555.83N/AN/A1,8762,91322,38913,186
2016-01-25$17.52$17.0032.3%9.3%28.0%55.3%38.3%6.0%-2.8%336.3K-5.7M-115.7K1.705.41N/AN/A1,6362,78122,47713,185
2016-01-26$17.36$17.0034.6%9.9%28.0%64.6%38.4%6.9%-3.2%298.5K-3.9M-111.8K2.026.04N/AN/A1,3952,81522,83613,190
2016-01-27$17.20$17.0035.3%10.1%28.0%67.5%35.6%5.9%-3.5%233.7K-2.0M-108.7K1.134.67N/AN/A1,4331,61722,95413,254
2016-01-28$16.90$17.0037.7%10.8%28.4%77.2%37.5%4.1%-5.7%187.7K-62.6K-105.2K0.199.07N/AN/A6,5191,22023,10513,284
2016-01-29$17.39$17.0037.8%10.8%30.7%77.9%40.9%7.0%-5.3%577.7K-7.1M-120.0K0.8310.21N/AN/A1,3481,12126,78313,808