BSX Options History — October 2016

In October 2016, BSX traded between $21.45 and $23.78. ATM implied volatility averaged 26.4%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.7% (HV 20d: 19.7%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-10-26: Highest Volume — 18,732 contracts
  • 2016-10-26: Largest IV drop — 39.0% change
  • 2016-10-25: Highest IV Rank — 66.7%
  • 2016-10-25: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.92$21.45$23.78$23.50$22.05
Max Pain$22.71$22.00$24.00$24.00$22.00
ATM IV26.4%17.5%34.7%19.9%27.1%
Expected Move8.0%5.6%9.9%5.7%7.8%
HV 20d19.7%17.0%22.9%22.6%22.4%
HV 60d19.0%17.7%20.1%18.9%20.1%
IV Rank34.1%0.0%66.7%7.3%37.2%
IV Percentile55.9%0.0%95.6%7.1%74.2%
Term Structure-1.8%-6.6%8.3%7.6%-1.4%
VWIV28.0%19.2%34.0%20.1%28.3%
Skew 25d3.6%1.4%4.6%1.4%3.1%
Skew 10d7.0%-0.0%10.2%2.5%5.9%
Call IV 25d26.8%18.7%32.9%19.9%26.9%
Put IV 25d30.4%21.3%37.2%21.3%30.0%
Bid-Ask Spread %12.762.4471.3415.762.60
Gamma HHI0.240.180.310.310.22
Net GEX1.1M8.1K2.2M1.9M720.7K
Net DEX-20.7M-36.9M-991.0K-31.8M-8.6M
Net VEX-231.7K-247.4K-185.7K-239.1K-233.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.122.421.161.10
Total Volume6,164.5711,99318,7325,0165,734
Total OI106,984.04898,149118,222100,040114,393

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$23.50$24.0019.9%5.7%22.6%7.3%20.1%1.4%7.6%1.9M-31.8M-239.1K1.1615.76N/AN/A2,3262,69058,49641,544
2016-10-04$23.27$24.0019.9%5.7%22.7%7.3%20.7%1.5%7.8%1.5M-25.5M-247.4K0.778.97N/AN/A1,3481,04158,93142,686
2016-10-05$23.42$24.0019.5%5.6%22.8%5.9%19.2%2.8%8.3%1.6M-27.8M-242.3K0.7971.34N/AN/A1,3891,09159,06842,781
2016-10-06$23.43$22.0018.7%7.8%22.8%2.8%27.8%3.7%-2.0%1.6M-28.6M-232.1K0.863.15N/AN/A1,16399759,33442,891
2016-10-07$23.50$22.0019.1%7.9%18.8%4.3%29.2%3.3%-2.2%1.7M-30.4M-231.1K0.953.22N/AN/A1,02397059,51142,888
2016-10-10$23.78$22.0017.5%7.5%19.0%0.0%25.5%3.4%-2.1%2.2M-36.9M-221.0K0.122.85N/AN/A9,9371,18259,39842,877
2016-10-11$23.18$22.0021.1%8.0%19.3%13.8%27.1%3.8%-2.4%1.4M-24.4M-234.7K0.272.54N/AN/A3,63296861,73343,054
2016-10-12$23.24$22.0028.8%8.3%19.3%44.0%28.8%3.4%-3.2%1.6M-26.9M-241.0K0.292.71N/AN/A3,8421,09663,56943,295
2016-10-13$23.21$22.0029.7%8.5%17.7%47.5%30.1%3.4%-3.7%1.6M-26.1M-239.7K0.402.44N/AN/A3,5021,40865,81643,362
2016-10-14$23.00$22.0032.0%9.2%17.9%56.2%32.0%4.4%-5.1%1.1M-20.2M-238.5K1.026.75N/AN/A3,8693,95965,90043,468
2016-10-17$22.86$23.0032.2%9.2%18.0%57.2%32.4%4.0%-5.7%526.0K-13.6M-236.2K0.6510.36N/AN/A2,5521,65966,39746,163
2016-10-18$23.10$23.0031.8%9.1%18.2%55.7%31.7%4.2%-5.4%751.7K-19.0M-237.0K0.8837.01N/AN/A2,0011,76966,40446,357
2016-10-19$22.93$23.0032.5%9.3%17.0%58.3%32.6%4.2%-6.2%373.9K-16.4M-234.1K1.6113.75N/AN/A1,9033,06966,73646,521
2016-10-20$22.96$23.0032.7%9.4%17.1%58.9%33.0%3.6%-6.3%8.1K-14.9M-240.0K0.3315.73N/AN/A5,4381,80267,24448,233
2016-10-21$22.82$23.0033.6%9.6%17.1%62.7%34.0%4.6%-6.6%932.7K-12.4M-236.8K0.7011.60N/AN/A5,8384,10169,99448,228
2016-10-24$22.99$23.0033.0%9.5%17.4%60.2%32.8%4.6%-4.7%1.2M-29.0M-242.4K0.5841.27N/AN/A1,58691854,97643,173
2016-10-25$22.45$23.0034.7%9.9%19.1%66.7%33.3%4.2%-5.4%833.9K-19.3M-237.2K0.217.27N/AN/A8,2891,73956,29243,415
2016-10-26$22.13$23.0021.1%6.1%19.5%14.2%20.5%3.5%1.0%46.2K-6.2M-199.3K0.893.33N/AN/A9,9248,80862,30544,190
2016-10-27$21.45$23.0023.9%6.8%21.4%24.8%23.3%3.7%0.4%197.2K-991.0K-185.7K0.562.89N/AN/A3,2571,82266,34140,570
2016-10-28$22.11$22.0025.6%7.3%22.9%31.4%25.9%4.0%-0.5%1.1M-15.9M-215.8K2.422.47N/AN/A2,8706,94467,20840,923
2016-10-31$22.05$22.0027.1%7.8%22.4%37.2%28.3%3.1%-1.4%720.7K-8.6M-233.5K1.102.60N/AN/A2,7293,00567,73746,656