BSX Options History — November 2016

In November 2016, BSX traded between $20.50 and $22.29. ATM implied volatility averaged 24.9%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.3% (HV 20d: 25.2%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2016-11-16: Highest Volume — 10,185 contracts
  • 2016-11-22: Largest IV spike — 10.1% change
  • 2016-11-04: Highest IV Rank — 38.5%
  • 2016-11-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.37$20.50$22.29$21.76$20.50
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV24.9%22.2%27.4%27.1%25.3%
Expected Move7.0%6.4%7.8%7.8%7.3%
HV 20d25.2%22.2%28.7%22.6%24.9%
HV 60d21.8%19.9%23.1%20.2%23.1%
IV Rank28.7%18.3%38.5%37.4%30.4%
IV Percentile59.3%36.5%75.8%74.2%62.3%
Term Structure0.1%-1.8%1.1%-1.8%-0.8%
VWIV24.8%21.3%27.9%27.9%27.3%
Skew 25d3.7%2.6%5.3%3.3%3.0%
Skew 10d8.3%5.6%10.6%5.6%7.2%
Call IV 25d23.7%21.3%26.8%26.8%24.3%
Put IV 25d27.5%24.3%30.3%30.0%27.3%
Bid-Ask Spread %4.812.7630.127.293.08
Gamma HHI0.160.140.190.190.16
Net GEX-170.5K-510.5K216.4K216.4K-510.5K
Net DEX5.5M-9.8M22.3M-78.4K16.4M
Net VEX-199.4K-225.4K-163.2K-222.0K-163.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.512.001.111.61
Total Volume5,941.7623,35710,1855,3533,687
Total OI108,947.04878,344127,531115,92582,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$21.76$22.0027.1%7.8%22.6%37.4%27.9%3.3%-1.8%216.4K-78.4K-222.0K1.117.29N/AN/A2,5422,81168,45747,468
2016-11-02$21.68$22.0026.5%7.6%22.3%35.1%26.9%3.7%-1.2%50.4K2.0M-223.9K0.5130.12N/AN/A3,9722,03069,54748,849
2016-11-03$21.58$22.0026.6%7.3%22.2%35.5%26.2%5.0%0.7%-33.4K3.9M-224.8K1.033.36N/AN/A2,0292,08371,10249,319
2016-11-04$21.59$22.0027.4%7.4%22.2%38.5%27.6%5.3%0.4%50.3K3.3M-225.4K1.753.04N/AN/A2,3474,10071,24849,042
2016-11-07$21.97$22.0026.9%6.9%22.8%36.5%25.0%4.9%0.5%-111.7K-1.8M-214.8K0.943.58N/AN/A2,5532,39271,55649,057
2016-11-08$22.29$22.0026.4%6.9%22.2%34.4%24.9%4.2%0.5%143.0K-9.8M-217.4K1.052.96N/AN/A2,3092,42071,55049,186
2016-11-09$21.84$22.0024.1%6.9%23.0%25.8%24.4%4.8%0.4%-140.5K-98.4K-209.8K1.672.76N/AN/A2,7874,64272,32549,302
2016-11-10$21.87$22.0024.0%6.9%23.1%25.4%23.9%4.7%0.2%-220.6K-823.3K-212.3K0.832.82N/AN/A4,2393,51372,51950,972
2016-11-11$21.47$22.0025.6%7.3%23.6%31.3%24.6%4.2%0.3%-256.6K7.2M-208.7K0.723.35N/AN/A5,1703,71573,41150,990
2016-11-14$20.73$22.0026.2%7.5%26.2%33.8%26.0%4.5%0.1%-254.9K22.3M-193.0K1.683.10N/AN/A3,2665,48675,12051,228
2016-11-15$21.16$22.0024.4%7.0%27.2%26.9%24.7%2.8%0.3%-169.3K14.3M-196.1K2.003.88N/AN/A2,6115,22275,38951,338
2016-11-16$21.38$22.0023.9%6.8%27.6%24.7%23.3%3.3%0.5%-221.9K9.2M-189.5K1.983.99N/AN/A3,4196,76675,82751,295
2016-11-17$21.64$22.0022.2%6.4%28.2%18.3%22.9%3.1%0.8%-237.9K-1.3M-200.9K1.984.06N/AN/A2,2044,35676,90750,490
2016-11-18$21.38$22.0023.1%6.6%28.3%21.8%22.8%3.2%1.0%-109.7K5.5M-194.3K1.193.46N/AN/A3,3133,95376,90950,622
2016-11-21$21.43$22.0022.3%6.4%28.1%18.7%21.3%2.9%1.1%-68.0K-839.2K-189.5K1.113.32N/AN/A1,7671,96342,47735,867
2016-11-22$20.82$22.0024.5%7.0%28.7%27.4%25.5%4.2%-0.1%-297.8K8.4M-181.5K1.603.11N/AN/A2,0543,29242,97136,344
2016-11-23$20.99$22.0023.8%6.8%28.7%24.4%24.5%2.8%0.4%-299.8K7.4M-189.6K0.813.01N/AN/A2,3301,89143,61236,926
2016-11-25$21.15$22.0024.0%6.9%26.8%25.3%22.9%2.7%-0.2%-253.1K5.4M-190.8K1.114.35N/AN/A1,8962,10344,36437,244
2016-11-28$20.74$22.0024.1%6.9%24.9%25.8%24.8%3.4%-0.5%-421.6K12.6M-172.3K1.103.38N/AN/A1,9922,19544,66837,204
2016-11-29$20.76$22.0023.9%6.8%25.0%24.8%24.4%2.6%-0.7%-433.4K12.7M-168.5K0.902.99N/AN/A1,7631,59445,02537,365
2016-11-30$20.50$22.0025.3%7.3%24.9%30.4%27.3%3.0%-0.8%-510.5K16.4M-163.2K1.613.08N/AN/A1,4132,27445,28837,508