BSX Options History — December 2016

In December 2016, BSX traded between $20.07 and $21.80. ATM implied volatility averaged 25.2%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.5% (HV 20d: 20.7%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-12-30: Highest Volume — 7,027 contracts
  • 2016-12-12: Largest IV spike — 20.3% change
  • 2016-12-12: Highest IV Rank — 54.5%
  • 2016-12-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.18$20.07$21.80$20.07$21.58
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV25.2%21.5%31.5%26.7%25.9%
Expected Move7.0%6.2%7.9%7.7%7.4%
HV 20d20.7%11.4%27.4%25.8%11.4%
HV 60d22.1%21.1%23.5%23.3%21.1%
IV Rank30.0%15.5%54.5%35.9%32.8%
IV Percentile58.7%26.6%86.9%72.2%65.1%
Term Structure2.9%-1.4%5.1%-1.4%1.8%
VWIV25.1%21.1%28.6%26.7%26.4%
Skew 25d3.2%1.7%4.5%3.2%3.2%
Skew 10d8.5%2.8%13.2%7.0%9.9%
Call IV 25d24.5%21.4%28.1%25.8%26.3%
Put IV 25d27.7%23.9%30.6%29.0%29.5%
Bid-Ask Spread %3.672.626.353.213.38
Gamma HHI0.150.120.260.170.26
Net GEX101.7K-600.9K1.1M-600.9K863.6K
Net DEX-2.2M-20.3M19.0M19.0M-12.0M
Net VEX-186.5K-199.6K-160.9K-160.9K-183.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.371.830.960.37
Total Volume4,731.6193,2547,0275,5087,027
Total OI89,662.23883,46396,95983,46393,072

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$20.07$22.0026.7%7.7%25.8%35.9%26.7%3.2%-1.4%-600.9K19.0M-160.9K0.963.21N/AN/A2,8072,70145,41138,052
2016-12-02$20.34$22.0025.7%7.4%26.5%31.8%25.4%4.1%-0.8%-498.2K14.9M-171.9K0.962.95N/AN/A2,0411,96246,39238,611
2016-12-05$20.69$22.0026.0%7.1%27.4%32.9%27.1%3.5%3.2%-388.0K11.0M-177.6K1.083.39N/AN/A2,6512,86447,29238,858
2016-12-06$20.76$22.0024.7%7.0%26.5%28.0%25.4%3.7%3.2%-395.1K11.0M-179.0K1.443.35N/AN/A1,6222,34047,80739,586
2016-12-07$20.60$22.0026.8%7.4%25.7%36.1%27.3%2.4%2.4%-380.4K9.8M-184.4K0.596.35N/AN/A3,1491,86548,21539,911
2016-12-08$20.65$22.0028.8%7.9%25.1%44.1%28.6%2.5%1.8%-182.4K6.4M-196.8K0.823.61N/AN/A2,6382,16750,12840,080
2016-12-09$20.81$22.0026.2%7.5%25.3%33.8%27.1%2.8%2.2%-159.9K6.3M-190.7K1.123.71N/AN/A1,9112,14050,59340,130
2016-12-12$21.09$22.0031.5%7.7%25.2%54.5%27.0%2.8%2.3%2.6K-161.7K-199.6K0.962.93N/AN/A3,2223,09451,99740,618
2016-12-13$21.36$22.0030.0%7.2%22.1%48.6%25.0%1.7%2.8%203.4K-8.5M-196.8K0.782.62N/AN/A2,6052,04152,79041,074
2016-12-14$21.29$22.0024.9%7.1%21.0%28.6%24.8%3.3%2.9%31.5K-2.6M-188.0K0.734.20N/AN/A2,2301,61853,05041,366
2016-12-15$21.28$22.0023.5%6.7%20.6%23.3%23.5%2.8%3.9%63.6K-3.0M-186.9K0.833.25N/AN/A3,0032,49053,35441,723
2016-12-16$21.35$22.0023.1%6.6%20.1%21.9%23.8%3.5%3.9%69.6K-3.5M-188.7K0.723.58N/AN/A2,2851,64754,10442,855
2016-12-19$21.45$22.0022.7%6.5%19.8%20.3%22.6%2.8%4.7%125.3K-6.9M-179.4K0.793.68N/AN/A2,4901,97546,11939,628
2016-12-20$21.48$22.0022.1%6.3%19.8%17.8%21.1%2.5%5.1%284.1K-10.9M-188.1K0.753.29N/AN/A1,8571,39746,33639,902
2016-12-21$21.51$22.0021.5%6.2%16.5%15.5%23.7%4.2%5.1%150.9K-7.3M-188.3K0.603.90N/AN/A2,5971,55746,49140,009
2016-12-22$21.66$22.0022.1%6.3%16.5%18.1%22.5%4.3%4.8%279.6K-10.7M-191.3K0.574.62N/AN/A3,2501,84647,04140,101
2016-12-23$21.79$22.0021.9%6.3%16.4%17.0%23.9%4.5%4.9%442.1K-13.3M-196.6K0.953.77N/AN/A1,9651,86647,92240,345
2016-12-27$21.80$22.0023.8%6.8%14.4%24.7%23.9%3.7%3.2%504.5K-13.7M-187.1K0.533.89N/AN/A3,3751,79648,41640,335
2016-12-28$21.60$22.0026.1%7.5%15.0%33.3%26.0%3.3%2.5%647.0K-12.5M-189.0K0.533.93N/AN/A3,8832,07550,11840,451
2016-12-29$21.72$22.0025.7%7.4%14.0%31.7%25.8%2.6%2.2%1.1M-20.3M-193.1K1.833.42N/AN/A1,1712,14451,98340,641
2016-12-30$21.58$22.0025.9%7.4%11.4%32.8%26.4%3.2%1.8%863.6K-12.0M-183.0K0.373.38N/AN/A5,1391,88852,20740,865