BSX Options History — January 2017

In January 2017, BSX traded between $21.88 and $24.05. ATM implied volatility averaged 26.9%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.4% (HV 20d: 21.4%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-01-10: Highest Volume — 24,814 contracts
  • 2017-01-05: Largest IV drop — 7.1% change
  • 2017-01-31: Highest IV Rank — 47.4%
  • 2017-01-31: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.31$21.88$24.05$21.88$24.05
Max Pain$21.80$21.00$22.00$22.00$22.00
ATM IV26.9%24.6%28.7%27.4%28.7%
Expected Move7.8%7.4%8.2%7.9%8.2%
HV 20d21.4%9.8%26.0%11.4%25.8%
HV 60d23.3%20.7%24.9%21.4%22.6%
IV Rank38.4%27.7%47.4%38.4%47.4%
IV Percentile73.7%56.7%87.7%74.6%87.7%
Term Structure-2.1%-5.2%0.8%0.8%-4.9%
VWIV27.9%26.4%29.7%27.7%29.5%
Skew 25d2.5%1.6%3.9%3.9%2.4%
Skew 10d7.2%3.1%14.7%14.7%5.9%
Call IV 25d26.7%25.2%28.2%27.8%27.9%
Put IV 25d29.2%28.0%31.7%31.7%30.3%
Bid-Ask Spread %4.873.5113.204.254.20
Gamma HHI0.250.170.370.210.31
Net GEX1.9M1.2M3.0M1.2M2.1M
Net DEX-48.8M-84.6M-20.4M-20.4M-39.4M
Net VEX-183.0K-198.0K-159.5K-195.2K-182.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.161.931.930.78
Total Volume6,289.52,22224,8144,3799,852
Total OI91,631.358,358114,09097,26862,954

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$21.88$22.0027.4%7.9%11.4%38.4%27.7%3.9%0.8%1.2M-20.4M-195.2K1.934.25N/AN/A1,4952,88456,26641,002
2017-01-04$22.08$22.0026.5%7.6%10.5%35.0%28.2%2.1%0.7%1.5M-29.5M-190.1K0.803.51N/AN/A2,8112,25956,23541,928
2017-01-05$22.05$21.0024.6%7.6%10.6%27.7%28.2%2.5%-0.5%1.5M-27.4M-186.1K1.624.27N/AN/A3,4965,65056,52843,069
2017-01-06$22.13$21.0026.2%7.7%9.8%33.7%28.3%2.8%-0.7%1.3M-25.0M-198.0K1.653.83N/AN/A1,7312,85158,44747,054
2017-01-09$22.20$21.0027.5%7.7%9.8%38.9%27.0%1.8%-0.8%1.2M-27.4M-188.1K0.833.69N/AN/A2,2471,86359,11348,726
2017-01-10$23.66$21.0025.7%7.9%23.5%31.8%28.7%2.5%-2.0%2.7M-79.5M-183.4K0.5613.20N/AN/A15,9328,88260,14949,466
2017-01-11$23.29$22.0027.3%7.8%24.6%38.0%27.5%2.3%-1.6%2.5M-64.2M-189.6K0.866.26N/AN/A2,6882,30660,93451,731
2017-01-12$23.50$22.0027.0%7.7%24.5%40.2%27.8%1.8%-1.3%2.7M-71.5M-184.9K0.605.46N/AN/A4,1322,48461,36351,860
2017-01-13$23.91$22.0025.7%7.4%24.7%34.7%27.1%2.9%-0.8%3.0M-83.1M-182.5K0.814.96N/AN/A3,0322,47160,91752,395
2017-01-17$23.88$22.0026.9%7.7%24.7%39.5%28.7%3.2%-1.6%2.9M-82.6M-171.7K1.394.81N/AN/A1,6962,36260,40452,918
2017-01-18$23.92$22.0026.9%7.7%24.7%39.5%27.2%3.5%-1.9%3.0M-84.6M-167.4K0.544.19N/AN/A4,0862,18760,35453,023
2017-01-19$23.86$22.0027.2%7.8%24.9%41.0%28.1%3.0%-2.4%3.0M-83.0M-167.2K0.813.76N/AN/A2,6232,13560,38453,382
2017-01-20$23.84$22.0026.5%7.6%25.0%37.9%26.9%1.6%-1.5%1.4M-83.0M-159.5K0.894.64N/AN/A6,8046,08760,41453,676
2017-01-23$23.68$22.0027.1%7.8%25.3%40.4%28.4%2.2%-3.6%1.3M-30.2M-187.0K0.664.71N/AN/A1,6651,10133,21525,143
2017-01-24$23.55$22.0026.6%7.6%25.5%38.3%29.7%2.8%-3.5%1.2M-25.2M-190.5K0.594.67N/AN/A1,52290533,44925,270
2017-01-25$23.61$22.0026.8%7.7%25.5%39.4%27.5%1.8%-3.7%1.3M-29.2M-184.7K0.584.09N/AN/A1,42283033,65725,333
2017-01-26$23.41$22.0026.9%7.7%25.9%39.5%26.4%2.8%-2.9%1.2M-25.1M-181.4K0.374.55N/AN/A2,20781733,86025,535
2017-01-27$23.85$22.0027.2%7.8%26.0%40.9%27.2%1.8%-4.2%1.5M-32.6M-180.6K0.164.43N/AN/A5,22982434,18325,644
2017-01-30$23.82$22.0028.5%8.2%26.0%46.2%29.0%2.4%-5.2%1.8M-33.2M-189.7K0.423.86N/AN/A1,56066236,93825,707
2017-01-31$24.05$22.0028.7%8.2%25.8%47.4%29.5%2.4%-4.9%2.1M-39.4M-182.5K0.784.20N/AN/A5,5324,32037,13225,822