BSX Options History — October 2017

In October 2017, BSX traded between $28.10 and $29.81. ATM implied volatility averaged 20.9%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 8.9% (HV 20d: 11.9%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2017-10-20: Highest Volume — 19,736 contracts
  • 2017-10-26: Largest IV drop — 26.2% change
  • 2017-10-23: Highest IV Rank — 47.0%
  • 2017-10-23: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.23$28.10$29.81$29.45$28.10
Max Pain$28.39$28.00$29.00$28.50$29.00
ATM IV20.9%15.6%23.6%21.2%16.9%
Expected Move5.8%4.3%7.4%4.4%5.1%
HV 20d11.9%10.8%15.1%12.1%13.9%
HV 60d12.2%11.4%13.4%11.7%13.4%
IV Rank34.1%10.0%47.0%35.2%17.4%
IV Percentile47.2%7.9%67.1%48.4%24.6%
Term Structure-0.6%-1.8%0.4%-0.8%0.2%
VWIV20.2%14.6%25.3%15.7%17.5%
Skew 25d2.6%2.1%3.2%2.1%2.8%
Skew 10d5.7%4.0%7.0%5.1%6.0%
Call IV 25d19.8%14.6%22.0%20.2%15.7%
Put IV 25d22.5%16.6%25.0%22.4%18.5%
Bid-Ask Spread %6.314.999.575.705.67
Gamma HHI0.250.190.520.220.38
Net GEX367.5K-3.4M1.7M967.7K-1.6M
Net DEX-25.3M-38.1M17.7M-31.9M-3.7M
Net VEX-149.9K-188.9K-128.9K-128.9K-168.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.313.170.310.66
Total Volume6,528.4092,32019,7363,3564,938
Total OI46,398.95537,78464,54837,78450,012

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$29.45$28.5021.2%4.4%12.1%35.2%15.7%2.1%-0.8%967.7K-31.9M-128.9K0.315.70N/AN/A2,56679020,48917,295
2017-10-03$29.00$28.5021.6%4.5%13.8%37.1%15.5%2.6%-0.7%995.5K-26.8M-139.2K0.464.99N/AN/A2,13797421,15917,357
2017-10-04$29.23$28.5021.6%4.3%11.8%37.0%14.6%2.6%-0.6%1.1M-30.0M-136.7K0.405.52N/AN/A2,33193621,36717,551
2017-10-05$29.43$28.0020.9%5.8%11.3%33.9%19.4%2.3%-0.6%1.3M-33.0M-129.4K0.466.01N/AN/A2,00992621,43917,568
2017-10-06$29.47$28.0020.8%5.9%11.0%33.6%19.9%2.5%-1.0%1.5M-33.1M-132.0K0.455.74N/AN/A2,10395621,41717,618
2017-10-09$29.30$28.0021.0%6.0%11.1%34.3%20.7%2.5%0.2%1.3M-31.2M-131.4K0.485.28N/AN/A1,56375721,42017,448
2017-10-10$29.34$28.0021.0%6.1%11.1%34.3%20.6%2.7%0.4%1.4M-31.4M-130.7K0.576.01N/AN/A2,4961,43221,60117,465
2017-10-11$29.28$28.0021.0%6.0%11.1%34.1%20.7%2.5%0.0%1.5M-31.8M-141.0K0.895.60N/AN/A1,7061,51422,43418,248
2017-10-12$29.41$28.0021.1%6.0%11.1%35.0%21.2%2.4%-0.0%1.7M-32.7M-144.2K0.875.05N/AN/A1,8311,58722,45118,388
2017-10-13$29.42$28.0021.4%6.1%11.1%36.3%20.8%2.7%-0.2%1.3M-33.1M-143.8K0.815.58N/AN/A2,1671,74922,63218,521
2017-10-16$29.15$28.0022.7%6.5%11.6%42.3%22.3%2.5%-1.4%1.3M-28.9M-143.7K1.097.42N/AN/A3,0533,33122,20018,522
2017-10-17$29.40$28.0022.6%6.5%11.1%42.0%22.3%2.8%-1.8%1.5M-34.4M-141.5K1.376.44N/AN/A3,3294,55423,83520,231
2017-10-18$29.49$28.0022.8%6.5%11.0%42.9%22.5%2.9%-1.8%1.1M-34.5M-142.8K1.415.44N/AN/A3,3354,70024,00422,735
2017-10-19$29.55$28.0021.8%6.3%10.9%38.1%22.5%2.5%-0.9%975.1K-36.0M-142.0K1.366.88N/AN/A3,3304,52624,23122,903
2017-10-20$29.67$28.0021.8%6.3%10.9%37.9%23.7%3.2%-1.0%339.1K-38.1M-139.2K1.686.34N/AN/A7,35812,37824,28522,930
2017-10-23$29.61$29.0023.6%7.4%10.8%47.0%24.9%2.8%-0.6%-738.9K-22.5M-167.9K0.455.98N/AN/A4,6922,09424,96131,561
2017-10-24$29.81$29.0023.3%7.1%10.8%45.2%25.3%3.0%-1.0%-365.2K-28.6M-181.2K0.655.60N/AN/A3,7512,43627,10332,443
2017-10-25$29.64$29.0022.9%7.1%11.0%43.4%24.3%2.4%-0.8%-395.5K-26.0M-188.9K0.847.43N/AN/A6,3965,35127,88432,285
2017-10-26$28.83$29.0016.9%4.8%15.0%17.2%16.8%2.6%-0.0%-3.4M-2.0M-174.9K3.179.16N/AN/A2,9779,42627,87433,491
2017-10-27$28.42$29.0015.6%4.7%15.1%10.0%15.7%2.1%0.1%-1.8M17.7M-176.4K3.029.57N/AN/A3,39510,25828,61135,937
2017-10-30$28.16$29.0016.8%5.1%14.7%16.4%16.5%3.2%0.2%-1.7M-4.8M-172.8K0.557.44N/AN/A3,5501,93723,94324,928
2017-10-31$28.10$29.0016.9%5.1%13.9%17.4%17.5%2.8%0.2%-1.6M-3.7M-168.4K0.665.67N/AN/A2,9751,96325,00125,011