BSX Options History — November 2017

In November 2017, BSX traded between $25.95 and $28.79. ATM implied volatility averaged 18.4%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.3% (HV 20d: 18.2%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-11-28: Highest Volume — 26,249 contracts
  • 2017-11-28: Largest IV spike — 38.9% change
  • 2017-11-29: Highest IV Rank — 58.2%
  • 2017-11-28: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.94$25.95$28.79$27.83$26.28
Max Pain$27.95$27.00$29.00$29.00$27.00
ATM IV18.4%15.9%24.1%16.8%21.2%
Expected Move5.5%4.5%8.5%4.9%7.3%
HV 20d18.2%13.7%32.1%13.7%32.1%
HV 60d15.0%13.5%21.5%13.5%21.2%
IV Rank26.0%11.4%58.2%16.5%41.6%
IV Percentile35.0%11.9%78.6%22.6%57.1%
Term Structure-0.1%-1.1%1.1%-0.1%-0.7%
VWIV19.2%15.9%29.3%16.4%26.4%
Skew 25d2.9%1.2%4.0%3.1%1.6%
Skew 10d6.6%2.0%9.6%5.5%6.5%
Call IV 25d17.3%14.9%23.2%15.7%22.1%
Put IV 25d20.2%17.6%25.8%18.8%23.6%
Bid-Ask Spread %8.455.1521.567.249.76
Gamma HHI0.160.110.300.300.14
Net GEX-72.4K-992.1K720.6K-904.3K179.1K
Net DEX-9.8M-26.7M31.9M-572.5K22.7M
Net VEX-161.6K-176.0K-148.9K-166.7K-176.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.443.090.560.58
Total Volume7,345.9523,96226,2495,9308,911
Total OI50,564.28640,21463,35350,32763,131

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$27.83$29.0016.8%4.9%13.7%16.5%16.4%3.1%-0.1%-904.3K-572.5K-166.7K0.567.24N/AN/A3,8032,12725,17325,154
2017-11-02$27.45$28.0019.3%5.9%13.8%31.0%18.9%4.0%0.0%-501.2K6.3M-164.8K2.2012.33N/AN/A2,8926,36924,84425,296
2017-11-03$27.82$28.0018.0%5.3%15.0%23.5%19.0%2.9%0.3%-331.0K2.6M-166.8K3.095.95N/AN/A2,9499,11225,29527,085
2017-11-06$27.84$28.0018.4%5.3%15.0%25.4%19.3%3.3%0.1%-992.1K-4.5M-170.9K0.675.99N/AN/A3,0952,08124,50626,666
2017-11-07$27.97$28.0017.9%5.3%15.1%22.8%18.8%3.1%0.7%-690.5K-7.8M-169.8K0.746.37N/AN/A2,8052,08425,58526,999
2017-11-08$28.12$28.0017.9%5.2%15.4%23.1%18.3%2.5%-0.1%-613.9K-10.4M-166.4K0.695.15N/AN/A2,8501,95725,69627,136
2017-11-09$28.58$28.0017.6%5.0%16.6%21.4%19.0%2.7%-0.3%-549.1K-19.3M-165.9K0.446.19N/AN/A4,0451,78425,88127,232
2017-11-10$28.35$28.0017.9%5.4%16.7%23.1%18.7%2.8%1.1%-352.8K-17.9M-169.7K0.737.08N/AN/A2,2921,67026,91727,259
2017-11-13$28.46$28.0018.4%5.3%16.6%25.7%18.8%3.3%-0.2%-318.5K-19.1M-166.1K0.9110.01N/AN/A2,4252,21826,61027,026
2017-11-14$28.31$28.0018.7%5.4%16.2%27.4%18.9%3.4%-0.4%417-15.9M-158.9K1.205.87N/AN/A2,4782,97526,81027,666
2017-11-15$28.01$28.0019.4%5.6%16.4%31.3%19.7%3.7%-0.2%10.7K-11.1M-159.2K0.967.69N/AN/A2,4592,36426,90127,805
2017-11-16$28.29$28.0017.8%5.2%16.9%22.6%17.2%3.4%-1.0%703.2K-20.1M-156.2K0.718.36N/AN/A2,9642,10926,87226,215
2017-11-17$28.26$28.0017.8%5.1%16.8%22.2%16.9%3.2%-0.5%526.5K-20.9M-153.2K1.048.46N/AN/A3,1203,23327,05826,248
2017-11-20$28.36$28.0017.3%4.9%16.9%19.7%16.5%2.9%0.0%272.9K-19.9M-152.2K1.045.92N/AN/A2,5962,71120,85519,359
2017-11-21$28.79$28.0015.9%4.5%17.7%11.4%15.9%2.7%0.2%534.6K-26.7M-152.1K1.037.41N/AN/A2,5792,64921,58619,395
2017-11-22$28.46$28.0017.0%4.8%18.0%17.5%16.2%2.8%-1.1%675.5K-23.8M-154.3K1.017.89N/AN/A2,7832,80622,19119,417
2017-11-24$28.66$28.0016.9%4.9%15.5%17.3%16.5%2.8%-0.2%720.6K-25.7M-153.0K1.258.99N/AN/A2,5603,19922,37819,586
2017-11-27$28.53$28.0016.3%4.7%14.7%13.9%16.4%3.0%0.7%580.2K-23.5M-152.4K1.317.66N/AN/A2,4353,18121,89120,005
2017-11-28$26.40$28.0022.7%8.5%31.2%49.8%29.3%1.2%0.8%-51.2K-1.3M-148.9K1.7921.56N/AN/A9,39616,85322,68620,082
2017-11-29$25.95$27.0024.1%7.6%31.6%58.2%25.8%2.6%-0.9%-418.5K31.9M-169.5K1.7011.64N/AN/A4,9498,39728,67134,682
2017-11-30$26.28$27.0021.2%7.3%32.1%41.6%26.4%1.6%-0.7%179.1K22.7M-176.0K0.589.76N/AN/A5,6473,26430,31032,821