BSX Options History — December 2017

In December 2017, BSX traded between $24.83 and $26.15. ATM implied volatility averaged 20.6%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 12.8% (HV 20d: 33.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2017-12-12: Highest Volume — 21,633 contracts
  • 2017-12-04: Largest IV spike — 11.8% change
  • 2017-12-04: Highest IV Rank — 64.1%
  • 2017-12-04: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.38$24.83$26.15$26.15$24.83
Max Pain$25.63$25.00$27.00$27.00$25.00
ATM IV20.6%18.3%25.2%22.5%21.8%
Expected Move5.9%5.3%7.3%7.0%5.7%
HV 20d33.4%21.8%36.3%31.8%21.8%
HV 60d23.4%21.0%23.8%21.0%23.3%
IV Rank39.7%27.4%64.1%49.1%48.6%
IV Percentile55.1%37.3%81.3%67.9%67.1%
Term Structure1.0%-1.5%5.2%-0.4%4.3%
VWIV20.9%14.3%25.5%25.5%20.3%
Skew 25d2.9%1.6%3.9%3.0%3.3%
Skew 10d5.4%2.8%8.6%6.7%5.8%
Call IV 25d19.4%17.3%23.7%21.2%19.0%
Put IV 25d22.3%20.1%27.2%24.2%22.3%
Bid-Ask Spread %5.623.207.626.215.61
Gamma HHI0.400.130.690.130.39
Net GEX1.5M-1.0M3.6M462.4K-1.0M
Net DEX5.2M-12.8M24.5M24.5M21.6M
Net VEX-221.8K-275.2K-154.0K-175.5K-232.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.231.931.930.43
Total Volume8,555.84,30321,63313,2427,950
Total OI74,933.757,71687,93064,79384,630

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$26.15$27.0022.5%7.0%31.8%49.1%25.5%3.0%-0.4%462.4K24.5M-175.5K1.936.21N/AN/A4,5268,71631,83432,959
2017-12-04$24.95$26.0025.2%7.3%34.9%64.1%25.1%3.5%0.4%-294.6K15.5M-154.0K0.616.87N/AN/A4,9823,06132,01025,706
2017-12-05$24.97$26.0024.4%7.0%34.9%59.9%23.8%3.0%0.5%-451.7K16.8M-156.3K0.535.51N/AN/A5,9813,16033,55027,011
2017-12-06$25.25$26.0022.9%6.6%35.2%51.4%23.2%2.6%0.6%-289.0K11.2M-166.9K0.586.44N/AN/A5,2353,05235,73426,897
2017-12-07$25.03$26.0022.1%6.3%35.0%46.7%21.9%3.9%0.7%-229.4K13.3M-159.3K0.587.44N/AN/A4,2812,48736,72326,909
2017-12-08$25.72$26.0020.4%6.1%36.2%37.3%21.4%2.5%0.1%322.9K1.3M-171.8K0.297.62N/AN/A11,3753,27737,19627,027
2017-12-11$25.53$26.0020.4%6.0%36.1%37.1%21.6%2.4%0.5%1.5M-5.1M-178.9K0.296.22N/AN/A4,7171,34843,30325,503
2017-12-12$25.62$26.0020.5%5.9%36.1%37.6%22.4%1.9%0.0%1.6M-9.5M-178.5K1.285.88N/AN/A9,47612,15744,31725,261
2017-12-13$25.71$26.0019.8%5.6%36.3%36.3%21.0%1.6%-1.5%1.4M-4.6M-274.2K1.095.12N/AN/A5,4405,90449,38536,058
2017-12-14$25.61$25.0019.5%5.4%36.2%34.5%20.4%2.5%-0.8%1.8M-3.5M-269.4K0.344.20N/AN/A4,6981,57450,85135,761
2017-12-15$25.77$25.0018.3%5.3%36.0%27.4%21.4%2.2%0.5%2.1M-9.0M-272.3K0.234.85N/AN/A6,0561,40752,19535,735
2017-12-18$25.76$25.0018.7%5.4%36.0%29.6%20.0%2.7%1.2%2.8M-12.8M-275.2K0.316.11N/AN/A5,0771,56946,78731,417
2017-12-19$25.50$25.0018.7%5.3%36.0%29.5%14.3%3.1%0.3%3.2M-4.8M-269.6K0.275.21N/AN/A7,1101,91748,75231,658
2017-12-20$25.38$26.0018.6%5.3%35.1%29.2%18.5%2.6%0.2%3.0M1.3M-261.6K0.275.13N/AN/A5,7981,58648,58032,086
2017-12-21$25.19$25.5018.4%5.3%35.1%28.1%17.8%2.8%0.3%2.8M8.5M-253.9K0.486.66N/AN/A3,5581,69748,11632,184
2017-12-22$25.08$25.5019.1%5.5%34.8%32.3%19.5%3.0%0.5%2.4M10.0M-255.1K0.464.69N/AN/A3,5791,65548,60432,260
2017-12-26$25.14$25.5019.8%5.5%34.9%36.2%20.0%3.8%4.0%2.8M11.0M-242.0K0.404.23N/AN/A3,3671,35147,81132,205
2017-12-27$25.22$25.0019.9%5.6%22.7%37.2%19.8%3.9%4.4%3.6M8.0M-247.0K0.403.20N/AN/A3,0841,21948,49732,221
2017-12-28$25.19$25.0020.8%5.8%22.0%42.8%19.6%3.0%5.2%1.8M11.2M-241.4K1.495.29N/AN/A3,0904,59948,70332,238
2017-12-29$24.83$25.0021.8%5.7%21.8%48.6%20.3%3.3%4.3%-1.0M21.6M-232.8K0.435.61N/AN/A5,5672,38349,11735,513