BSX Options History — January 2018

In January 2018, BSX traded between $25.30 and $28.42. ATM implied volatility averaged 25.3%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 4.1% (HV 20d: 29.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2018-01-26: Highest Volume — 27,157 contracts
  • 2018-01-26: Largest IV spike — 8.4% change
  • 2018-01-30: Highest IV Rank — 83.8%
  • 2018-01-30: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.26$25.30$28.42$25.30$28.00
Max Pain$26.62$25.00$27.00$25.00$27.00
ATM IV25.3%23.8%27.5%24.1%26.3%
Expected Move7.3%5.5%9.3%5.5%8.9%
HV 20d29.4%16.1%33.6%23.0%32.1%
HV 60d28.4%23.7%30.1%23.7%29.3%
IV Rank70.3%60.9%83.8%62.6%76.1%
IV Percentile87.2%81.0%98.0%82.1%93.7%
Term Structure-0.8%-1.5%0.4%0.4%-1.1%
VWIV25.8%19.5%31.8%19.5%31.7%
Skew 25d2.4%1.4%3.4%3.4%3.0%
Skew 10d5.9%3.2%16.9%7.5%3.2%
Call IV 25d24.7%23.7%26.5%23.7%24.9%
Put IV 25d27.1%25.5%29.0%27.1%27.9%
Bid-Ask Spread %12.513.8947.154.298.82
Gamma HHI0.230.150.360.290.17
Net GEX1.8M-1.4M4.4M-580.4K2.8M
Net DEX-33.9M-76.0M10.7M10.7M-31.0M
Net VEX-266.1K-281.3K-240.1K-240.1K-246.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.241.631.480.47
Total Volume10,033.814,00427,15711,15711,134
Total OI81,836.1960,592102,67179,44763,692

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$25.30$25.0024.1%5.5%23.0%62.6%19.5%3.4%0.4%-580.4K10.7M-240.1K1.484.29N/AN/A4,5056,65243,61035,837
2018-01-03$25.59$25.0025.5%5.7%16.1%71.1%20.5%2.6%0.1%238.1K2.1M-250.7K0.733.89N/AN/A5,1423,77546,17737,597
2018-01-04$25.33$26.0026.2%7.2%16.6%75.9%25.3%3.1%-1.1%454.5K9.6M-251.8K1.054.57N/AN/A4,1464,35247,20538,114
2018-01-05$25.95$26.0026.4%7.0%18.2%76.7%25.1%2.2%-1.3%-1.4M-10.8M-269.3K0.767.22N/AN/A6,3084,81247,77640,207
2018-01-08$25.82$26.0026.7%7.2%18.0%78.9%25.3%2.1%-1.4%1.1M-8.8M-269.8K0.326.62N/AN/A7,4402,37448,84238,321
2018-01-09$27.97$26.0024.7%6.8%32.2%66.7%24.1%1.6%-1.0%2.6M-76.0M-272.5K0.285.92N/AN/A14,8804,17552,91239,314
2018-01-10$27.53$27.0025.1%6.8%32.7%68.6%24.7%2.0%-1.2%2.8M-60.2M-267.2K0.895.15N/AN/A4,0953,65252,25740,367
2018-01-11$27.40$27.0024.9%7.0%32.8%67.9%24.2%2.5%-0.7%2.5M-56.6M-275.9K0.645.82N/AN/A4,5122,90252,78541,747
2018-01-12$27.46$27.0025.0%7.0%32.8%68.1%23.9%2.1%-0.9%3.7M-57.1M-279.2K0.556.84N/AN/A4,2842,35954,04942,504
2018-01-16$27.01$27.0025.5%7.2%33.5%71.2%25.2%2.8%-1.2%1.7M-38.4M-274.7K0.257.73N/AN/A9,7822,46651,14441,398
2018-01-17$27.25$27.0025.1%7.2%33.6%68.6%25.2%2.4%-0.4%3.6M-50.3M-279.8K0.494.90N/AN/A3,9671,95457,06341,976
2018-01-18$27.43$27.0025.0%7.2%33.6%68.2%24.8%2.7%-1.5%4.4M-56.2M-271.1K1.636.99N/AN/A3,4145,57556,84642,080
2018-01-19$27.68$27.0024.5%7.1%33.2%65.3%24.9%1.4%-0.6%297.6K-67.1M-267.7K0.435.59N/AN/A12,4445,34956,87145,800
2018-01-22$27.71$27.0024.8%7.3%33.1%67.0%27.3%2.3%-0.6%724.6K-19.6M-263.8K0.2433.89N/AN/A6,2461,51729,54632,157
2018-01-23$27.86$27.0024.5%7.4%32.8%65.2%26.1%2.5%-1.0%1.3M-25.7M-268.7K0.3031.32N/AN/A5,0301,51233,54232,596
2018-01-24$27.95$27.0024.2%7.4%32.6%63.2%26.3%2.3%-0.3%1.9M-30.2M-280.8K0.7014.57N/AN/A2,3521,65236,45132,988
2018-01-25$28.29$27.0023.8%7.5%32.7%60.9%26.0%2.5%-0.8%2.1M-37.2M-277.6K0.4514.73N/AN/A4,2931,92636,59633,268
2018-01-26$28.42$27.0025.8%8.1%32.7%73.1%28.4%1.6%-1.1%1.9M-39.6M-281.3K0.7429.70N/AN/A15,58911,56837,29933,776
2018-01-29$28.35$27.0026.6%8.9%32.7%78.3%30.9%2.1%-0.8%2.6M-36.8M-247.2K0.3047.15N/AN/A5,4591,65737,18023,412
2018-01-30$28.09$27.0027.5%9.3%32.3%83.8%31.8%2.5%-0.8%2.7M-33.5M-253.1K0.336.91N/AN/A4,1071,35239,41723,841
2018-01-31$28.00$27.0026.3%8.9%32.1%76.1%31.7%3.0%-1.1%2.8M-31.0M-246.2K0.478.82N/AN/A7,5833,55139,55524,137