BSX Options History — November 2018

In November 2018, BSX traded between $34.12 and $38.64. ATM implied volatility averaged 28.8%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 4.0% (HV 20d: 32.8%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2018-11-27: Highest Volume — 28,487 contracts
  • 2018-11-20: Largest IV spike — 34.4% change
  • 2018-11-20: Highest IV Rank — 70.1%
  • 2018-11-20: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.45$34.12$38.64$36.95$37.62
Max Pain$36.07$36.00$37.00$36.00$36.00
ATM IV28.8%23.7%41.2%27.9%26.7%
Expected Move8.4%7.1%11.8%8.3%7.6%
HV 20d32.8%29.2%37.4%29.4%37.0%
HV 60d25.1%21.8%28.7%22.3%28.7%
IV Rank35.5%21.7%70.1%33.3%28.8%
IV Percentile73.7%47.2%98.8%73.4%64.3%
Term Structure-0.1%-2.2%1.6%0.4%-0.0%
VWIV29.0%24.9%39.3%31.5%26.8%
Skew 25d3.2%2.1%4.6%2.1%2.9%
Skew 10d5.5%2.6%9.2%4.5%3.0%
Call IV 25d27.6%23.1%39.3%27.4%24.3%
Put IV 25d30.8%25.9%42.7%29.5%27.2%
Bid-Ask Spread %24.6418.4533.6018.5921.54
Gamma HHI0.200.100.360.200.31
Net GEX5.2M418.8K11.7M6.2M8.8M
Net DEX-63.1M-141.2M-5.7M-74.1M-117.0M
Net VEX-363.7K-449.7K-313.6K-373.2K-445.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.342.790.962.34
Total Volume12,700.6198,89128,48711,8838,891
Total OI109,388.90573,453131,079116,280112,319

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$36.95$36.0027.9%8.3%29.4%33.3%31.5%2.1%0.4%6.2M-74.1M-373.2K0.9618.59N/AN/A6,0715,81279,45636,824
2018-11-02$36.79$36.0027.2%8.3%29.5%31.5%29.7%2.9%0.3%5.9M-68.0M-361.1K0.8719.23N/AN/A6,3625,53279,00137,150
2018-11-05$36.31$36.0028.3%8.3%29.5%34.5%28.6%2.5%0.1%4.6M-54.2M-343.9K0.7719.41N/AN/A7,6945,93977,46236,616
2018-11-06$36.70$36.0027.9%7.8%29.8%33.4%27.1%3.7%0.1%5.5M-64.9M-346.0K0.5318.48N/AN/A7,2863,84379,44337,511
2018-11-07$37.82$36.0024.1%7.1%29.3%22.9%25.1%2.4%0.8%8.9M-102.4M-340.1K0.6822.84N/AN/A6,8674,64780,13337,327
2018-11-08$38.30$36.0023.7%7.3%29.5%21.7%24.9%2.9%0.6%10.4M-121.4M-345.8K0.7233.60N/AN/A6,9624,99480,47538,196
2018-11-09$38.64$36.0024.6%7.1%29.2%24.1%25.0%3.9%0.3%11.7M-141.2M-354.9K0.6419.13N/AN/A6,8614,40781,10238,519
2018-11-12$36.92$36.0027.2%8.0%33.5%31.4%27.9%3.3%0.4%6.4M-69.9M-325.7K0.8120.33N/AN/A5,6354,55681,64138,548
2018-11-13$36.67$36.0028.7%8.1%29.7%35.5%28.4%3.1%-0.5%5.7M-59.8M-323.2K0.6525.22N/AN/A6,8264,44781,74939,343
2018-11-14$36.32$36.0027.9%8.0%29.9%33.3%27.3%2.4%-0.2%3.8M-46.3M-313.6K0.6518.45N/AN/A7,8395,08982,03139,670
2018-11-15$36.41$36.0028.4%8.4%29.6%34.6%29.6%2.8%0.7%4.5M-53.0M-339.6K1.0127.57N/AN/A7,1267,22587,38439,813
2018-11-16$37.22$36.0026.8%7.9%29.3%30.2%27.0%2.4%1.6%8.9M-79.4M-347.5K0.7920.25N/AN/A6,9085,47587,65343,426
2018-11-19$35.21$37.0030.7%8.8%35.4%40.9%29.5%2.7%-1.4%916.5K-20.6M-327.2K1.2832.00N/AN/A5,9827,67641,52131,932
2018-11-20$34.12$36.5041.2%11.8%36.6%70.1%39.3%3.4%-1.8%469.7K-5.7M-361.8K1.2333.41N/AN/A8,0909,92845,35635,389
2018-11-21$34.65$36.0033.5%9.6%37.1%48.8%31.5%4.6%-0.8%418.8K-12.3M-380.9K1.0428.92N/AN/A7,6837,97451,10239,703
2018-11-23$34.80$36.0033.1%9.6%37.1%46.9%32.0%4.4%-2.2%874.5K-18.0M-383.6K2.6524.10N/AN/A2,7267,22853,64540,040
2018-11-26$35.00$36.0031.5%9.1%36.5%42.4%31.3%3.4%-0.7%720.3K-19.5M-367.2K2.6923.71N/AN/A2,4116,49552,25239,295
2018-11-27$35.24$36.0029.4%8.7%35.7%36.8%29.3%3.9%-0.8%915.5K-23.5M-360.9K0.3433.22N/AN/A21,2217,26652,63439,393
2018-11-28$36.57$36.0028.0%8.2%37.4%32.4%28.8%3.2%-0.2%5.9M-73.2M-447.2K2.7926.04N/AN/A2,4586,85069,91340,146
2018-11-29$37.24$36.0028.2%7.8%37.3%32.9%27.8%3.4%0.7%7.8M-101.0M-449.7K2.5731.39N/AN/A2,6456,78671,79540,259
2018-11-30$37.62$36.0026.7%7.6%37.0%28.8%26.8%2.9%-0.0%8.8M-117.0M-445.0K2.3421.54N/AN/A2,6606,23172,02640,293