BSX Options History — December 2018

In December 2018, BSX traded between $31.86 and $38.47. ATM implied volatility averaged 34.1%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 7.6% (HV 20d: 41.7%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-12-28: Highest Volume — 21,718 contracts
  • 2018-12-04: Largest IV spike — 21.4% change
  • 2018-12-28: Highest IV Rank — 79.1%
  • 2018-12-24: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.18$31.86$38.47$38.47$35.17
Max Pain$35.15$35.00$36.00$36.00$35.00
ATM IV34.1%23.3%44.6%23.3%36.7%
Expected Move9.8%6.8%12.5%6.8%10.1%
HV 20d41.7%37.7%45.5%37.7%43.9%
HV 60d33.2%29.0%36.7%29.0%36.7%
IV Rank49.5%19.2%79.1%19.2%56.9%
IV Percentile86.7%40.5%99.2%40.5%94.8%
Term Structure2.3%-12.4%22.6%2.2%-12.4%
VWIV34.0%23.8%44.7%23.8%33.2%
Skew 25d4.4%1.7%6.7%4.1%1.7%
Skew 10d9.1%-14.0%56.5%8.3%56.5%
Call IV 25d32.0%21.3%39.5%21.3%39.5%
Put IV 25d36.4%25.4%44.9%25.4%41.2%
Bid-Ask Spread %26.3120.9836.1921.8424.64
Gamma HHI0.230.130.350.310.28
Net GEX3.8M-362.1K10.3M10.3M3.6M
Net DEX-34.5M-150.9M33.3M-150.9M-31.2M
Net VEX-325.1K-420.6K-231.1K-420.6K-289.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.103.610.240.24
Total Volume4,172.951,36621,7183,1132,623
Total OI102,729.378,954114,183109,60291,873

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$38.47$36.0023.3%6.8%37.7%19.2%23.8%4.1%2.2%10.3M-150.9M-420.6K0.2421.84N/AN/A2,50560871,82337,779
2018-12-04$36.63$36.0028.3%8.5%41.6%33.2%29.1%4.4%1.6%7.1M-76.9M-412.8K0.3432.63N/AN/A4,0461,36971,83937,925
2018-12-05$36.52$36.0028.5%8.7%41.5%33.7%28.9%4.6%1.6%6.9M-73.2M-410.8K0.3436.19N/AN/A3,9861,37171,83937,925
2018-12-06$36.65$35.0030.0%8.8%39.9%38.1%30.0%2.7%2.4%6.8M-75.1M-409.5K1.1121.35N/AN/A78587071,36438,419
2018-12-07$35.23$35.0032.6%9.3%41.7%45.2%32.1%3.7%-1.3%3.0M-28.5M-360.9K1.2325.19N/AN/A1,6692,05371,38239,032
2018-12-10$36.14$35.0031.8%9.3%42.8%43.1%32.1%4.4%0.1%5.9M-56.6M-369.4K0.5620.98N/AN/A87848871,11834,607
2018-12-11$36.59$35.0031.2%8.8%40.1%41.4%32.1%4.8%-0.4%7.4M-71.5M-373.5K1.6222.99N/AN/A59496371,44934,832
2018-12-12$37.20$35.0029.1%8.4%40.5%35.4%30.2%4.0%0.4%9.7M-93.3M-374.7K1.1325.72N/AN/A1,4551,64771,50035,442
2018-12-13$36.97$35.0028.5%8.4%40.4%33.7%29.9%4.0%0.8%9.5M-82.4M-361.5K1.3525.48N/AN/A8661,17072,01335,681
2018-12-14$35.61$35.0031.3%9.2%42.6%41.8%32.3%3.9%1.3%3.6M-33.9M-325.6K0.8623.11N/AN/A2,0841,80172,35635,764
2018-12-17$33.93$35.0036.5%10.5%44.8%56.2%36.6%4.2%-0.7%591.3K4.6M-282.6K1.4523.34N/AN/A1,2111,75272,96536,019
2018-12-18$34.52$35.0035.6%10.2%41.1%53.7%35.7%4.8%-0.7%753.6K-4.9M-292.7K3.6121.78N/AN/A1,0443,76473,41136,790
2018-12-19$33.94$35.0036.1%10.4%40.0%55.2%35.7%5.5%-0.7%-311.4K13.3M-288.9K1.9330.76N/AN/A8541,65173,64839,707
2018-12-20$33.15$35.0038.4%11.1%40.4%61.6%37.6%4.3%-2.7%-362.1K27.3M-269.7K1.5827.34N/AN/A1,1791,86273,84240,341
2018-12-21$32.90$35.0038.1%11.1%40.3%60.9%38.1%3.9%-2.5%-30.6K33.3M-253.5K1.4627.76N/AN/A1,0241,49574,22739,665
2018-12-24$31.86$35.0041.6%12.5%41.5%70.6%44.7%6.0%15.3%-172.0K24.9M-231.1K1.0224.87N/AN/A1,4561,48846,03733,881
2018-12-26$33.44$35.0039.5%11.9%45.5%64.7%39.6%6.7%9.4%-12.3K4.5M-252.7K0.4527.95N/AN/A3,7791,70546,25033,577
2018-12-27$34.12$35.0040.4%11.7%43.9%67.3%41.9%5.4%10.1%316.8K-5.3M-262.9K1.4130.61N/AN/A1,5162,13044,52534,429
2018-12-28$34.59$35.0044.6%10.8%43.6%79.1%35.5%4.7%22.6%1.0M-13.6M-259.6K0.1031.72N/AN/A19,6792,03944,82634,484
2018-12-31$35.17$35.0036.7%10.1%43.9%56.9%33.2%1.7%-12.4%3.6M-31.2M-289.2K0.2424.64N/AN/A2,11351059,95731,916