BSX Options History — January 2019

In January 2019, BSX traded between $33.06 and $38.09. ATM implied volatility averaged 32.4%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 5.0% (HV 20d: 37.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2019-01-31: Highest Volume — 15,971 contracts
  • 2019-01-04: Largest IV drop — 9.9% change
  • 2019-01-03: Highest IV Rank — 64.8%
  • 2019-01-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.20$33.06$38.09$34.34$38.09
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV32.4%28.3%39.5%36.9%31.9%
Expected Move9.4%7.7%11.3%9.8%7.7%
HV 20d37.4%27.3%44.4%43.4%27.3%
HV 60d37.5%36.8%38.4%37.0%36.9%
IV Rank44.8%33.2%64.8%57.5%43.3%
IV Percentile79.5%57.5%97.2%94.8%80.2%
Term Structure1.4%-2.5%13.3%2.5%13.3%
VWIV32.9%25.6%41.5%33.5%26.8%
Skew 25d4.5%-20.6%14.9%14.9%4.6%
Skew 10d5.8%-7.9%23.7%8.9%11.8%
Call IV 25d32.6%27.2%57.7%36.3%27.2%
Put IV 25d37.2%30.4%59.1%51.3%31.8%
Bid-Ask Spread %27.2816.3480.6580.6521.84
Gamma HHI0.290.130.930.210.26
Net GEX8.7M1.2M89.1M2.5M5.0M
Net DEX-42.5M-111.2M11.0M-10.3M-60.7M
Net VEX-238.4K-267.6K-213.9K-250.4K-254.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.071.760.350.07
Total Volume4,847.3331,12915,9715,64915,971
Total OI80,611.04843,588103,91393,80654,910

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$34.34$35.0036.9%9.8%43.4%57.5%33.5%14.9%2.5%2.5M-10.3M-250.4K0.3580.65N/AN/A4,1901,45961,69432,112
2019-01-03$33.06$35.0039.5%11.3%42.1%64.8%41.5%3.0%1.8%1.2M11.0M-219.1K1.0420.99N/AN/A2,2792,37463,22533,117
2019-01-04$34.15$35.0035.6%10.7%44.2%53.8%41.5%-20.6%1.6%2.2M-6.9M-244.0K1.3724.75N/AN/A1,9682,69163,51133,874
2019-01-07$34.53$35.0036.1%10.5%44.4%55.2%36.3%12.9%5.3%2.9M-15.1M-246.0K0.2731.44N/AN/A88824163,63033,909
2019-01-08$35.40$35.0032.6%10.0%43.2%45.2%33.7%2.5%7.7%4.8M-40.3M-267.6K0.1732.15N/AN/A3,20455765,40034,054
2019-01-09$35.76$35.0035.5%9.4%42.4%53.4%33.2%5.1%-2.4%5.5M-46.8M-262.3K0.4727.72N/AN/A2,00194165,72034,247
2019-01-10$35.93$35.0034.1%9.1%42.2%49.5%32.5%6.9%-2.5%6.2M-51.5M-257.2K0.4330.31N/AN/A1,71473466,15834,555
2019-01-11$35.48$35.0033.2%9.3%41.8%47.1%25.6%7.9%-0.9%5.9M-35.0M-234.1K0.4925.29N/AN/A1,68082166,16534,620
2019-01-14$35.33$35.0033.1%9.4%41.8%46.6%31.3%4.1%-0.3%3.7M-28.9M-213.9K1.7619.19N/AN/A41773665,92234,066
2019-01-15$36.67$35.0032.8%9.3%41.9%45.9%32.7%3.0%-1.1%9.2M-73.4M-227.9K0.1133.17N/AN/A8,31492865,91734,320
2019-01-16$36.61$35.0030.2%8.7%37.6%38.6%31.0%4.7%-0.1%10.1M-73.9M-223.9K0.5025.03N/AN/A2,5841,30468,31534,726
2019-01-17$36.92$35.0029.2%8.3%37.3%35.8%29.7%3.3%1.0%13.1M-84.3M-219.1K0.1323.60N/AN/A10,6951,35168,61435,299
2019-01-18$37.50$35.0029.6%8.6%36.7%36.8%30.1%3.9%-0.9%89.1M-111.2M-226.9K0.3423.58N/AN/A5,5361,86466,65435,548
2019-01-22$37.09$35.0032.3%9.4%35.7%44.4%31.6%9.3%1.5%2.4M-34.4M-223.6K0.5233.66N/AN/A1,74790428,68514,903
2019-01-23$37.15$35.0029.8%9.5%35.4%37.5%33.0%6.6%0.5%2.5M-34.7M-230.2K0.5516.34N/AN/A3,2861,82130,18415,625
2019-01-24$37.33$35.0030.0%9.1%32.4%37.9%32.1%4.9%-0.8%2.7M-38.2M-237.7K0.2620.70N/AN/A4,7171,24631,20616,481
2019-01-25$37.45$35.0028.3%9.1%28.7%33.2%31.9%2.3%0.1%3.2M-42.5M-244.6K0.4619.53N/AN/A2,8621,31233,31916,626
2019-01-28$36.80$35.0030.6%9.7%29.3%39.7%34.9%3.7%0.2%2.7M-32.8M-238.5K0.0919.35N/AN/A1,33312334,26416,572
2019-01-29$37.00$35.0030.1%9.7%29.0%38.4%34.6%7.1%-1.0%3.1M-37.3M-241.2K1.7216.98N/AN/A52590535,37816,650
2019-01-30$37.53$35.0029.5%8.8%28.9%36.7%33.5%4.8%4.4%3.9M-45.6M-244.3K0.3526.63N/AN/A2,63693535,53517,122
2019-01-31$38.09$35.0031.9%7.7%27.3%43.3%26.8%4.6%13.3%5.0M-60.7M-254.0K0.0721.84N/AN/A14,9351,03637,75917,151