BSX Options History — October 2019 In October 2019, BSX traded between $38.01 and $41.93. ATM implied volatility averaged 28.3%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 6.2% (HV 20d: 34.5%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.80.
Notable Days 2019-10-22 : Highest Volume — 24,192 contracts2019-10-10 : Largest IV spike — 27.3% change2019-10-11 : Highest IV Rank — 58.7%2019-10-08 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $39.57 $38.01 $41.93 $40.27 $41.69 Max Pain $40.17 $39.00 $42.00 $42.00 $39.50 ATM IV 28.3% 22.0% 34.4% 31.6% 22.1% Expected Move 7.9% 6.2% 9.7% 7.6% 6.2% HV 20d 34.5% 31.1% 39.3% 34.3% 31.5% HV 60d 28.9% 25.9% 31.1% 25.9% 30.4% IV Rank 34.2% 8.6% 58.7% 47.3% 8.7% IV Percentile 58.0% 6.7% 90.5% 83.3% 7.1% Term Structure 0.0% -3.6% 11.9% -2.1% 0.4% VWIV 27.6% 21.0% 33.9% 26.0% 21.0% Skew 25d 3.6% -3.4% 7.0% 7.0% 2.8% Skew 10d 9.5% -7.0% 19.1% 18.9% 7.1% Call IV 25d 27.1% 20.7% 40.4% 26.5% 20.7% Put IV 25d 30.7% 23.5% 37.1% 33.5% 23.5% Bid-Ask Spread % 8.96 3.67 18.09 8.35 3.79 Gamma HHI 0.11 0.07 0.20 0.08 0.14 Net GEX 1.3M -4.7M 7.8M 1.8M 4.6M Net DEX -9.6M -86.8M 38.2M -6.4M -66.5M Net VEX -469.0K -512.0K -432.0K -502.4K -461.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.11 2.80 1.37 0.11 Total Volume 6,046.609 1,380 24,192 3,565 5,218 Total OI 121,120.478 100,478 141,634 110,676 111,710
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-10-01 $40.27 $42.00 31.6% 7.6% 34.3% 47.3% 26.0% 7.0% -2.1% 1.8M -6.4M -502.4K 1.37 8.35 N/A N/A 1,507 2,058 71,465 39,211 2019-10-02 $39.25 $42.00 32.2% 8.4% 35.1% 49.9% 28.7% 4.3% -0.1% 91.6K 14.9M -480.9K 1.92 8.36 N/A N/A 1,742 3,339 72,231 40,333 2019-10-03 $39.61 $41.00 33.0% 8.6% 34.9% 53.1% 28.4% 2.9% -3.4% 557.4K 7.5M -479.6K 0.71 13.68 N/A N/A 1,567 1,120 72,673 39,804 2019-10-04 $40.39 $41.00 29.8% 8.3% 34.5% 40.3% 28.1% 3.9% 0.4% 2.6M -15.8M -512.0K 0.47 13.10 N/A N/A 4,156 1,946 77,728 40,701 2019-10-07 $40.40 $41.00 30.9% 8.5% 31.1% 44.5% 29.8% 6.9% -0.7% 3.1M -18.3M -506.0K 0.20 11.73 N/A N/A 1,154 226 78,880 41,472 2019-10-08 $38.16 $41.00 33.8% 9.7% 36.5% 56.4% 33.9% 4.1% 0.9% -356.0K 31.9M -449.0K 1.64 6.85 N/A N/A 3,434 5,635 79,554 41,534 2019-10-09 $38.61 $41.00 26.3% 9.0% 34.8% 25.8% 32.4% 4.1% 11.9% -244.8K 25.1M -471.9K 0.59 18.09 N/A N/A 1,995 1,169 80,926 45,702 2019-10-10 $38.01 $40.00 33.5% 9.3% 34.9% 54.9% 33.0% 4.2% -0.9% -833.1K 36.3M -455.2K 0.66 9.06 N/A N/A 2,930 1,923 81,996 45,563 2019-10-11 $38.33 $40.00 34.4% 9.1% 35.0% 58.7% 30.8% -3.4% -3.6% -448.2K 27.4M -476.6K 0.18 13.94 N/A N/A 3,107 547 83,793 45,419 2019-10-14 $38.10 $40.00 31.3% 8.9% 35.0% 46.2% 30.6% 3.6% 0.0% -917.3K 32.6M -444.4K 1.10 12.18 N/A N/A 2,267 2,502 83,575 45,071 2019-10-15 $38.52 $40.00 28.6% 8.2% 34.9% 35.4% 29.0% 4.3% -0.2% -3.0M 30.7M -455.7K 0.81 10.63 N/A N/A 1,776 1,439 84,369 52,201 2019-10-16 $38.19 $40.00 29.5% 8.4% 34.4% 38.7% 28.7% 4.3% 1.7% -4.2M 38.2M -442.2K 0.67 10.92 N/A N/A 941 630 85,693 52,923 2019-10-17 $38.25 $40.00 29.0% 8.3% 34.3% 36.8% 28.2% 3.8% 0.8% -4.7M 35.0M -441.8K 1.11 6.45 N/A N/A 2,424 2,694 85,991 52,925 2019-10-18 $38.58 $40.00 28.1% 8.0% 34.4% 33.2% 28.9% 4.6% 1.2% 572.8K 18.8M -441.7K 2.80 9.25 N/A N/A 2,271 6,370 87,101 54,533 2019-10-21 $38.72 $40.00 29.0% 8.2% 34.5% 36.9% 28.1% 4.1% -1.8% 434.1K 7.2M -432.0K 0.89 10.55 N/A N/A 3,201 2,836 57,580 42,898 2019-10-22 $38.20 $39.50 31.5% 9.5% 33.9% 47.0% 33.0% 1.9% -1.5% 289.9K 14.3M -454.7K 0.18 13.43 N/A N/A 20,429 3,763 61,243 45,303 2019-10-23 $40.17 $39.00 23.9% 6.6% 39.2% 16.3% 23.7% 2.8% -2.1% 7.8M -66.4M -473.6K 0.37 5.51 N/A N/A 15,200 5,665 74,224 47,461 2019-10-24 $40.57 $39.00 24.0% 6.4% 39.3% 16.6% 24.4% 3.3% -0.9% 4.5M -73.1M -478.4K 0.60 4.01 N/A N/A 4,838 2,916 72,552 50,109 2019-10-25 $40.95 $39.50 22.2% 6.2% 33.9% 9.4% 23.9% 3.4% -0.6% 4.2M -86.8M -488.4K 0.82 3.95 N/A N/A 3,069 2,508 74,036 51,634 2019-10-28 $41.61 $39.50 22.2% 6.3% 33.6% 9.3% 22.2% 3.3% 0.2% 4.1M -64.7M -483.8K 0.46 4.45 N/A N/A 966 440 62,187 48,521 2019-10-29 $41.70 $39.50 22.8% 6.5% 33.1% 11.9% 22.0% 2.8% 0.3% 5.0M -68.8M -482.9K 0.28 3.67 N/A N/A 2,838 789 63,078 48,763 2019-10-30 $41.93 $39.50 22.0% 6.2% 31.5% 8.6% 21.1% 3.7% 0.5% 4.9M -73.4M -471.2K 0.58 4.11 N/A N/A 964 563 62,182 48,923 2019-10-31 $41.69 $39.50 22.1% 6.2% 31.5% 8.7% 21.0% 2.8% 0.4% 4.6M -66.5M -461.8K 0.11 3.79 N/A N/A 4,689 529 62,487 49,223
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