BSX Options History — November 2019

In November 2019, BSX traded between $40.09 and $43.28. ATM implied volatility averaged 23.0%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.4% (HV 20d: 21.6%). Max pain ranged from $39.50 to $41.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2019-11-15: Highest Volume — 44,300 contracts
  • 2019-11-12: Largest IV spike — 17.0% change
  • 2019-11-13: Highest IV Rank — 36.1%
  • 2019-11-13: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.75$40.09$43.28$41.42$43.28
Max Pain$40.92$39.50$41.00$39.50$41.00
ATM IV23.0%20.3%28.8%21.3%21.0%
Expected Move6.6%5.7%7.8%6.0%5.8%
HV 20d21.6%15.1%31.4%31.0%17.6%
HV 60d29.3%28.8%30.4%30.4%28.8%
IV Rank12.4%1.7%36.1%5.7%4.4%
IV Percentile20.1%2.0%72.6%3.6%3.6%
Term Structure-0.0%-1.4%0.9%0.7%0.3%
VWIV23.1%20.1%27.2%20.7%20.9%
Skew 25d3.1%1.6%4.5%2.1%1.6%
Skew 10d8.0%3.7%20.7%5.6%11.3%
Call IV 25d21.5%19.3%25.3%20.5%20.8%
Put IV 25d24.6%21.3%29.8%22.6%22.4%
Bid-Ask Spread %8.863.8425.243.849.58
Gamma HHI0.150.110.450.130.14
Net GEX9.0M-160.8K24.3M4.5M8.5M
Net DEX-93.8M-190.7M-14.5M-62.8M-121.0M
Net VEX-491.4K-565.3K-409.5K-472.6K-469.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.062.440.742.06
Total Volume10,312.476244,3003,7551,474
Total OI120,289.6100,295166,527114,618101,878

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$41.42$39.5021.3%6.0%31.0%5.7%20.7%2.1%0.7%4.5M-62.8M-472.6K0.743.84N/AN/A2,1521,60365,21549,403
2019-11-04$40.92$41.0022.1%6.6%31.4%8.9%26.2%4.1%0.1%2.6M-39.4M-460.3K1.115.20N/AN/A1,5971,77663,19148,148
2019-11-05$40.70$41.0022.8%6.6%23.0%11.8%22.9%4.3%0.9%2.0M-32.2M-457.9K0.675.11N/AN/A1,09773163,74949,730
2019-11-06$40.67$41.0022.0%6.4%22.9%8.5%22.2%3.1%0.1%1.6M-30.4M-447.6K0.746.44N/AN/A43732563,88749,889
2019-11-07$40.64$41.0022.3%6.5%21.9%9.8%22.4%3.0%0.7%1.5M-30.2M-434.2K0.926.18N/AN/A2,0751,91263,94649,997
2019-11-08$40.50$41.0021.4%6.5%21.9%6.1%22.8%3.2%0.3%986.2K-25.1M-432.4K2.446.79N/AN/A7581,84664,34350,895
2019-11-11$40.09$41.0021.4%6.3%22.2%6.0%22.0%4.3%0.7%-160.8K-14.5M-409.5K0.124.98N/AN/A16,1411,98363,28250,785
2019-11-12$41.22$41.0025.0%6.9%23.8%20.7%23.8%4.5%-0.9%6.5M-78.0M-458.1K0.1410.30N/AN/A38,6095,37673,96752,251
2019-11-13$41.34$41.0028.8%7.8%23.4%36.1%27.2%4.5%-1.2%12.8M-115.0M-527.9K0.1625.24N/AN/A18,4202,98492,96556,236
2019-11-14$41.60$41.0027.4%7.7%23.3%30.5%27.1%3.4%-1.4%16.1M-142.9M-565.3K0.1410.00N/AN/A9,9561,372102,69758,423
2019-11-15$42.16$41.0025.8%7.2%23.5%23.8%25.5%3.8%-0.2%24.3M-190.7M-544.3K0.0710.48N/AN/A41,2653,035106,39560,132
2019-11-18$42.25$41.0023.7%6.7%23.5%15.4%23.3%2.0%-0.2%15.6M-144.4M-559.1K0.0615.80N/AN/A18,8681,13178,90043,196
2019-11-19$42.53$41.0023.8%6.8%22.6%16.0%24.3%2.3%-0.4%15.3M-152.2M-557.2K0.078.42N/AN/A5,67337878,33143,493
2019-11-20$42.68$41.0023.4%6.7%15.1%14.3%23.4%2.9%-0.5%15.0M-152.3M-544.2K0.108.43N/AN/A8,45981277,00343,636
2019-11-21$42.36$41.0023.6%6.8%15.3%15.0%24.3%3.1%-0.2%13.5M-126.5M-525.6K0.217.84N/AN/A2,46751573,63444,188
2019-11-22$41.77$41.0022.2%6.3%16.1%9.4%22.5%2.1%0.3%12.9M-93.1M-511.8K0.419.50N/AN/A2,7681,13074,28944,446
2019-11-25$42.86$41.0020.3%5.8%17.6%1.7%20.6%3.3%0.1%9.1M-104.4M-486.9K0.288.30N/AN/A2,37766257,10943,186
2019-11-26$42.80$41.0020.3%5.7%17.6%1.8%20.1%3.4%-0.2%9.4M-102.9M-485.8K0.227.38N/AN/A1,27127957,65143,589
2019-11-27$43.19$41.0020.6%5.9%17.8%2.8%20.7%2.0%0.7%9.0M-118.5M-479.1K0.267.45N/AN/A2,01352157,99943,738
2019-11-29$43.28$41.0021.0%5.8%17.6%4.4%20.9%1.6%0.3%8.5M-121.0M-469.3K2.069.58N/AN/A48299258,02143,857