BSX Options History — December 2019

In December 2019, BSX traded between $42.60 and $45.35. ATM implied volatility averaged 20.2%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.8% (HV 20d: 16.4%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2019-12-16: Highest Volume — 7,858 contracts
  • 2019-12-13: Largest IV drop — 11.9% change
  • 2019-12-12: Highest IV Rank — 10.3%
  • 2019-12-03: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.43$42.60$45.35$42.80$45.16
Max Pain$40.76$40.00$42.00$41.00$42.00
ATM IV20.2%18.5%22.0%20.9%20.3%
Expected Move5.9%5.3%6.5%6.2%5.6%
HV 20d16.4%13.2%18.6%17.9%13.2%
HV 60d25.4%21.7%28.5%28.5%21.7%
IV Rank4.4%0.0%10.3%3.9%8.9%
IV Percentile4.0%0.0%12.7%3.6%6.7%
Term Structure0.8%-1.7%3.6%1.1%3.6%
VWIV20.6%18.8%22.5%21.1%19.7%
Skew 25d3.3%1.6%8.2%2.2%2.2%
Skew 10d6.3%-3.9%11.7%5.5%5.3%
Call IV 25d18.9%17.6%21.2%20.2%18.9%
Put IV 25d22.2%19.7%25.8%22.4%21.1%
Bid-Ask Spread %8.545.5720.287.737.22
Gamma HHI0.180.140.210.140.21
Net GEX7.3M5.8M8.7M7.4M8.7M
Net DEX-118.9M-161.2M-83.8M-88.7M-108.8M
Net VEX-437.4K-472.9K-401.7K-472.9K-414.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.081.000.281.00
Total Volume3,658.5713737,8582,2876,807
Total OI99,911.42992,366110,34397,96094,764

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$42.80$41.0020.9%6.2%17.9%3.9%21.1%2.2%1.1%7.4M-88.7M-472.9K0.287.73N/AN/A1,78350453,82544,135
2019-12-03$42.60$41.0021.7%6.5%17.4%7.3%22.3%1.6%1.5%7.1M-83.8M-469.2K0.687.38N/AN/A2,4331,66653,38944,461
2019-12-04$43.09$41.0020.3%6.0%17.5%1.6%21.6%3.0%1.5%7.6M-102.4M-462.9K0.846.07N/AN/A78766054,61245,535
2019-12-05$43.30$40.0019.4%6.4%17.4%0.0%21.8%2.2%2.6%7.5M-107.4M-454.9K0.195.57N/AN/A1,82634054,35645,892
2019-12-06$44.16$40.0019.4%6.2%18.3%0.3%22.5%2.6%1.5%7.0M-128.0M-440.1K0.245.67N/AN/A5,1611,25153,15545,978
2019-12-09$43.80$40.0021.3%6.2%18.6%7.6%21.1%5.1%1.4%7.7M-106.6M-442.9K0.2020.28N/AN/A3,77575451,98645,595
2019-12-10$44.01$40.0021.0%6.3%17.9%6.5%21.8%3.3%0.7%8.2M-118.0M-436.6K0.605.87N/AN/A2,7101,61653,39745,899
2019-12-11$43.88$40.0020.7%6.2%15.8%5.3%20.9%2.7%0.7%8.4M-113.1M-443.3K0.739.43N/AN/A3,0272,21253,77647,067
2019-12-12$44.70$40.0022.0%6.0%16.7%10.3%21.1%3.1%-1.7%7.1M-142.2M-439.3K0.125.94N/AN/A5,42765655,89549,097
2019-12-13$44.99$40.0019.4%5.7%16.7%0.0%20.4%2.5%0.9%6.1M-149.5M-425.1K0.318.40N/AN/A1,65251756,15449,382
2019-12-16$45.16$40.0019.8%5.7%16.3%1.6%19.0%2.8%-0.5%5.8M-147.9M-401.7K0.097.14N/AN/A7,18267653,27848,321
2019-12-17$44.64$40.0019.8%5.7%17.2%1.7%19.8%3.0%0.7%6.7M-132.6M-430.0K0.089.79N/AN/A2,10617256,51148,818
2019-12-18$44.78$40.0019.4%5.6%17.1%0.4%20.2%3.5%0.4%6.8M-137.8M-426.3K0.607.14N/AN/A1,62898157,28149,456
2019-12-19$44.69$40.0018.9%5.4%17.2%0.0%18.8%3.6%0.0%7.0M-134.3M-429.6K0.3111.34N/AN/A3,6171,13057,58749,566
2019-12-20$45.35$41.0018.5%5.3%17.3%0.0%18.9%2.1%-0.3%6.9M-161.2M-427.5K0.508.17N/AN/A3,9151,97460,06850,275
2019-12-23$45.25$42.0019.8%5.7%16.2%5.0%19.2%2.5%-0.7%7.2M-109.0M-438.1K0.177.69N/AN/A2,47842748,96643,400
2019-12-24$45.26$42.0020.5%5.9%14.1%7.9%20.3%8.2%0.9%7.1M-109.3M-440.0K0.449.82N/AN/A25911450,24343,736
2019-12-26$45.17$42.0020.2%6.0%14.1%6.4%21.5%4.3%1.2%7.4M-106.5M-436.9K0.129.51N/AN/A1,10012750,43243,760
2019-12-27$45.16$42.0020.8%6.0%13.9%9.0%21.1%4.0%0.7%7.5M-108.7M-434.6K0.559.87N/AN/A74641150,90143,829
2019-12-30$44.98$42.0020.6%5.9%14.1%8.0%20.3%3.6%1.5%7.8M-101.3M-419.2K0.129.36N/AN/A1,98224150,57942,783
2019-12-31$45.16$42.0020.3%5.6%13.2%8.9%19.7%2.2%3.6%8.7M-108.8M-414.6K1.007.22N/AN/A3,3983,40951,82442,940