BSX Options History — January 2020

In January 2020, BSX traded between $41.84 and $45.84. ATM implied volatility averaged 25.1%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.1% (HV 20d: 21.0%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-01-14: Highest Volume — 26,430 contracts
  • 2020-01-31: Largest IV spike — 12.1% change
  • 2020-01-31: Highest IV Rank — 47.0%
  • 2020-01-31: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.11$41.84$45.84$45.25$41.84
Max Pain$42.95$42.00$43.00$42.00$43.00
ATM IV25.1%20.5%28.1%20.5%28.1%
Expected Move7.1%5.9%8.3%5.9%8.3%
HV 20d21.0%9.6%30.5%12.9%30.5%
HV 60d19.9%17.3%22.4%21.7%21.8%
IV Rank32.4%9.6%47.0%9.6%47.0%
IV Percentile56.5%7.5%86.1%7.5%86.1%
Term Structure-0.1%-2.0%3.9%3.2%0.1%
VWIV24.8%20.6%27.9%20.6%27.9%
Skew 25d3.4%2.9%4.5%3.0%4.5%
Skew 10d6.8%4.8%8.2%5.4%8.2%
Call IV 25d23.5%18.4%26.3%18.4%26.2%
Put IV 25d27.0%21.4%30.6%21.4%30.6%
Bid-Ask Spread %6.283.678.458.196.57
Gamma HHI0.180.080.580.210.31
Net GEX5.6M-550.6K17.3M9.2M4.6M
Net DEX-58.0M-143.2M26.1M-113.7M26.1M
Net VEX-494.0K-627.4K-383.9K-426.1K-620.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.053.770.660.67
Total Volume7,103.3331,56326,4303,2212,803
Total OI104,841.1974,716151,006100,97292,294

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$45.25$42.0020.5%5.9%12.9%9.6%20.6%3.0%3.2%9.2M-113.7M-426.1K0.668.19N/AN/A1,9401,28154,85446,118
2020-01-03$44.99$43.0022.8%6.4%12.9%20.6%22.4%3.4%3.9%8.2M-102.2M-433.5K0.397.97N/AN/A3,1231,21755,47646,892
2020-01-06$45.36$43.0023.4%7.0%13.1%24.1%23.9%3.8%1.9%9.2M-119.0M-415.3K0.538.45N/AN/A2,2331,18257,69847,195
2020-01-07$45.42$43.0023.7%7.0%11.3%25.6%24.9%3.7%-0.2%9.7M-122.1M-415.4K1.027.59N/AN/A4,1664,26458,92348,007
2020-01-08$45.84$43.0025.6%7.2%11.1%35.0%25.2%3.4%-0.5%9.7M-143.2M-427.1K0.055.89N/AN/A5,96829362,19951,922
2020-01-09$45.51$43.0025.8%7.0%11.5%35.9%25.0%3.3%-0.9%10.1M-126.8M-457.4K0.523.69N/AN/A2,0061,04165,87552,095
2020-01-10$45.64$43.0025.3%7.0%11.4%33.1%24.8%3.4%-0.9%10.5M-139.3M-447.0K1.093.67N/AN/A2,5252,75666,17052,743
2020-01-13$45.52$43.0026.2%7.0%9.6%37.5%23.9%3.9%-1.7%10.8M-128.8M-432.3K0.204.79N/AN/A10,4502,11967,69054,149
2020-01-14$42.67$43.0027.6%7.4%25.0%44.6%27.9%3.7%-1.7%2.7M13.9M-383.9K1.965.96N/AN/A8,91817,51270,91655,922
2020-01-15$42.55$43.0027.5%7.3%24.9%43.9%26.8%3.1%-2.0%1.8M15.9M-440.5K0.497.00N/AN/A10,2945,01773,86163,749
2020-01-16$43.25$43.0025.3%6.9%25.6%33.1%23.9%3.0%-1.5%5.3M-15.3M-482.2K0.406.75N/AN/A8,4743,39880,07767,436
2020-01-17$44.09$43.0023.8%6.5%26.6%26.1%22.6%3.0%-1.7%17.3M-52.3M-504.8K0.364.08N/AN/A8,1022,91081,34069,666
2020-01-21$44.08$43.0024.6%7.0%26.6%30.1%24.0%3.5%-0.5%2.1M-40.4M-503.4K0.745.89N/AN/A3,0632,25239,41335,303
2020-01-22$44.08$43.0024.2%6.9%26.0%27.8%24.3%3.0%-0.3%2.2M-40.4M-508.6K0.445.75N/AN/A1,74976240,31136,210
2020-01-23$43.50$43.0025.1%7.2%26.3%32.2%24.7%3.4%-0.6%1.7M-29.7M-517.7K1.825.73N/AN/A2,1073,83141,14936,498
2020-01-24$43.14$43.0025.3%7.3%26.4%33.5%25.3%2.9%-0.5%498.7K-21.5M-543.2K1.698.04N/AN/A1,4642,47441,71240,023
2020-01-27$42.73$43.0027.4%8.1%26.5%43.6%27.5%3.6%0.4%633.8K-8.0M-556.1K3.776.10N/AN/A2,0537,74139,55340,341
2020-01-28$43.47$43.0025.7%7.5%27.4%35.5%26.7%3.4%0.2%466.2K-19.8M-604.6K0.215.84N/AN/A1,84038940,41146,302
2020-01-29$44.00$43.0024.6%7.3%27.9%30.2%23.8%3.5%0.3%1.1M-34.3M-627.4K0.367.91N/AN/A2,8501,04041,49247,843
2020-01-30$43.32$43.0025.1%7.3%28.2%32.1%25.3%3.7%0.6%-550.6K-17.3M-626.2K0.866.09N/AN/A84072343,36148,476
2020-01-31$41.84$43.0028.1%8.3%30.5%47.0%27.9%4.5%0.1%4.6M26.1M-620.7K0.676.57N/AN/A1,6761,12743,42948,865