BSX Options History — February 2020

In February 2020, BSX traded between $36.50 and $43.09. ATM implied volatility averaged 26.3%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.5% (HV 20d: 26.8%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2020-02-04: Highest Volume — 15,238 contracts
  • 2020-02-28: Largest IV spike — 27.0% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.60$36.50$43.09$42.22$36.50
Max Pain$43.11$42.00$44.00$43.00$42.00
ATM IV26.3%21.1%45.1%28.8%45.1%
Expected Move7.7%5.9%13.9%8.4%13.9%
HV 20d26.8%20.5%32.2%30.8%30.1%
HV 60d22.4%21.6%25.7%21.8%25.7%
IV Rank39.8%13.8%100.0%50.6%100.0%
IV Percentile49.8%11.5%100.0%89.7%100.0%
Term Structure-0.4%-2.8%0.9%-1.2%-2.8%
VWIV26.3%20.9%44.4%28.5%44.4%
Skew 25d4.2%2.8%8.0%5.7%8.0%
Skew 10d7.8%6.5%10.2%9.3%10.2%
Call IV 25d24.6%19.7%42.5%26.2%42.5%
Put IV 25d28.8%22.6%50.5%32.0%50.5%
Bid-Ask Spread %7.614.8513.126.3811.67
Gamma HHI0.100.080.120.090.09
Net GEX-591.9K-1.7M2.6M-761.0K-1.5M
Net DEX17.6M-21.7M82.2M12.6M82.2M
Net VEX-636.3K-697.2K-595.3K-621.0K-595.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.131.810.130.90
Total Volume4,648.7371,66115,2382,8496,538
Total OI97,097.94783,276108,10386,16190,016

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$42.22$43.0028.8%8.4%30.8%50.6%28.5%5.7%-1.2%-761.0K12.6M-621.0K0.136.38N/AN/A2,53131838,96447,197
2020-02-04$42.85$43.0026.2%8.1%31.2%37.5%28.4%3.9%-0.5%159.0K-4.3M-620.8K1.2811.42N/AN/A6,6708,56840,83947,371
2020-02-05$42.61$43.0024.1%6.2%31.2%29.4%21.5%3.6%-0.5%-245.8K-1.2M-644.2K0.228.35N/AN/A4,9061,07452,62153,183
2020-02-06$43.09$44.0023.4%6.6%31.3%25.6%22.1%3.1%0.0%2.6M-21.7M-646.0K0.348.67N/AN/A1,60555254,16153,375
2020-02-07$42.24$44.0023.4%6.8%31.8%25.3%23.3%3.7%-0.5%-514.7K17.5M-627.5K1.587.34N/AN/A1,4202,24654,59753,506
2020-02-10$42.16$44.0023.2%6.8%31.8%24.4%23.1%3.1%0.5%-444.3K12.5M-618.6K0.5513.12N/AN/A1,56786350,99050,777
2020-02-11$42.62$44.0023.1%6.6%32.2%23.9%23.3%3.8%-0.2%753.7K2.1M-628.0K0.505.99N/AN/A1,13256451,50750,729
2020-02-12$42.32$43.0022.3%6.5%22.7%19.7%21.4%2.8%0.3%-801.6K10.8M-619.0K0.906.21N/AN/A2,0921,87351,75050,895
2020-02-13$42.15$43.0022.5%6.6%22.8%20.9%22.9%3.6%0.9%-1.6M13.9M-620.0K0.737.00N/AN/A95870353,10851,177
2020-02-14$42.23$44.0021.2%5.9%21.9%14.1%20.9%2.9%-0.7%-1.5M12.3M-615.9K0.796.74N/AN/A1,3871,09053,79051,749
2020-02-18$42.17$43.0021.7%6.2%20.5%16.8%21.4%3.6%0.2%-1.6M15.9M-603.5K1.814.85N/AN/A1,7283,13147,62651,379
2020-02-19$43.09$43.0021.1%6.1%22.2%13.8%21.2%3.4%0.0%997.6K-15.0M-616.2K0.866.18N/AN/A4,1493,56148,43649,063
2020-02-20$42.47$43.0022.2%6.4%22.7%19.2%21.7%3.2%-0.4%-931.9K5.4M-654.5K1.475.56N/AN/A1,6372,41050,15951,510
2020-02-21$42.59$43.0023.3%6.7%22.3%25.2%24.1%4.2%0.2%210.3K3.8M-662.2K1.415.37N/AN/A2,9464,15850,59552,386
2020-02-24$41.24$43.0028.6%8.3%24.8%56.0%28.6%5.6%-0.8%-1.0M26.3M-697.2K1.035.99N/AN/A1,8161,86736,97946,297
2020-02-25$40.00$43.0033.0%9.8%26.7%80.2%32.9%4.7%-0.7%-1.5M45.1M-682.4K0.489.34N/AN/A2,7731,34537,49646,598
2020-02-26$39.50$42.0031.5%9.5%25.7%75.5%32.2%5.7%-1.2%-1.7M51.4M-671.1K0.596.07N/AN/A1,65097939,22547,368
2020-02-27$38.26$42.0035.5%11.2%26.6%99.0%37.3%4.3%0.3%-1.7M65.3M-646.2K0.338.30N/AN/A4,1601,35939,80347,639
2020-02-28$36.50$42.0045.1%13.9%30.1%100.0%44.4%8.0%-2.8%-1.5M82.2M-595.3K0.9011.67N/AN/A3,4353,10341,92948,087