BSX Options History — October 2020 In October 2020, BSX traded between $33.75 and $42.00. ATM implied volatility averaged 37.8%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 11.3% (HV 20d: 26.5%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2020-10-16 : Highest Volume — 25,622 contracts2020-10-15 : Largest IV spike — 9.8% change2020-10-30 : Highest IV Rank — 24.9%2020-10-30 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $38.21 $33.75 $42.00 $38.31 $34.17 Max Pain $36.27 $36.00 $39.00 $39.00 $36.00 ATM IV 37.8% 34.4% 40.5% 39.4% 40.5% Expected Move 10.6% 8.8% 12.6% 9.1% 12.6% HV 20d 26.5% 22.3% 32.8% 22.5% 32.8% HV 60d 26.2% 24.8% 27.2% 26.9% 27.1% IV Rank 21.8% 18.0% 24.9% 23.6% 24.9% IV Percentile 74.7% 61.9% 81.7% 79.4% 81.7% Term Structure -0.6% -6.4% 4.7% 4.7% -0.1% VWIV 37.8% 30.6% 45.1% 31.0% 45.1% Skew 25d 5.0% -2.9% 9.1% 5.4% 6.6% Skew 10d 11.4% -1.4% 40.4% 22.2% 14.3% Call IV 25d 36.7% 32.4% 52.7% 52.7% 37.1% Put IV 25d 41.7% 36.8% 58.1% 58.1% 43.7% Bid-Ask Spread % 14.85 3.58 28.46 7.34 18.68 Gamma HHI 0.13 0.08 0.33 0.08 0.11 Net GEX 12.2K -9.7M 7.4M -949.6K -5.6M Net DEX 11.1M -128.5M 155.6M 33.9M 136.5M Net VEX -745.8K -808.1K -688.2K -808.1K -732.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.06 3.76 0.65 0.96 Total Volume 9,012.682 3,260 25,622 5,588 9,012 Total OI 176,059.273 158,709 199,074 158,709 199,074
Daily Data (22 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 2020-10-01 $38.31 $39.00 39.4% 9.1% 22.5% 23.6% 31.0% 5.4% 4.7% -949.6K 33.9M -808.1K 0.65 7.34 N/A N/A 3,381 2,207 61,284 97,425 2020-10-02 $38.59 $39.00 36.4% 8.8% 22.3% 20.2% 30.6% 6.3% 0.5% -215.0K 22.3M -805.8K 0.14 7.28 N/A N/A 6,234 889 62,752 98,039 2020-10-05 $39.27 $36.00 36.4% 10.0% 23.4% 20.3% 34.7% 6.6% 0.0% 1.4M -4.6M -771.1K 0.13 28.36 N/A N/A 2,881 379 65,049 96,670 2020-10-06 $39.43 $36.00 38.1% 10.0% 23.3% 22.1% 35.3% 3.3% -1.7% 1.9M -10.0M -782.7K 0.11 12.72 N/A N/A 6,300 663 67,159 96,895 2020-10-07 $40.31 $36.00 36.0% 10.3% 24.2% 19.8% 42.4% 5.8% 1.3% 4.2M -45.8M -767.9K 0.65 21.82 N/A N/A 2,253 1,459 69,821 97,325 2020-10-08 $40.42 $36.00 36.7% 10.2% 23.7% 20.5% 37.8% 1.7% 1.2% 4.5M -45.5M -772.5K 0.10 5.87 N/A N/A 6,964 685 69,443 98,099 2020-10-09 $41.05 $36.00 38.9% 10.0% 23.6% 23.1% 33.0% -2.9% 1.7% 7.4M -77.1M -738.1K 0.12 28.46 N/A N/A 10,471 1,285 73,174 97,844 2020-10-12 $42.00 $36.00 36.6% 10.5% 23.9% 20.5% 36.1% 5.2% 0.2% 6.0M -128.5M -711.8K 0.29 20.36 N/A N/A 5,996 1,765 76,645 96,413 2020-10-13 $40.91 $36.00 36.3% 10.2% 25.6% 20.2% 34.3% 4.9% -0.7% 6.4M -95.2M -726.1K 0.06 4.02 N/A N/A 15,095 859 78,523 97,535 2020-10-14 $40.77 $36.00 34.4% 10.3% 24.8% 18.0% 40.8% 8.0% 1.6% 7.2M -127.5M -753.9K 0.92 3.58 N/A N/A 3,173 2,927 89,092 97,768 2020-10-15 $39.05 $36.00 37.8% 10.3% 28.6% 21.8% 37.9% 6.8% -1.4% 5.2M -47.7M -766.6K 1.66 15.83 N/A N/A 5,713 9,496 89,746 100,159 2020-10-16 $38.70 $36.00 36.8% 10.1% 27.5% 20.7% 36.1% 9.1% -2.3% 6.1M -17.7M -747.9K 0.53 6.92 N/A N/A 16,780 8,842 91,298 105,349 2020-10-19 $37.92 $36.00 38.6% 11.0% 28.4% 22.8% 38.6% 5.0% -2.4% -3.1M 31.2M -710.7K 0.70 16.56 N/A N/A 2,780 1,956 62,311 99,827 2020-10-20 $37.70 $36.00 37.5% 10.6% 28.5% 21.4% 36.9% 5.3% -6.4% -3.4M 39.5M -712.3K 0.56 17.55 N/A N/A 2,273 1,280 64,375 101,515 2020-10-21 $37.34 $36.00 37.7% 10.8% 27.8% 21.7% 37.5% 5.9% -2.4% -3.7M 45.1M -717.4K 0.56 22.41 N/A N/A 3,094 1,740 66,203 102,334 2020-10-22 $36.91 $36.00 37.6% 10.8% 27.3% 21.6% 36.1% 5.3% -0.6% -4.8M 58.2M -723.0K 1.25 12.51 N/A N/A 1,896 2,361 68,862 103,927 2020-10-23 $37.09 $36.00 37.7% 10.9% 27.2% 21.7% 36.8% 4.4% -1.2% -9.7M 51.1M -736.0K 2.34 16.96 N/A N/A 6,188 14,508 70,074 105,656 2020-10-26 $36.69 $36.00 40.0% 11.9% 26.2% 24.3% 44.5% 4.7% -1.0% -3.4M 62.5M -762.6K 0.70 16.21 N/A N/A 4,715 3,316 70,008 112,426 2020-10-27 $36.10 $36.00 39.5% 11.9% 26.6% 23.7% 43.0% 2.8% -2.0% -3.3M 70.2M -768.0K 0.58 12.74 N/A N/A 5,308 3,066 73,505 112,911 2020-10-28 $34.09 $36.00 39.6% 12.3% 32.7% 23.8% 41.8% 6.7% -1.8% -5.4M 136.9M -704.5K 3.76 15.20 N/A N/A 2,684 10,079 76,829 115,130 2020-10-29 $33.75 $36.00 39.2% 11.8% 32.4% 23.4% 40.8% 3.9% -0.9% -6.6M 155.6M -688.2K 0.17 15.25 N/A N/A 4,536 790 77,729 117,101 2020-10-30 $34.17 $36.00 40.5% 12.6% 32.8% 24.9% 45.1% 6.6% -0.1% -5.6M 136.5M -732.8K 0.96 18.68 N/A N/A 4,602 4,410 81,424 117,650
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