BSX Options History — November 2020

In November 2020, BSX traded between $33.07 and $38.66. ATM implied volatility averaged 31.2%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 12.5% (HV 20d: 43.7%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2020-11-17: Highest Volume — 28,862 contracts
  • 2020-11-17: Largest IV spike — 8.0% change
  • 2020-11-02: Highest IV Rank — 23.2%
  • 2020-11-02: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.39$33.07$38.66$34.48$33.07
Max Pain$36.80$36.00$38.00$36.00$36.00
ATM IV31.2%27.7%39.0%39.0%30.3%
Expected Move9.1%7.7%12.2%12.2%9.0%
HV 20d43.7%31.9%52.2%32.1%48.1%
HV 60d32.5%26.5%36.6%26.5%35.5%
IV Rank14.4%10.4%23.2%23.2%13.4%
IV Percentile41.8%28.6%76.6%76.6%35.7%
Term Structure0.1%-2.9%1.8%0.3%-1.8%
VWIV32.3%27.5%42.5%42.5%33.7%
Skew 25d2.7%-0.5%5.9%5.9%0.6%
Skew 10d5.8%-0.3%11.2%9.6%3.4%
Call IV 25d30.5%27.0%37.1%35.9%30.6%
Put IV 25d33.3%26.5%41.8%41.8%31.2%
Bid-Ask Spread %25.5912.7334.5120.4719.68
Gamma HHI0.110.090.170.110.12
Net GEX-2.0M-6.1M5.0M-4.6M-3.1M
Net DEX63.2M-57.5M136.2M100.1M107.4M
Net VEX-715.8K-778.7K-644.6K-723.5K-730.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.071.830.170.72
Total Volume10,767.952,93228,8625,8827,225
Total OI194,872.8165,919231,107179,439177,396

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$34.48$36.0039.0%12.2%32.1%23.2%42.5%5.9%0.3%-4.6M100.1M-723.5K0.1720.47N/AN/A5,04084270,476108,963
2020-11-03$35.36$36.0037.5%11.4%33.8%21.5%41.2%4.3%0.3%-3.8M75.4M-712.3K1.8331.12N/AN/A1,4232,60670,476108,963
2020-11-04$35.41$36.0034.6%10.3%32.4%18.2%36.2%5.1%0.1%-3.1M71.1M-716.1K0.7825.83N/AN/A3,9883,09975,700110,780
2020-11-05$35.31$37.0033.5%9.6%32.2%17.0%33.7%3.3%-0.3%-3.4M79.7M-731.0K0.1434.51N/AN/A6,63195476,767113,651
2020-11-06$35.74$37.0031.5%9.0%31.9%14.7%32.4%3.3%-0.4%-2.4M59.2M-729.7K0.2531.72N/AN/A4,9071,23682,298113,861
2020-11-09$38.66$37.0029.3%7.7%43.0%12.3%27.5%2.1%-1.8%2.8M-57.5M-693.2K0.2230.09N/AN/A12,8302,81582,170113,753
2020-11-10$38.19$37.0029.4%8.6%42.3%12.4%29.8%3.6%0.7%1.7M-22.8M-682.8K0.1823.67N/AN/A11,0971,94777,977113,938
2020-11-11$37.34$37.0027.7%8.2%42.9%10.4%27.9%3.1%1.3%1.8M9.7M-704.8K0.1912.73N/AN/A10,3201,99183,054114,709
2020-11-12$36.61$38.0028.4%8.1%40.8%11.2%28.9%-0.5%-0.3%-462.5K40.9M-672.4K0.1622.17N/AN/A8,7321,41786,180116,051
2020-11-13$38.08$38.0029.7%8.7%43.5%12.7%30.6%5.6%0.6%4.8M-39.9M-734.5K0.0731.99N/AN/A23,4041,64391,825115,911
2020-11-16$37.94$38.0028.9%8.3%42.9%11.8%29.9%3.2%1.8%5.0M-18.5M-726.5K0.1629.93N/AN/A12,3091,91391,780113,211
2020-11-17$34.99$38.0031.3%9.0%51.6%14.4%33.7%3.0%1.3%-5.0M95.2M-644.6K1.0019.61N/AN/A14,42814,43490,986114,661
2020-11-18$34.36$37.0030.4%8.7%51.8%13.5%30.9%1.9%-0.1%-5.8M113.2M-723.8K0.5127.88N/AN/A7,8914,02299,491123,678
2020-11-19$34.24$37.0031.2%8.9%51.8%14.4%31.7%0.5%0.3%-5.7M124.1M-717.6K0.8627.60N/AN/A3,0632,635103,637126,263
2020-11-20$33.85$37.0031.6%9.4%51.7%14.8%31.0%3.7%-2.9%-6.1M136.2M-699.8K0.7625.68N/AN/A6,4274,862105,362125,745
2020-11-23$33.25$36.0029.7%9.3%51.9%12.7%31.5%1.9%1.7%-3.5M107.8M-691.4K0.5423.04N/AN/A6,0693,25176,75689,163
2020-11-24$33.78$36.0029.4%8.3%52.2%12.3%29.9%0.9%0.8%-3.0M92.8M-739.8K0.4925.91N/AN/A8,1164,01080,58791,251
2020-11-25$33.57$36.0029.2%8.7%48.2%12.1%31.0%1.6%0.9%-2.7M95.0M-778.7K0.6026.93N/AN/A3,0361,81485,81793,116
2020-11-27$33.55$36.0031.3%8.7%48.1%14.5%32.1%1.3%0.5%-3.1M95.6M-763.0K0.2821.19N/AN/A2,29363986,87194,182
2020-11-30$33.07$36.0030.3%9.0%48.1%13.4%33.7%0.6%-1.8%-3.1M107.4M-730.8K0.7219.68N/AN/A4,2123,01384,86092,536