BSX Options History — December 2020 In December 2020, BSX traded between $33.44 and $35.86. ATM implied volatility averaged 31.1%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 0.2% (HV 20d: 30.9%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.38.
Notable Days 2020-12-07 : Highest Volume — 33,991 contracts2020-12-09 : Largest IV spike — 5.5% change2020-12-10 : Highest IV Rank — 16.0%2020-12-07 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $34.54 $33.44 $35.86 $33.66 $35.86 Max Pain $36.05 $36.00 $37.00 $36.00 $36.00 ATM IV 31.1% 29.7% 32.7% 30.4% 32.0% Expected Move 9.0% 8.4% 9.7% 9.3% 9.1% HV 20d 30.9% 19.0% 48.4% 48.4% 19.0% HV 60d 35.4% 34.9% 35.8% 35.7% 35.3% IV Rank 13.7% 11.0% 16.0% 13.5% 13.3% IV Percentile 37.1% 27.4% 46.8% 35.7% 42.5% Term Structure 1.0% -2.7% 10.4% 10.4% -2.3% VWIV 32.0% 30.0% 35.0% 32.5% 31.9% Skew 25d 0.8% -5.5% 2.8% 1.8% 1.7% Skew 10d 3.9% -20.5% 17.5% 10.3% 0.3% Call IV 25d 31.6% 29.3% 36.5% 31.1% 30.0% Put IV 25d 32.3% 29.9% 39.2% 32.9% 31.7% Bid-Ask Spread % 14.85 5.62 30.63 26.49 8.73 Gamma HHI 0.13 0.10 0.20 0.11 0.20 Net GEX 1.3M -2.7M 8.8M -2.7M 3.5M Net DEX 53.5M -9.3M 111.9M 88.8M -2.8M Net VEX -956.3K -1.1M -769.3K -769.3K -976.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.07 0.90 0.49 0.53 Total Volume 12,417.409 2,191 33,991 7,781 8,548 Total OI 230,538.227 181,033 263,063 181,033 226,821
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 2020-12-01 $33.66 $36.00 30.4% 9.3% 48.4% 13.5% 32.5% 1.8% 10.4% -2.7M 88.8M -769.3K 0.49 26.49 N/A N/A 5,224 2,557 86,461 94,572 2020-12-02 $34.09 $36.00 29.8% 8.8% 47.7% 12.8% 31.7% 2.0% -1.3% -2.1M 77.8M -801.1K 0.87 11.41 N/A N/A 5,013 4,363 87,526 96,428 2020-12-03 $33.90 $37.00 29.9% 8.4% 47.7% 12.9% 30.3% -1.5% -2.7% -2.5M 86.7M -795.6K 0.87 26.73 N/A N/A 13,020 11,286 89,299 99,523 2020-12-04 $34.35 $36.00 30.8% 9.2% 48.0% 13.9% 31.9% 0.6% 5.4% -1.2M 74.1M -915.2K 0.50 13.50 N/A N/A 11,123 5,517 99,265 109,487 2020-12-07 $34.19 $36.00 32.0% 9.7% 47.8% 15.2% 33.9% 2.8% 2.3% -971.1K 76.7M -937.1K 0.11 25.79 N/A N/A 30,737 3,254 105,832 110,499 2020-12-08 $34.02 $36.00 30.4% 9.4% 37.1% 13.5% 33.3% 1.9% 2.2% 248.0K 70.1M -985.2K 0.16 17.70 N/A N/A 14,703 2,391 121,991 112,694 2020-12-09 $34.14 $36.00 32.1% 9.4% 37.2% 15.4% 35.0% -0.3% 1.8% 1.4M 66.8M -973.9K 0.36 15.24 N/A N/A 23,955 8,714 130,261 113,519 2020-12-10 $34.01 $36.00 32.7% 9.4% 36.6% 16.0% 33.1% -5.5% -0.8% 1.3M 72.7M -1.0M 0.55 19.30 N/A N/A 5,590 3,102 138,202 121,129 2020-12-11 $33.52 $36.00 31.4% 9.1% 36.4% 14.6% 32.6% 0.5% 0.5% -880.4K 103.7M -995.3K 0.13 11.10 N/A N/A 8,789 1,136 140,045 123,018 2020-12-14 $33.44 $36.00 31.4% 9.0% 32.5% 14.6% 32.2% 1.2% -1.2% -1.7M 111.9M -950.2K 0.27 20.53 N/A N/A 7,142 1,900 136,570 118,780 2020-12-15 $34.50 $36.00 31.0% 9.0% 35.2% 14.1% 31.8% 1.7% -0.1% 2.9M 51.2M -1.0M 0.23 7.67 N/A N/A 10,616 2,436 137,691 119,937 2020-12-16 $35.18 $36.00 31.2% 8.9% 21.9% 14.4% 32.4% 0.4% -0.9% 6.1M 14.4M -1.0M 0.07 8.18 N/A N/A 18,038 1,330 135,969 120,274 2020-12-17 $35.33 $36.00 31.1% 8.9% 20.8% 14.2% 31.3% 2.5% -0.1% 7.2M 6.3M -1.0M 0.09 30.63 N/A N/A 6,019 557 139,995 120,531 2020-12-18 $35.45 $36.00 30.9% 8.9% 20.7% 14.1% 31.3% 1.1% 0.0% 8.8M -9.3M -1.1M 0.12 12.03 N/A N/A 10,120 1,264 140,372 120,512 2020-12-21 $34.73 $36.00 32.4% 9.4% 21.7% 15.7% 33.4% 1.8% 2.2% 2.4M 46.7M -980.2K 0.45 19.46 N/A N/A 6,105 2,770 115,103 105,341 2020-12-22 $34.40 $36.00 31.1% 8.8% 20.9% 12.9% 31.7% 0.7% 0.2% 1.2M 56.8M -975.3K 0.42 7.99 N/A N/A 4,161 1,740 117,967 107,243 2020-12-23 $34.49 $36.00 30.2% 8.6% 20.3% 11.6% 31.0% 0.3% 0.7% 885.1K 57.6M -973.7K 0.90 12.99 N/A N/A 1,901 1,709 118,607 108,176 2020-12-24 $34.58 $36.00 29.7% 8.5% 20.1% 11.0% 30.0% 0.5% 2.9% -378.4K 56.5M -969.4K 0.41 8.50 N/A N/A 1,555 636 119,305 109,372 2020-12-28 $34.88 $36.00 30.3% 8.5% 20.2% 11.5% 30.0% 1.2% 3.7% 871.6K 44.3M -925.1K 0.36 9.68 N/A N/A 4,003 1,424 117,036 107,795 2020-12-29 $35.49 $36.00 31.5% 8.6% 20.0% 12.9% 31.7% 0.4% -0.9% 3.1M 13.0M -946.1K 0.23 7.47 N/A N/A 9,660 2,233 116,728 108,147 2020-12-30 $35.61 $36.00 30.9% 8.7% 19.3% 12.2% 30.5% 1.1% 0.4% 2.1M 12.9M -951.7K 0.22 5.62 N/A N/A 5,621 1,221 114,979 108,839 2020-12-31 $35.86 $36.00 32.0% 9.1% 19.0% 13.3% 31.9% 1.7% -2.3% 3.5M -2.8M -976.8K 0.53 8.73 N/A N/A 5,605 2,943 117,246 109,575
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