BSX Options History — January 2021

In January 2021, BSX traded between $35.27 and $37.58. ATM implied volatility averaged 32.1%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.3% (HV 20d: 22.8%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.98.

Notable Days

  • 2021-01-21: Highest Volume — 22,123 contracts
  • 2021-01-27: Largest IV spike — 21.9% change
  • 2021-01-27: Highest IV Rank — 16.6%
  • 2021-01-29: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.34$35.27$37.58$35.27$35.59
Max Pain$36.34$36.00$37.00$36.00$36.50
ATM IV32.1%29.0%35.4%32.9%35.0%
Expected Move9.0%8.5%10.1%9.3%10.1%
HV 20d22.8%20.0%25.7%20.0%25.7%
HV 60d34.3%32.4%35.7%35.1%33.1%
IV Rank12.8%9.2%16.6%13.6%16.1%
IV Percentile40.0%15.9%59.5%48.0%58.7%
Term Structure-0.6%-4.8%2.5%1.0%2.5%
VWIV32.0%29.5%36.7%33.8%36.7%
Skew 25d1.9%0.2%4.2%0.2%2.7%
Skew 10d5.0%0.8%10.0%3.7%10.0%
Call IV 25d31.5%28.3%33.9%33.4%32.7%
Put IV 25d33.4%29.8%36.7%33.7%35.4%
Bid-Ask Spread %20.628.3239.9325.3139.93
Gamma HHI0.110.080.150.120.09
Net GEX1.9M-2.7M4.8M443.3K606.2K
Net DEX-11.3M-57.7M68.1M31.5M20.8M
Net VEX-950.7K-1.1M-874.1K-934.1K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.142.102.101.63
Total Volume11,446.0534,41722,1239,54521,002
Total OI196,369.737144,481234,882212,782184,987

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$35.27$36.0032.9%9.3%20.0%13.6%33.8%0.2%1.0%443.3K31.5M-934.1K2.1025.31N/AN/A3,0756,470102,386110,396
2021-01-05$36.32$36.0032.6%9.3%21.9%13.4%32.4%1.6%-0.3%2.4M-14.2M-969.8K0.2724.75N/AN/A5,2571,420103,178115,318
2021-01-06$36.72$36.0031.9%9.1%21.9%12.5%32.5%4.2%-0.4%2.9M-34.4M-981.9K1.4013.01N/AN/A5,7288,023103,766115,358
2021-01-07$36.57$36.0031.0%8.5%21.9%11.5%30.3%1.1%-0.1%2.6M-20.0M-969.1K1.3916.05N/AN/A7,78510,789104,429118,176
2021-01-08$36.64$36.0032.8%8.8%21.9%13.6%31.0%0.2%-2.2%2.0M-23.5M-939.6K2.1022.59N/AN/A3,8438,072102,172114,042
2021-01-11$36.41$36.0032.8%9.0%22.0%13.6%31.4%0.2%0.4%780.5K-2.3M-892.9K1.2525.05N/AN/A3,6454,572100,482117,337
2021-01-12$35.35$36.0031.9%8.8%24.2%12.5%30.1%4.1%-1.6%-2.7M68.1M-876.5K0.8123.50N/AN/A11,0168,937102,599120,356
2021-01-13$36.12$36.0033.8%8.6%25.0%14.7%30.0%4.1%-4.8%2.0M9.2M-874.1K0.3821.41N/AN/A11,7184,496104,455119,025
2021-01-14$36.19$36.0031.1%8.8%22.8%11.6%31.2%2.0%-1.1%4.1M-6.8M-892.6K0.958.32N/AN/A2,5862,454111,817122,275
2021-01-15$36.25$36.0031.4%8.5%21.9%11.9%29.8%3.7%-4.3%1.5M-16.6M-879.8K0.8717.82N/AN/A6,4605,632111,198123,684
2021-01-19$36.22$36.0029.8%8.5%21.9%10.1%29.5%1.3%-0.6%466.4K-5.6M-883.1K0.8919.47N/AN/A4,2823,81161,74282,739
2021-01-20$36.67$36.5029.8%8.6%22.2%10.1%29.5%1.6%0.0%1.3M-23.7M-911.0K0.609.99N/AN/A4,0322,42364,63185,514
2021-01-21$37.58$36.5030.9%8.9%22.0%11.4%31.3%1.1%-1.4%2.0M-57.7M-935.1K0.1411.99N/AN/A19,4472,67667,29286,545
2021-01-22$37.15$37.0031.7%8.9%22.2%12.4%31.5%0.9%1.8%4.8M-57.3M-969.5K0.4514.59N/AN/A8,2463,68277,63788,514
2021-01-25$36.76$37.0031.7%9.3%22.7%12.3%32.3%3.5%0.1%3.8M-40.6M-1.0M1.4317.22N/AN/A2,7163,89281,40490,525
2021-01-26$36.66$37.0029.0%9.0%22.8%9.2%32.7%0.4%1.8%3.4M-35.5M-1.0M0.3115.81N/AN/A3,3661,05182,82393,761
2021-01-27$35.72$37.0035.4%9.4%24.9%16.6%36.6%2.1%-2.0%1.2M8.2M-1.0M1.0732.42N/AN/A2,7452,94884,98794,631
2021-01-28$36.28$37.0034.2%9.8%24.7%15.2%35.5%1.7%0.6%2.2M-14.5M-1.1M0.5832.66N/AN/A5,8143,36484,22296,622
2021-01-29$35.59$36.5035.0%10.1%25.7%16.1%36.7%2.7%2.5%606.2K20.8M-1.0M1.6339.93N/AN/A7,99913,00386,28198,706