BSX Options History — February 2021

In February 2021, BSX traded between $36.06 and $39.75. ATM implied volatility averaged 30.6%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.9% (HV 20d: 25.7%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.04.

Notable Days

  • 2021-02-04: Highest Volume — 24,062 contracts
  • 2021-02-25: Largest IV spike — 54.2% change
  • 2021-02-01: Highest IV Rank — 25.5%
  • 2021-02-25: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.45$36.06$39.75$36.06$39.15
Max Pain$35.82$35.00$37.00$36.50$37.00
ATM IV30.6%26.6%44.3%43.0%30.5%
Expected Move8.8%7.6%15.7%10.4%8.2%
HV 20d25.7%24.0%27.5%26.1%25.2%
HV 60d27.0%22.3%33.8%32.8%23.1%
IV Rank9.8%3.5%25.5%25.5%5.7%
IV Percentile22.7%3.2%86.5%84.9%22.6%
Term Structure0.4%-9.0%8.8%-9.0%6.3%
VWIV30.1%26.8%38.1%34.0%30.0%
Skew 25d2.4%-4.9%7.8%2.8%7.8%
Skew 10d5.2%-7.4%21.1%-5.0%2.8%
Call IV 25d31.4%25.2%53.3%53.3%29.7%
Put IV 25d33.8%27.0%56.1%56.1%37.4%
Bid-Ask Spread %49.7118.44110.4649.4565.21
Gamma HHI0.160.070.480.090.08
Net GEX3.2M-398.0K8.6M-398.0K1.2M
Net DEX-71.0M-125.2M8.2M8.2M-60.6M
Net VEX-1.0M-1.1M-1.0M-1.0M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.152.530.631.61
Total Volume8,340.7372,55024,0623,6534,621
Total OI173,055.158131,932196,110176,682139,247

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$36.06$36.5043.0%10.4%26.1%25.5%34.0%2.8%-9.0%-398.0K8.2M-1.0M0.6349.45N/AN/A2,2351,41876,80599,877
2021-02-02$36.73$36.5033.2%9.7%26.0%14.0%34.1%-0.4%8.8%854.6K-20.4M-1.0M2.0170.32N/AN/A6,82913,70777,797100,634
2021-02-03$37.52$36.5032.8%8.0%25.0%13.5%28.1%4.2%0.0%-124.8K-49.5M-1.0M2.0162.75N/AN/A6,98914,05581,137106,259
2021-02-04$38.76$35.0027.3%8.4%27.2%7.2%29.8%0.8%-1.2%5.0M-120.2M-1.0M0.1554.57N/AN/A21,0073,05582,775102,874
2021-02-05$39.03$35.0026.6%8.3%27.1%6.4%28.7%2.6%-2.0%6.1M-125.2M-1.0M0.2418.44N/AN/A6,5111,55084,499103,340
2021-02-08$39.47$35.0027.9%8.3%27.2%7.8%29.4%5.2%3.7%5.9M-122.7M-1.0M0.3031.62N/AN/A4,5001,34080,88596,299
2021-02-09$39.07$35.0031.3%8.5%27.5%11.9%29.3%2.4%-3.9%6.1M-111.1M-1.0M0.5052.30N/AN/A8,6824,35381,78097,042
2021-02-10$38.77$35.0028.4%8.2%24.9%8.5%30.5%-4.9%1.2%6.0M-100.2M-1.1M0.6642.34N/AN/A3,3912,22588,12999,785
2021-02-11$38.76$35.0028.7%8.1%24.2%8.8%29.5%-1.0%-0.8%5.6M-98.6M-1.1M2.5329.70N/AN/A7781,97289,36599,777
2021-02-12$38.39$35.0028.1%8.1%24.6%8.2%28.1%2.5%1.5%3.8M-82.8M-1.1M1.4235.71N/AN/A2,3193,29489,495100,848
2021-02-16$37.93$35.0029.0%8.3%25.2%9.2%29.8%2.6%0.7%2.7M-60.0M-1.1M1.7047.15N/AN/A1,9303,27488,93499,922
2021-02-17$37.50$35.0029.0%8.3%25.6%9.2%31.7%2.1%-0.2%1.9M-41.8M-1.1M1.4434.37N/AN/A1,9742,84289,895101,847
2021-02-18$37.64$35.0028.5%8.2%25.3%8.6%29.6%2.4%0.3%2.4M-45.7M-1.0M0.6733.94N/AN/A2,3321,57390,164103,477
2021-02-19$37.98$36.0027.4%7.6%24.0%6.1%26.8%0.4%2.7%8.6M-64.1M-1.0M1.2447.10N/AN/A5,1326,34491,558104,552
2021-02-22$39.28$37.0027.6%7.7%26.3%5.0%28.0%3.6%-1.3%1.3M-61.7M-1.0M0.8447.00N/AN/A2,8892,42559,78872,144
2021-02-23$38.93$37.0029.3%8.2%26.2%4.2%28.7%4.9%0.8%1.3M-54.5M-1.1M0.5442.00N/AN/A1,65689460,96573,148
2021-02-24$39.75$37.0028.7%8.2%26.8%3.5%27.8%4.4%0.5%1.7M-74.2M-1.1M0.7770.14N/AN/A2,6212,02761,39573,756
2021-02-25$39.74$37.0044.3%15.7%24.5%22.7%38.1%3.9%-1.3%813.1K-64.9M-1.1M0.46110.46N/AN/A3,9381,79262,87674,978
2021-02-26$39.15$37.0030.5%8.2%25.2%5.7%30.0%7.8%6.3%1.2M-60.6M-1.0M1.6165.21N/AN/A1,7702,85164,03375,214