BSX Options History — October 2021

In October 2021, BSX traded between $41.81 and $44.90. ATM implied volatility averaged 25.8%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.0% (HV 20d: 22.8%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2021-10-15: Highest Volume — 16,711 contracts
  • 2021-10-27: Largest IV drop — 24.1% change
  • 2021-10-04: Highest IV Rank — 38.8%
  • 2021-10-08: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.40$41.81$44.90$43.75$43.11
Max Pain$43.05$43.00$44.00$44.00$43.00
ATM IV25.8%18.7%29.1%28.0%21.9%
Expected Move7.3%5.1%9.0%7.2%6.4%
HV 20d22.8%18.5%25.7%18.5%24.8%
HV 60d21.5%20.3%22.6%21.4%20.6%
IV Rank26.0%0.0%38.8%34.3%12.6%
IV Percentile37.3%0.0%60.3%49.6%6.7%
Term Structure-0.4%-4.1%5.1%-0.8%0.5%
VWIV25.9%23.2%29.2%25.2%23.2%
Skew 25d2.9%-5.3%6.8%2.6%-5.3%
Skew 10d9.1%-18.0%40.7%15.1%16.4%
Call IV 25d26.4%21.8%31.3%30.1%30.8%
Put IV 25d29.3%23.7%35.3%32.7%25.5%
Bid-Ask Spread %42.4111.7666.3841.3811.76
Gamma HHI0.140.090.470.090.10
Net GEX2.2M-4.5M20.9M-1.3M2.1M
Net DEX-51.2M-131.1M23.7M-47.6M-33.8M
Net VEX-1.1M-1.2M-1.0M-1.2M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.091.890.391.67
Total Volume8,465.5241,11316,7113,06413,088
Total OI207,299.905181,283215,776212,727211,508

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$43.75$44.0028.0%7.2%18.5%34.3%25.2%2.6%-0.8%-1.3M-47.6M-1.2M0.3941.38N/AN/A2,20585988,927123,800
2021-10-04$42.53$43.0029.1%8.1%20.9%38.8%28.8%5.6%0.8%-2.2M-4.3M-1.2M1.0247.56N/AN/A1,3251,34987,684122,217
2021-10-05$42.61$43.0027.3%7.9%20.7%31.7%26.8%6.8%1.2%-2.4M-9.3M-1.2M0.7253.47N/AN/A1,9531,41288,545122,265
2021-10-06$42.73$43.0028.8%7.7%20.2%37.6%28.4%5.8%-0.2%-2.4M-12.9M-1.1M1.6049.15N/AN/A1,5082,40688,913122,564
2021-10-07$43.55$43.0028.2%7.6%21.7%35.3%27.3%4.1%2.2%1.2M-55.5M-1.1M1.0328.93N/AN/A2,2932,35690,040123,077
2021-10-08$43.16$43.0026.7%9.0%20.6%29.1%27.5%1.4%-2.7%-253.2K-32.8M-1.1M0.3732.51N/AN/A81330090,339124,939
2021-10-11$42.23$43.0028.5%7.6%21.7%36.3%25.5%-0.1%-2.0%-3.0M9.9M-1.1M1.3750.79N/AN/A1,8932,60290,010123,210
2021-10-12$41.98$43.0027.1%7.6%20.2%30.6%26.5%3.5%-1.3%-3.9M23.7M-1.1M0.3045.05N/AN/A1,66350390,078123,354
2021-10-13$41.81$43.0026.8%7.2%20.1%29.4%25.5%2.2%-2.0%-4.5M22.2M-1.0M1.8966.38N/AN/A7011,32890,337124,423
2021-10-14$43.34$43.0027.7%7.3%24.5%33.2%24.8%4.5%-4.1%500.8K-50.0M-1.0M0.1735.88N/AN/A2,24537491,179124,490
2021-10-15$43.49$43.0025.6%7.2%24.4%24.6%27.2%3.5%1.6%1.7M-61.0M-1.0M0.9754.20N/AN/A8,5028,20991,269124,507
2021-10-18$42.85$43.0024.6%6.9%23.8%20.7%24.4%3.0%-0.6%1.4M-40.9M-1.0M0.9256.10N/AN/A1,5821,46071,799109,484
2021-10-19$44.02$43.0025.3%7.2%25.7%23.3%25.5%1.1%-1.3%4.2M-85.2M-1.1M0.0952.68N/AN/A13,2641,22778,506111,712
2021-10-20$44.38$43.0025.9%7.4%25.1%25.9%24.0%3.3%-2.1%8.2M-101.4M-1.1M0.6818.51N/AN/A7,7035,25787,587113,768
2021-10-21$44.90$43.0025.1%7.2%24.6%22.7%24.7%4.3%-1.0%12.0M-131.1M-1.1M0.7040.96N/AN/A7,3025,12689,972113,836
2021-10-22$44.86$43.0024.5%7.1%24.5%20.3%25.0%3.8%-0.7%20.9M-125.4M-1.1M0.5326.52N/AN/A10,6265,66991,726113,961
2021-10-25$44.51$43.0025.4%7.6%24.5%23.9%29.2%4.4%5.1%5.2M-112.8M-1.0M1.2225.41N/AN/A6,4127,82788,222110,219
2021-10-26$44.36$43.0024.6%7.6%24.0%20.9%27.0%1.9%-0.9%4.0M-99.7M-1.0M1.2650.95N/AN/A6,9238,72388,147113,078
2021-10-27$43.93$43.0018.7%5.1%24.2%0.0%23.8%1.9%0.9%3.3M-83.1M-1.0M1.3758.91N/AN/A6,0758,34789,032116,316
2021-10-28$43.26$43.0022.8%6.7%24.8%15.8%24.2%2.6%-0.4%1.2M-44.2M-1.1M1.5343.59N/AN/A5,6788,68889,950118,308
2021-10-29$43.11$43.0021.9%6.4%24.8%12.6%23.2%-5.3%0.5%2.1M-33.8M-1.0M1.6711.76N/AN/A4,9048,18490,664120,844