BSX Options History — November 2021

In November 2021, BSX traded between $38.18 and $43.36. ATM implied volatility averaged 24.9%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.5% (HV 20d: 19.5%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2021-11-18: Highest Volume — 86,722 contracts
  • 2021-11-26: Largest IV spike — 31.6% change
  • 2021-11-30: Highest IV Rank — 54.8%
  • 2021-11-26: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.49$38.18$43.36$42.81$38.18
Max Pain$42.14$42.00$43.00$43.00$42.00
ATM IV24.9%21.8%32.8%22.4%32.8%
Expected Move6.9%6.2%9.1%6.5%9.0%
HV 20d19.5%14.6%23.2%22.7%22.3%
HV 60d20.1%19.5%22.0%20.7%22.0%
IV Rank24.2%12.0%54.8%14.3%54.8%
IV Percentile34.1%6.3%92.5%12.3%92.5%
Term Structure-0.6%-5.9%3.5%0.0%-5.9%
VWIV24.7%21.5%37.0%22.3%37.0%
Skew 25d2.9%-4.9%8.3%2.5%6.5%
Skew 10d9.4%-0.7%20.0%9.2%4.3%
Call IV 25d25.2%21.5%34.6%23.1%28.3%
Put IV 25d28.1%23.7%39.8%25.5%34.8%
Bid-Ask Spread %37.4814.8086.4753.2514.80
Gamma HHI0.160.100.200.100.14
Net GEX1.1M-4.9M8.2M1.9M-4.6M
Net DEX4.4M-91.1M113.1M-35.1M113.1M
Net VEX-1.0M-1.1M-889.0K-982.6K-930.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.234.042.191.64
Total Volume19,723.5719,89686,72213,05111,545
Total OI225,388.524190,617256,391204,652199,262

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$42.81$43.0022.4%6.5%22.7%14.3%22.3%2.5%0.0%1.9M-35.1M-982.6K2.1953.25N/AN/A4,0978,95487,260117,392
2021-11-02$43.14$43.0021.9%6.7%22.9%12.3%24.1%0.8%0.3%2.7M-39.6M-984.7K0.3322.58N/AN/A27,0618,82688,765118,565
2021-11-03$42.92$43.0022.1%6.7%22.9%13.4%26.6%1.9%1.5%4.6M-53.6M-1.0M1.1786.47N/AN/A6,2357,290103,307119,907
2021-11-04$42.39$42.0024.6%6.5%22.2%23.0%23.2%1.0%-1.2%4.4M-37.5M-1.1M1.4741.63N/AN/A4,3816,430113,332122,069
2021-11-05$43.23$42.0029.9%6.7%23.2%43.6%23.4%1.2%-1.1%8.1M-91.1M-1.1M0.8043.05N/AN/A7,8836,286114,444123,474
2021-11-08$43.36$42.0026.5%6.7%21.8%30.4%22.5%3.4%-2.6%8.2M-87.0M-1.1M1.3941.41N/AN/A4,1485,748113,680123,137
2021-11-09$42.89$42.0024.3%6.7%22.0%21.8%22.6%4.6%-1.1%6.5M-68.5M-1.1M0.4031.57N/AN/A15,1035,985114,416123,108
2021-11-10$42.42$42.0025.1%6.8%22.4%25.0%25.1%4.1%-1.2%5.5M-36.1M-1.0M1.2024.35N/AN/A5,0746,081116,719123,189
2021-11-11$41.91$42.0023.4%6.5%18.5%18.4%24.9%8.3%1.3%3.6M-6.8M-1.1M1.4717.78N/AN/A5,1127,538124,491123,305
2021-11-12$42.14$42.0023.0%6.6%18.6%16.8%21.7%2.6%-0.9%4.0M-21.8M-1.1M1.5823.04N/AN/A4,8807,704125,625123,983
2021-11-15$41.39$42.0023.9%6.9%18.9%20.1%24.0%3.9%-1.9%1.2M13.0M-979.3K1.8122.41N/AN/A4,5258,172123,976121,934
2021-11-16$41.38$42.0023.1%6.6%15.7%17.2%22.6%2.8%0.1%671.3K12.6M-932.3K4.0433.06N/AN/A5,70523,020124,330122,642
2021-11-17$41.63$42.0022.1%6.3%15.5%13.0%21.5%3.0%-0.2%674.4K12.0M-962.1K2.8742.04N/AN/A5,52815,871125,743127,188
2021-11-18$41.16$42.0022.7%6.5%14.7%15.7%24.2%1.8%0.0%-811.5K35.2M-1.0M0.2346.12N/AN/A70,47516,247126,781129,610
2021-11-19$41.09$42.0021.8%6.2%14.7%12.0%22.4%2.4%-0.7%-3.7M51.0M-934.4K1.5331.26N/AN/A10,57016,13097,781130,322
2021-11-22$40.81$42.0023.0%6.7%14.6%16.7%22.7%7.1%1.6%-2.7M35.9M-980.9K1.4656.29N/AN/A7,16110,48777,109113,508
2021-11-23$40.30$42.0024.9%6.9%14.9%24.1%24.7%0.7%3.5%-4.5M56.5M-957.6K1.6427.35N/AN/A5,1498,43280,073116,960
2021-11-24$40.67$42.0024.0%6.9%15.6%20.5%24.7%-4.9%-0.1%-4.9M35.5M-973.5K1.7747.37N/AN/A4,8608,58280,912117,169
2021-11-26$38.72$42.0031.6%9.1%22.1%50.1%31.8%5.3%-2.0%-3.4M102.7M-954.6K1.7349.99N/AN/A4,6097,96981,739117,927
2021-11-29$38.67$42.0030.3%7.9%22.2%45.1%27.4%1.4%-2.1%-4.7M101.5M-889.0K1.9831.33N/AN/A4,8089,53481,277116,748
2021-11-30$38.18$42.0032.8%9.0%22.3%54.8%37.0%6.5%-5.9%-4.6M113.1M-930.3K1.6414.80N/AN/A4,3707,17582,421116,841