BSX Options History — December 2021 In December 2021, BSX traded between $38.40 and $43.28. ATM implied volatility averaged 28.0%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 2.0% (HV 20d: 29.9%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.70.
Notable Days 2021-12-10 : Highest Volume — 25,444 contracts2021-12-03 : Largest IV spike — 41.7% change2021-12-03 : Highest IV Rank — 80.7%2021-12-03 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $41.30 $38.40 $43.28 $38.40 $42.69 Max Pain $41.91 $41.00 $42.00 $42.00 $42.00 ATM IV 28.0% 22.4% 39.4% 31.0% 32.7% Expected Move 7.8% 6.3% 10.5% 10.2% 6.3% HV 20d 29.9% 22.2% 36.5% 22.2% 29.4% HV 60d 24.7% 22.0% 26.8% 22.0% 26.2% IV Rank 36.1% 14.3% 80.7% 47.9% 54.7% IV Percentile 59.3% 13.9% 97.6% 83.3% 91.3% Term Structure -0.9% -33.1% 10.7% -1.3% -33.1% VWIV 30.1% 22.5% 44.0% 30.7% 24.3% Skew 25d 6.5% -2.2% 19.9% 6.6% 5.3% Skew 10d 14.2% -0.1% 34.1% 19.4% -0.1% Call IV 25d 25.9% 21.2% 33.5% 29.0% 21.2% Put IV 25d 32.4% 26.5% 52.3% 35.6% 26.5% Bid-Ask Spread % 47.07 10.92 69.89 58.46 53.00 Gamma HHI 0.15 0.11 0.22 0.15 0.13 Net GEX 563.3K -4.5M 4.1M -4.5M 3.0M Net DEX -13.4M -99.2M 97.8M 97.8M -65.0M Net VEX -920.9K -1.0M -852.4K -968.8K -889.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.70 0.57 3.48 0.57 2.47 Total Volume 17,315.591 11,978 25,444 23,317 12,954 Total OI 203,742.364 189,374 211,227 200,659 208,568
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 2021-12-01 $38.40 $42.00 31.0% 10.2% 22.2% 47.9% 30.7% 6.6% -1.3% -4.5M 97.8M -968.8K 0.57 58.46 N/A N/A 14,857 8,460 83,676 116,983 2021-12-02 $39.61 $41.00 27.8% 9.3% 25.7% 35.4% 35.5% 12.2% 7.4% -2.2M 55.5M -973.5K 0.85 69.89 N/A N/A 11,208 9,519 88,432 117,801 2021-12-03 $39.21 $41.00 39.4% 10.5% 25.7% 80.7% 44.0% 19.9% -2.3% -1.3M 63.8M -1.0M 0.96 55.52 N/A N/A 9,602 9,212 90,472 119,260 2021-12-06 $40.75 $42.00 30.8% 9.9% 28.7% 47.3% 35.2% 8.1% -0.5% -58.0K 2.1M -1.0M 0.85 36.81 N/A N/A 10,250 8,735 89,687 116,820 2021-12-07 $41.32 $42.00 27.3% 8.1% 29.2% 33.3% 31.9% 4.6% -1.6% 1.0M -19.7M -970.6K 1.04 37.16 N/A N/A 10,015 10,388 90,352 116,964 2021-12-08 $41.66 $42.00 26.0% 7.7% 29.3% 28.6% 31.6% 6.0% 2.1% 1.8M -39.7M -950.6K 1.06 48.62 N/A N/A 11,467 12,142 91,060 117,169 2021-12-09 $41.39 $42.00 26.8% 7.8% 29.1% 31.7% 29.9% 5.8% 1.0% 1.3M -27.3M -940.4K 1.10 47.40 N/A N/A 10,337 11,340 91,792 117,977 2021-12-10 $41.22 $42.00 28.8% 8.5% 28.9% 39.3% 30.9% 4.0% 0.8% 739.6K -17.8M -911.9K 1.13 56.19 N/A N/A 11,935 13,509 92,136 118,169 2021-12-13 $41.67 $42.00 27.4% 7.6% 29.1% 33.8% 31.3% 6.2% -0.9% 2.8M -28.5M -913.9K 2.23 42.59 N/A N/A 4,583 10,213 89,186 117,640 2021-12-14 $40.89 $42.00 27.5% 7.8% 29.1% 34.2% 37.7% 5.0% 0.1% 126.5K 10.4M -918.1K 3.48 44.94 N/A N/A 3,082 10,731 87,943 117,789 2021-12-15 $40.17 $42.00 27.9% 7.8% 29.8% 36.0% 40.7% 5.1% -1.2% -1.1M 38.7M -952.2K 2.85 55.94 N/A N/A 3,724 10,626 88,370 119,010 2021-12-16 $40.36 $42.00 28.0% 7.8% 29.7% 36.3% 30.0% -2.2% 3.7% -1.1M 34.4M -878.5K 2.48 47.36 N/A N/A 5,320 13,187 88,510 118,892 2021-12-17 $40.96 $42.00 26.2% 7.2% 30.0% 29.1% 28.0% 6.1% -2.9% -3.4M 12.2M -935.0K 2.13 25.77 N/A N/A 5,467 11,640 90,403 120,824 2021-12-20 $39.52 $42.00 27.8% 8.0% 32.6% 35.6% 30.5% 7.4% 0.1% -2.9M 65.9M -881.7K 1.95 23.07 N/A N/A 4,646 9,044 75,167 114,207 2021-12-21 $40.95 $42.00 25.7% 7.3% 35.1% 27.1% 26.0% 4.6% -0.3% -134.8K -1.1M -897.9K 1.39 55.90 N/A N/A 5,944 8,283 76,970 114,948 2021-12-22 $42.09 $42.00 24.0% 6.9% 36.0% 20.7% 24.9% 5.0% 7.4% 1.9M -45.0M -888.1K 2.08 51.78 N/A N/A 4,241 8,824 79,233 114,579 2021-12-23 $42.95 $42.00 24.6% 6.5% 36.5% 23.1% 23.2% 4.6% 10.7% 2.5M -72.7M -907.3K 2.09 10.92 N/A N/A 3,871 8,107 79,713 115,607 2021-12-27 $43.06 $42.00 26.7% 6.7% 31.0% 31.2% 25.6% 3.2% 2.8% 2.6M -75.1M -891.6K 1.11 38.36 N/A N/A 7,573 8,430 79,238 117,234 2021-12-28 $43.28 $42.00 22.4% 6.4% 30.9% 14.3% 25.0% 4.3% 3.2% 4.1M -99.2M -864.2K 1.64 62.58 N/A N/A 4,932 8,086 82,174 118,264 2021-12-29 $43.26 $42.00 23.9% 6.5% 30.2% 20.1% 22.5% 15.4% -2.7% 3.9M -96.6M -854.2K 1.56 59.72 N/A N/A 7,485 11,668 82,699 118,952 2021-12-30 $43.09 $42.00 32.6% 6.4% 30.5% 54.1% 22.9% 6.3% -13.0% 3.3M -88.3M -852.4K 2.45 53.61 N/A N/A 4,434 10,872 84,804 122,658 2021-12-31 $42.69 $42.00 32.7% 6.3% 29.4% 54.7% 24.3% 5.3% -33.1% 3.0M -65.0M -889.2K 2.47 53.00 N/A N/A 3,732 9,222 85,672 122,896
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