BSX Options History — January 2022

In January 2022, BSX traded between $42.29 and $44.90. ATM implied volatility averaged 31.2%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 6.8% (HV 20d: 24.4%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.14.

Notable Days

  • 2022-01-25: Highest Volume — 28,511 contracts
  • 2022-01-26: Largest IV spike — 34.9% change
  • 2022-01-26: Highest IV Rank — 100.0%
  • 2022-01-26: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.31$42.29$44.90$43.08$42.80
Max Pain$41.45$41.00$42.00$42.00$42.00
ATM IV31.2%24.6%46.3%24.6%33.6%
Expected Move8.7%6.7%11.8%6.7%10.7%
HV 20d24.4%19.7%28.9%28.9%21.0%
HV 60d25.5%24.9%26.1%26.0%25.7%
IV Rank47.4%23.0%100.0%23.0%53.9%
IV Percentile78.2%38.5%100.0%38.5%93.7%
Term Structure-2.3%-9.3%1.3%1.3%-0.8%
VWIV30.9%24.7%42.6%24.7%38.4%
Skew 25d3.3%-9.4%8.8%3.9%6.2%
Skew 10d10.8%-3.8%30.3%13.5%12.6%
Call IV 25d30.1%24.3%52.6%24.3%30.7%
Put IV 25d33.4%26.5%44.0%28.2%36.9%
Bid-Ask Spread %38.9919.6468.4927.9648.09
Gamma HHI0.150.120.500.130.12
Net GEX3.6M-280.6K8.4M4.2M419.3K
Net DEX-73.4M-153.6M9.1M-87.6M-4.9M
Net VEX-867.1K-937.3K-799.7K-841.5K-928.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.838.022.428.02
Total Volume16,446.410,82728,51110,82723,284
Total OI186,913.1100,689225,730208,252124,222

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$43.08$42.0024.6%6.7%28.9%23.0%24.7%3.9%1.3%4.2M-87.6M-841.5K2.4227.96N/AN/A3,1677,66085,149123,103
2022-01-04$43.72$42.0025.0%6.8%26.4%24.7%24.8%3.5%0.1%3.9M-103.0M-876.2K1.8757.18N/AN/A4,9949,31786,038124,967
2022-01-05$43.28$42.0027.0%7.2%26.5%32.3%29.0%-1.3%-1.2%4.4M-93.0M-886.2K1.4647.76N/AN/A4,6996,87887,249126,482
2022-01-06$42.70$41.0028.6%7.8%27.0%38.6%25.2%3.4%-3.2%3.5M-67.7M-918.9K1.2426.88N/AN/A6,7668,38588,497127,040
2022-01-07$42.33$41.0028.1%7.8%27.1%36.5%27.0%3.7%-1.3%2.6M-43.5M-904.8K1.2819.72N/AN/A5,7957,40888,860127,963
2022-01-10$42.29$41.0028.8%8.2%27.0%39.5%29.4%4.3%-0.0%2.8M-44.1M-871.1K1.6721.05N/AN/A4,1026,84087,657127,711
2022-01-11$43.34$41.0027.6%7.6%28.1%34.6%26.4%3.3%-1.6%4.5M-92.5M-858.4K1.1622.76N/AN/A6,4637,48788,366127,965
2022-01-12$44.46$41.0031.6%7.2%28.1%50.4%26.7%2.4%-9.0%5.5M-142.6M-837.9K1.8029.62N/AN/A6,19311,15689,913128,879
2022-01-13$44.50$41.0030.6%7.5%26.9%46.2%25.5%1.8%-0.9%6.2M-152.3M-826.4K2.1247.48N/AN/A4,90010,36990,400131,615
2022-01-14$44.90$41.0027.5%7.5%27.0%34.3%27.1%1.6%-2.8%5.2M-153.6M-847.4K2.5630.86N/AN/A3,3978,68790,831132,662
2022-01-18$44.20$41.0028.2%8.0%27.7%37.1%27.5%3.1%-9.3%5.1M-132.4M-800.8K2.4122.21N/AN/A4,0029,65688,732131,905
2022-01-19$44.11$41.0027.8%8.0%23.6%35.5%28.5%2.9%-1.1%5.1M-124.4M-812.3K1.1919.64N/AN/A9,96811,82189,636133,741
2022-01-20$43.70$41.0028.2%8.1%21.3%37.2%28.7%3.7%0.1%5.0M-111.3M-799.7K2.2228.02N/AN/A6,22613,81491,218134,512
2022-01-21$42.92$41.0031.4%9.0%20.5%49.7%31.7%6.7%0.4%8.4M-79.8M-833.2K1.7534.61N/AN/A6,91012,11089,488135,848
2022-01-24$42.43$42.0035.1%10.4%19.7%64.1%35.3%4.5%-7.5%-280.6K9.1M-837.2K2.3557.90N/AN/A4,86711,42441,02459,665
2022-01-25$42.56$42.0034.3%10.3%19.7%61.0%36.6%7.3%-1.7%-100.2K4.9M-871.0K0.8366.39N/AN/A15,61612,89541,86960,660
2022-01-26$43.01$42.0046.3%11.8%20.0%100.0%42.6%-9.4%-7.7%1.6M-17.1M-934.2K1.6268.49N/AN/A6,34810,29753,58061,419
2022-01-27$43.32$42.0036.0%11.2%20.2%62.6%42.6%6.1%-0.2%2.4M-25.3M-937.3K2.0743.78N/AN/A5,36011,09356,21562,489
2022-01-28$42.54$42.0042.6%11.4%21.1%86.6%39.2%8.8%-0.6%2.0M-6.3M-920.5K2.8159.44N/AN/A4,87713,69756,61664,076
2022-01-31$42.80$42.0033.6%10.7%21.0%53.9%38.4%6.2%-0.8%419.3K-4.9M-928.1K8.0248.09N/AN/A2,58120,70356,19068,032