BSX Options History — November 2022

In November 2022, BSX traded between $41.60 and $45.23. ATM implied volatility averaged 25.5%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.7% (HV 20d: 24.8%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2022-11-18: Highest Volume — 28,746 contracts
  • 2022-11-22: Largest IV drop — 12.4% change
  • 2022-11-08: Highest IV Rank — 30.1%
  • 2022-11-02: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.95$41.60$45.23$42.69$45.23
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV25.5%21.5%29.0%26.9%21.6%
Expected Move7.3%6.2%8.0%7.7%6.2%
HV 20d24.8%20.5%27.7%23.0%25.5%
HV 60d24.8%23.6%25.9%23.7%25.3%
IV Rank16.2%0.0%30.1%21.6%0.5%
IV Percentile18.6%0.0%44.4%26.2%0.8%
Term Structure0.8%-0.7%3.0%0.8%1.9%
VWIV25.7%21.2%30.3%28.5%22.7%
Skew 25d4.6%3.3%5.9%4.5%4.3%
Skew 10d9.8%5.1%17.2%8.7%17.2%
Call IV 25d23.4%19.4%26.4%26.3%19.4%
Put IV 25d28.0%23.7%30.8%30.8%23.7%
Bid-Ask Spread %39.5413.4165.1532.8115.28
Gamma HHI0.140.100.210.140.16
Net GEX4.0M525.2K8.6M4.9M5.4M
Net DEX-36.8M-99.1M7.5M-39.7M-99.1M
Net VEX-816.0K-883.9K-760.2K-883.9K-766.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.163.882.010.66
Total Volume8,000.8130428,7466,5131,184
Total OI141,086.476118,996156,144142,830128,178

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$42.69$41.0026.9%7.7%23.0%21.6%28.5%4.5%0.8%4.9M-39.7M-883.9K2.0132.81N/AN/A2,1654,34868,91873,912
2022-11-02$42.27$41.0028.1%8.0%23.0%26.3%26.8%4.1%-0.2%4.1M-28.3M-879.6K1.8149.65N/AN/A2,2744,11169,08774,396
2022-11-03$41.63$41.0027.4%7.8%22.8%23.5%26.1%5.6%0.4%2.9M-1.8M-866.4K1.1631.08N/AN/A3,8884,51769,57074,751
2022-11-04$41.60$41.0026.3%7.7%20.5%19.4%27.0%5.9%0.6%2.1M7.5M-847.1K1.3343.46N/AN/A3,9925,31768,80175,229
2022-11-07$42.05$41.0028.6%7.9%20.7%28.7%28.2%5.1%0.2%3.3M-9.4M-832.5K2.5627.03N/AN/A2,2475,74468,23676,150
2022-11-08$42.17$41.0029.0%7.8%20.5%30.1%28.9%5.9%0.1%3.5M-9.6M-838.5K2.5132.32N/AN/A2,6986,75968,39577,456
2022-11-09$42.04$41.0027.5%7.9%20.6%24.1%27.6%4.9%-0.0%2.9M-7.5M-845.1K1.4827.85N/AN/A3,7695,58469,58178,507
2022-11-10$43.79$41.0025.1%7.2%24.2%14.6%26.3%4.7%-0.7%8.6M-82.0M-826.8K1.9851.35N/AN/A2,5224,99370,24079,177
2022-11-11$42.43$41.0027.0%7.7%27.1%22.0%26.3%5.0%0.5%3.6M-16.6M-814.8K0.6935.91N/AN/A6,2674,34670,85179,446
2022-11-14$42.46$41.0027.3%7.8%26.3%23.1%27.2%4.2%-0.0%5.1M-25.3M-813.0K0.6847.46N/AN/A6,5664,44972,74579,917
2022-11-15$42.38$41.0026.8%7.7%26.3%21.3%26.5%5.3%0.3%4.2M-19.4M-791.7K1.4852.19N/AN/A3,0294,47072,96979,969
2022-11-16$42.97$41.0026.1%7.5%26.6%18.3%26.2%4.4%1.8%6.4M-42.7M-789.6K2.0850.67N/AN/A2,1364,43673,26380,208
2022-11-17$42.15$41.0026.8%7.7%26.8%21.4%30.3%5.0%0.9%2.6M-7.3M-772.5K3.8840.35N/AN/A1,9037,38873,42279,286
2022-11-18$43.09$41.0025.1%7.2%27.6%14.3%26.4%3.5%0.8%525.2K-55.6M-760.2K0.6453.22N/AN/A17,52911,21773,47982,665
2022-11-21$43.05$41.0024.9%7.1%27.4%13.6%24.0%3.6%1.7%1.8M-28.8M-806.5K1.1341.66N/AN/A5,0455,70649,06569,931
2022-11-22$43.65$41.0021.8%6.3%27.7%1.2%22.2%5.6%1.8%3.5M-48.6M-811.9K2.9855.04N/AN/A1,9785,90353,15172,153
2022-11-23$43.87$41.0021.5%6.2%27.2%0.0%22.2%4.2%3.0%3.9M-55.9M-820.4K2.5931.83N/AN/A2,1545,58753,88872,612
2022-11-25$44.20$41.0022.1%6.3%27.0%2.7%21.2%3.3%1.5%4.5M-70.4M-797.0K0.1665.15N/AN/A2614354,59073,024
2022-11-28$43.78$41.0023.4%6.7%25.0%7.6%23.0%4.3%0.9%4.0M-53.0M-799.3K0.2632.65N/AN/A59815854,74573,006
2022-11-29$44.47$41.0023.1%6.6%25.5%6.6%22.5%3.5%0.7%5.1M-79.1M-772.6K0.6513.41N/AN/A44629054,71773,130
2022-11-30$45.23$41.0021.6%6.2%25.5%0.5%22.7%4.3%1.9%5.4M-99.1M-766.6K0.6615.28N/AN/A71347154,93473,244