BSX Options History — December 2022

In December 2022, BSX traded between $45.03 and $47.31. ATM implied volatility averaged 24.3%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.3% (HV 20d: 22.0%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2022-12-16: Highest Volume — 5,573 contracts
  • 2022-12-05: Largest IV spike — 25.4% change
  • 2022-12-12: Highest IV Rank — 41.5%
  • 2022-12-06: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.16$45.03$47.31$46.20$46.27
Max Pain$42.86$41.00$44.00$41.00$44.00
ATM IV24.3%20.4%31.1%21.6%24.5%
Expected Move6.7%5.8%7.1%6.2%7.0%
HV 20d22.0%17.2%27.5%25.8%17.2%
HV 60d24.0%22.1%25.1%25.0%22.1%
IV Rank15.0%0.0%41.5%0.4%15.9%
IV Percentile13.3%0.0%54.4%0.8%13.1%
Term Structure2.8%0.5%4.2%0.5%3.4%
VWIV23.4%21.4%26.5%22.1%22.6%
Skew 25d3.6%1.8%5.2%5.2%4.0%
Skew 10d8.7%4.3%14.4%14.0%5.5%
Call IV 25d21.7%19.2%23.1%19.2%22.1%
Put IV 25d25.3%22.7%27.2%24.3%26.1%
Bid-Ask Spread %28.0311.2352.9452.9214.09
Gamma HHI0.170.150.250.170.16
Net GEX5.4M4.5M8.3M5.6M5.2M
Net DEX-113.6M-168.9M-81.3M-129.1M-92.1M
Net VEX-699.8K-751.8K-661.0K-733.2K-661.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.1013.001.160.13
Total Volume2,0452265,5733,0151,494
Total OI128,328.571118,604137,718128,694123,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$46.20$41.0021.6%6.2%25.8%0.4%22.1%5.2%0.5%5.6M-129.1M-733.2K1.1652.92N/AN/A1,3941,62155,31273,382
2022-12-02$46.55$42.0020.4%5.8%24.8%0.0%21.4%2.8%2.2%5.3M-139.2M-718.1K0.3422.22N/AN/A67522855,78774,037
2022-12-05$45.41$42.0025.5%6.9%27.0%20.0%22.8%3.5%2.4%5.6M-106.3M-734.9K0.2638.75N/AN/A2,09553955,99374,307
2022-12-06$45.03$42.0026.4%7.1%27.2%23.3%26.1%4.4%1.6%5.4M-91.4M-751.8K2.8423.66N/AN/A14140056,00274,396
2022-12-07$45.56$42.0025.5%7.0%27.4%19.7%26.5%3.7%2.1%5.7M-111.2M-733.7K13.0018.84N/AN/A1291,67756,01174,686
2022-12-08$46.25$42.0027.1%7.0%27.5%25.9%24.2%3.9%2.4%5.5M-130.1M-713.3K0.2316.68N/AN/A1,05724256,06176,141
2022-12-09$46.31$42.0025.4%6.8%24.0%19.4%23.3%3.1%2.6%5.7M-137.4M-691.2K1.7852.94N/AN/A7811,39256,21776,158
2022-12-12$47.02$42.0031.1%7.0%20.6%41.5%24.4%4.1%2.1%4.9M-154.2M-681.7K0.1045.45N/AN/A4,75348156,78977,489
2022-12-13$47.31$42.0028.3%6.8%20.6%30.8%22.7%4.2%2.8%5.2M-168.9M-674.2K0.4350.99N/AN/A1,96384659,22277,748
2022-12-14$47.09$43.0023.2%6.7%20.7%11.1%21.7%4.5%2.7%5.9M-164.4M-677.8K0.1047.04N/AN/A3,75036360,06977,649
2022-12-15$46.14$43.0023.4%6.7%22.3%11.7%22.8%3.2%3.0%6.1M-129.8M-698.1K0.4225.72N/AN/A62126359,22377,249
2022-12-16$45.95$43.0023.6%6.8%20.9%12.7%24.1%4.3%2.6%8.3M-121.6M-700.7K0.3437.56N/AN/A4,1531,42059,31377,210
2022-12-19$45.77$43.0023.0%6.6%20.0%10.1%23.2%3.0%3.1%4.5M-81.3M-698.4K1.6311.23N/AN/A41467450,59068,014
2022-12-20$45.89$43.0022.9%6.6%19.9%9.6%22.7%4.1%3.2%4.7M-84.4M-698.2K0.7014.27N/AN/A31121750,74768,338
2022-12-21$46.08$44.0022.1%6.3%19.5%6.8%22.4%3.5%3.6%4.9M-90.6M-683.2K0.5629.28N/AN/A3,0111,69050,81768,647
2022-12-22$46.05$44.0022.8%6.5%19.6%9.3%23.3%2.6%3.9%4.9M-91.0M-713.4K0.8227.58N/AN/A1,3611,11853,29070,271
2022-12-23$46.03$44.0022.5%6.5%19.5%8.3%21.5%4.0%3.9%4.8M-86.3M-703.4K0.3614.62N/AN/A2007352,39070,842
2022-12-27$46.31$44.0023.7%6.8%19.0%12.8%24.0%3.0%3.8%5.1M-96.9M-675.8K0.6012.48N/AN/A1418552,46870,863
2022-12-28$45.80$44.0024.1%6.9%19.0%14.4%25.7%2.9%3.6%4.8M-81.4M-675.3K4.1714.53N/AN/A15564652,53670,915
2022-12-29$46.42$44.0023.2%6.6%18.7%10.8%23.2%1.8%4.2%5.3M-98.4M-678.9K0.4417.72N/AN/A25711452,53571,293
2022-12-30$46.27$44.0024.5%7.0%17.2%15.9%22.6%4.0%3.4%5.2M-92.1M-661.0K0.1314.09N/AN/A1,32217252,54971,344