BSX Options History — January 2023

In January 2023, BSX traded between $45.20 and $46.56. ATM implied volatility averaged 27.0%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 11.9% (HV 20d: 15.2%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2023-01-24: Highest Volume — 41,433 contracts
  • 2023-01-09: Largest IV spike — 10.7% change
  • 2023-01-31: Highest IV Rank — 39.2%
  • 2023-01-31: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.93$45.20$46.56$45.95$46.16
Max Pain$44.90$44.00$45.00$44.00$45.00
ATM IV27.0%25.1%30.4%25.2%30.4%
Expected Move7.8%7.2%8.7%7.2%8.7%
HV 20d15.2%13.5%17.1%17.1%15.1%
HV 60d21.0%19.9%21.8%21.8%19.9%
IV Rank25.8%18.4%39.2%18.7%39.2%
IV Percentile31.1%16.7%54.8%17.9%54.8%
Term Structure-2.0%-6.3%2.9%2.9%-6.3%
VWIV27.1%24.5%30.4%25.9%28.0%
Skew 25d3.9%3.0%5.1%3.9%3.0%
Skew 10d9.5%4.2%16.6%6.9%4.2%
Call IV 25d25.5%23.0%28.0%23.3%27.9%
Put IV 25d29.4%26.3%31.4%27.2%30.9%
Bid-Ask Spread %20.449.1460.7215.1720.05
Gamma HHI0.160.100.220.170.12
Net GEX2.8M-107.6K6.3M5.4M1.1M
Net DEX-60.2M-114.0M-14.0M-83.3M-26.6M
Net VEX-633.0K-738.5K-527.9K-640.5K-713.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.123.440.550.41
Total Volume7,020.2538241,4339317,874
Total OI130,720.5566,063160,515124,412121,093

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$45.95$44.0025.2%7.2%17.1%18.7%25.9%3.9%2.9%5.4M-83.3M-640.5K0.5515.17N/AN/A59933252,91371,499
2023-01-04$46.19$44.0025.3%7.3%14.6%19.2%25.1%3.4%2.8%5.9M-94.7M-623.4K0.7732.31N/AN/A62648453,02271,660
2023-01-05$45.75$45.0025.1%8.0%14.7%18.4%27.8%4.6%-1.0%5.6M-80.1M-619.9K3.2710.57N/AN/A2,4708,06553,23271,831
2023-01-06$46.25$45.0025.4%8.2%14.6%19.3%28.1%4.6%-2.1%4.2M-86.5M-649.9K1.9110.33N/AN/A3,0175,77453,59078,831
2023-01-09$45.75$45.0028.1%8.2%14.2%29.8%28.3%5.1%-1.5%2.4M-63.6M-650.5K3.4411.45N/AN/A6712,31056,08184,207
2023-01-10$46.06$45.0030.3%8.2%14.4%38.5%26.8%4.6%-1.6%2.2M-68.7M-646.2K0.6813.67N/AN/A1,6311,10356,21985,990
2023-01-11$45.61$45.0028.1%8.0%13.5%29.6%30.4%5.0%-0.6%1.1M-48.5M-637.8K2.0915.83N/AN/A8,26017,23356,86886,796
2023-01-12$46.55$45.0027.6%7.9%15.4%27.8%27.7%3.1%-1.7%4.3M-108.6M-627.1K0.2131.97N/AN/A4,03285360,38193,448
2023-01-13$46.56$45.0025.4%7.3%15.4%19.2%26.6%3.5%-0.8%6.3M-114.0M-625.5K0.7818.95N/AN/A1,3981,08863,74494,215
2023-01-17$46.11$45.0027.4%7.8%13.9%26.9%27.8%4.1%-1.9%5.3M-93.9M-576.0K0.129.14N/AN/A3,13337564,65194,396
2023-01-18$45.20$45.0027.9%8.0%15.6%29.0%27.2%4.0%-2.1%-107.6K-35.3M-575.2K1.8425.00N/AN/A7061,30166,07294,443
2023-01-19$45.55$45.0027.2%7.8%15.8%26.5%27.1%3.5%-2.2%2.4M-67.6M-563.5K1.6532.20N/AN/A9501,57166,26793,732
2023-01-20$45.59$45.0026.5%7.6%15.8%23.6%24.5%3.6%-2.7%2.1M-83.9M-538.5K0.1460.72N/AN/A5,32476766,46093,705
2023-01-23$45.72$45.0026.0%7.5%15.7%21.7%25.8%4.9%-2.2%1.6M-26.5M-527.9K0.2413.57N/AN/A3,30280829,26936,794
2023-01-24$45.70$45.0026.0%7.4%15.7%21.6%25.4%3.6%-3.2%2.3M-31.6M-547.3K2.3919.00N/AN/A12,21229,22132,27237,322
2023-01-25$45.97$45.0026.8%7.7%15.9%24.7%27.9%3.7%-3.5%1.4M-25.0M-703.8K1.8511.94N/AN/A3,7806,98344,22566,418
2023-01-26$46.23$45.0026.5%7.6%15.9%23.8%26.3%4.0%-3.0%1.3M-27.3M-738.5K0.1411.93N/AN/A4075747,48073,339
2023-01-27$46.00$45.0026.8%7.7%15.5%24.9%25.3%3.4%-4.0%870.5K-23.6M-728.9K0.1925.22N/AN/A1,09621047,71573,346
2023-01-30$45.75$45.0029.1%8.3%14.8%34.3%29.1%3.2%-5.0%178.9K-14.0M-727.1K0.3519.78N/AN/A28210047,67473,211
2023-01-31$46.16$45.0030.4%8.7%15.1%39.2%28.0%3.0%-6.3%1.1M-26.6M-713.2K0.4120.05N/AN/A5,5782,29647,82473,269