BSX Options History — October 2023

In October 2023, BSX traded between $48.83 and $53.80. ATM implied volatility averaged 26.5%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 1.1% (HV 20d: 27.6%). Max pain ranged from $50.50 to $53.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2023-10-25: Highest Volume — 33,008 contracts
  • 2023-10-11: Largest IV spike — 17.2% change
  • 2023-10-18: Highest IV Rank — 46.7%
  • 2023-10-25: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.86$48.83$53.80$52.75$51.28
Max Pain$52.09$50.50$53.00$53.00$50.50
ATM IV26.5%23.1%29.3%23.8%23.1%
Expected Move7.5%6.1%8.7%6.1%6.8%
HV 20d27.6%18.0%32.6%18.0%31.9%
HV 60d23.5%19.8%25.4%19.8%25.3%
IV Rank38.7%29.0%46.7%29.0%45.9%
IV Percentile78.7%58.3%93.3%65.1%58.3%
Term Structure-0.8%-2.2%0.7%-0.2%0.1%
VWIV26.1%22.0%30.9%22.0%23.1%
Skew 25d4.0%2.9%5.5%4.1%3.9%
Skew 10d8.1%4.9%11.1%9.1%7.8%
Call IV 25d24.6%20.8%27.1%21.9%20.8%
Put IV 25d28.6%24.7%32.1%26.0%24.7%
Bid-Ask Spread %42.0621.9164.4260.9442.09
Gamma HHI0.140.080.440.130.10
Net GEX-4.2M-32.2M10.1M1.0M2.2M
Net DEX23.3M-132.5M147.2M-38.5M-46.4M
Net VEX-1.4M-1.4M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.052.700.560.36
Total Volume8,120.09161833,0081,5111,527
Total OI203,477.727187,641223,878189,502204,345

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$52.75$53.0023.8%6.1%18.0%29.0%22.0%4.1%-0.2%1.0M-38.5M-1.4M0.5660.94N/AN/A97154086,095103,407
2023-10-03$51.63$53.0025.7%6.9%19.4%35.3%22.0%4.3%-0.5%-4.1M21.4M-1.4M1.0564.42N/AN/A1,8291,91486,668103,718
2023-10-04$51.53$53.0025.6%6.9%18.7%34.8%23.5%4.3%-0.9%-5.9M34.4M-1.4M0.2762.55N/AN/A4,0141,06686,272105,110
2023-10-05$51.70$52.5025.5%6.9%18.8%34.6%24.9%4.5%-0.8%-4.1M16.2M-1.4M1.3133.11N/AN/A8571,12089,229104,602
2023-10-06$52.20$52.5024.9%6.8%19.3%32.7%23.8%2.9%-0.7%-297.2K-15.4M-1.4M0.3739.82N/AN/A9,9653,66289,409104,701
2023-10-09$52.31$52.5025.0%6.9%18.6%32.9%23.7%3.8%-0.8%2.2M-32.2M-1.4M0.6630.79N/AN/A37224695,303100,046
2023-10-10$53.80$52.5023.9%6.4%20.2%29.4%24.5%4.1%-1.4%10.1M-132.5M-1.4M0.6939.30N/AN/A97166995,693100,202
2023-10-11$50.91$52.5028.0%8.2%28.1%42.6%26.7%5.1%0.7%-3.1M53.7M-1.4M0.9221.91N/AN/A9,0098,25995,970100,225
2023-10-12$48.83$52.5028.8%8.1%31.5%45.3%27.9%5.1%-0.9%-5.5M147.2M-1.3M2.5434.69N/AN/A4,97312,622100,392102,966
2023-10-13$49.41$52.5028.8%8.0%32.0%45.2%26.8%5.5%-1.3%-6.9M117.6M-1.3M2.7049.67N/AN/A2,2035,942104,251106,420
2023-10-16$50.17$52.5027.6%7.9%32.6%41.4%26.4%3.6%-1.1%-6.0M68.4M-1.4M0.1354.83N/AN/A10,0711,341104,605106,851
2023-10-17$50.39$52.5027.5%7.8%32.6%41.0%27.6%3.0%-1.0%-2.8M41.4M-1.4M0.1625.16N/AN/A4,756763112,950106,955
2023-10-18$50.66$52.5029.3%8.4%32.0%46.7%27.8%3.0%-2.2%-2.6M32.8M-1.4M0.0530.18N/AN/A9,664465112,143107,497
2023-10-19$50.55$52.5028.7%8.3%31.9%44.7%28.4%3.6%-2.0%-4.9M38.8M-1.3M0.0735.32N/AN/A9,578640112,083107,584
2023-10-20$50.11$52.5028.1%8.2%31.9%42.9%28.6%4.0%-1.3%-23.7M59.5M-1.4M1.1232.70N/AN/A1,7391,956116,371107,507
2023-10-23$50.14$52.5028.0%8.3%31.8%42.5%28.4%3.8%-0.9%200.9K14.9M-1.3M0.1051.91N/AN/A5,07850195,01592,626
2023-10-24$51.00$51.0026.7%7.9%32.2%38.5%27.1%4.5%-0.8%4.8M-39.1M-1.4M0.3151.30N/AN/A2,00962799,64993,041
2023-10-25$50.08$51.0028.2%8.7%32.4%43.2%30.9%4.4%-0.8%1.5M7.9M-1.3M1.3950.11N/AN/A13,83919,169101,28093,445
2023-10-26$49.89$51.0025.6%7.6%31.0%34.7%27.8%3.6%-0.7%-8.9M46.9M-1.4M2.6533.88N/AN/A3,3608,894106,416109,608
2023-10-27$49.39$50.5026.5%7.8%30.9%37.9%26.6%4.3%-0.5%-32.2M98.9M-1.4M0.2640.95N/AN/A5,8501,537107,376116,024
2023-10-30$50.17$50.5024.2%7.3%31.6%30.4%26.3%3.5%-0.1%-2.9M16.3M-1.3M2.2839.76N/AN/A1,2412,83397,810104,650
2023-10-31$51.28$50.5023.1%6.8%31.9%45.9%23.1%3.9%0.1%2.2M-46.4M-1.4M0.3642.09N/AN/A1,11940897,950106,395