BSX Options History — November 2023 In November 2023, BSX traded between $51.39 and $55.83. ATM implied volatility averaged 19.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 4.9% (HV 20d: 24.1%). Max pain ranged from $50.00 to $54.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.38.
Notable Days 2023-11-10 : Highest Volume — 30,239 contracts2023-11-13 : Largest IV drop — 12.1% change2023-11-09 : Highest IV Rank — 45.1%2023-11-01 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $53.82 $51.39 $55.83 $51.80 $55.83 Max Pain $52.48 $50.00 $54.50 $50.50 $54.50 ATM IV 19.2% 16.2% 23.0% 21.9% 16.7% Expected Move 5.4% 4.6% 6.6% 6.6% 4.9% HV 20d 24.1% 17.5% 32.4% 32.1% 20.1% HV 60d 25.6% 24.3% 27.2% 25.4% 24.3% IV Rank 24.4% 7.9% 45.1% 39.3% 10.5% IV Percentile 22.9% 1.6% 58.7% 48.8% 2.8% Term Structure -0.3% -2.1% 1.0% -0.3% 0.3% VWIV 19.5% 16.4% 25.2% 25.2% 17.3% Skew 25d 2.8% 1.4% 4.0% 3.9% 2.4% Skew 10d 6.8% 3.4% 14.1% 7.6% 14.1% Call IV 25d 18.1% 15.4% 21.5% 20.2% 15.9% Put IV 25d 20.9% 17.7% 25.0% 24.1% 18.3% Bid-Ask Spread % 42.43 9.19 75.43 24.54 26.27 Gamma HHI 0.20 0.09 0.68 0.12 0.15 Net GEX 12.2M -4.8M 42.8M 5.9M 15.3M Net DEX -154.1M -290.9M 20.1M -88.5M -200.2M Net VEX -1.3M -1.4M -1.2M -1.4M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.38 0.07 19.28 4.14 1.69 Total Volume 9,789.333 744 30,239 8,943 7,990 Total OI 204,412.333 143,059 258,019 205,216 169,242
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-11-01 $51.80 $50.50 21.9% 6.6% 32.1% 39.3% 25.2% 3.9% -0.3% 5.9M -88.5M -1.4M 4.14 24.54 N/A N/A 1,739 7,204 98,545 106,671 2023-11-02 $52.47 $50.00 21.3% 5.9% 32.4% 35.9% 20.0% 3.1% 0.1% 8.3M -112.8M -1.3M 1.66 66.63 N/A N/A 1,979 3,280 99,736 113,634 2023-11-03 $52.61 $50.00 20.2% 6.0% 32.2% 29.8% 20.6% 3.4% 0.0% 8.5M -123.1M -1.3M 0.54 74.18 N/A N/A 4,929 2,665 100,769 116,294 2023-11-06 $52.69 $50.00 20.5% 5.7% 32.2% 31.3% 19.9% 3.6% -0.6% 10.0M -122.4M -1.3M 8.57 74.90 N/A N/A 562 4,816 99,553 113,020 2023-11-07 $52.28 $50.00 21.4% 5.9% 30.6% 36.6% 22.2% 4.0% -1.1% 6.7M -90.3M -1.3M 19.28 75.43 N/A N/A 866 16,699 99,917 115,431 2023-11-08 $52.16 $52.50 21.3% 5.9% 23.1% 36.1% 22.5% 3.6% -0.8% -385.4K -58.9M -1.3M 3.97 73.14 N/A N/A 440 1,745 100,444 125,686 2023-11-09 $51.41 $52.50 23.0% 6.2% 17.8% 45.1% 22.0% 3.4% -1.4% -4.8M 2.6M -1.3M 2.35 47.86 N/A N/A 6,539 15,354 100,589 126,678 2023-11-10 $51.39 $52.50 22.7% 6.1% 17.5% 43.7% 22.4% 3.5% -2.1% -4.7M 20.1M -1.3M 2.35 21.28 N/A N/A 9,040 21,199 105,620 134,172 2023-11-13 $53.86 $52.50 20.0% 5.7% 23.3% 28.6% 21.0% 2.7% 0.2% 20.1M -227.7M -1.2M 0.35 65.90 N/A N/A 13,950 4,846 109,357 134,582 2023-11-14 $54.09 $52.50 18.8% 5.3% 23.3% 22.0% 18.9% 2.6% 1.0% 23.1M -242.6M -1.2M 0.28 26.85 N/A N/A 1,722 489 109,233 138,192 2023-11-15 $53.92 $52.50 18.5% 5.3% 23.4% 20.4% 19.5% 1.9% 0.3% 20.1M -224.8M -1.2M 0.09 23.73 N/A N/A 7,299 630 109,491 138,538 2023-11-16 $54.64 $52.50 19.2% 5.5% 23.6% 24.3% 19.5% 1.4% -0.6% 42.8M -290.9M -1.2M 0.08 14.98 N/A N/A 5,917 473 116,435 139,051 2023-11-17 $54.28 $52.50 17.8% 5.0% 23.4% 16.9% 17.8% 2.6% 0.8% 7.2M -247.6M -1.2M 0.23 50.01 N/A N/A 9,473 2,211 118,494 139,525 2023-11-20 $54.48 $52.50 17.6% 4.9% 23.4% 15.4% 17.3% 2.5% -0.3% 9.9M -128.8M -1.2M 0.15 45.18 N/A N/A 9,141 1,372 68,809 74,250 2023-11-21 $55.03 $52.50 17.1% 4.8% 23.0% 12.7% 17.1% 2.9% -0.4% 14.6M -168.2M -1.2M 0.78 22.06 N/A N/A 2,560 2,002 77,047 75,384 2023-11-22 $55.39 $54.00 17.2% 4.7% 21.5% 13.3% 16.7% 2.1% -0.2% 15.4M -191.9M -1.2M 0.38 19.25 N/A N/A 12,243 4,687 78,506 76,966 2023-11-24 $55.61 $54.50 16.2% 4.6% 21.3% 7.9% 16.4% 2.3% 0.1% 14.1M -200.2M -1.4M 0.53 9.19 N/A N/A 487 257 85,641 80,287 2023-11-27 $55.78 $54.50 17.2% 5.1% 20.5% 13.3% 18.1% 2.5% -0.3% 12.8M -193.5M -1.3M 0.07 35.87 N/A N/A 13,341 888 83,014 77,919 2023-11-28 $55.09 $54.50 17.4% 5.1% 21.2% 14.6% 17.8% 2.3% -0.3% 15.1M -167.8M -1.4M 1.61 64.50 N/A N/A 1,273 2,051 88,446 78,463 2023-11-29 $55.36 $54.50 17.4% 4.9% 20.2% 14.8% 17.1% 1.8% -0.3% 16.3M -178.0M -1.4M 0.92 29.21 N/A N/A 635 583 89,205 79,823 2023-11-30 $55.83 $54.50 16.7% 4.9% 20.1% 10.5% 17.3% 2.4% 0.3% 15.3M -200.2M -1.4M 1.69 26.27 N/A N/A 2,972 5,018 89,214 80,028
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