BSX Options History — December 2023 In December 2023, BSX traded between $54.75 and $57.92. ATM implied volatility averaged 18.4%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.2% (HV 20d: 16.3%). Max pain ranged from $52.50 to $54.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.90.
Notable Days 2023-12-29 : Highest Volume — 18,793 contracts2023-12-11 : Largest IV spike — 8.8% change2023-12-29 : Highest IV Rank — 29.2%2023-12-05 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $55.69 $54.75 $57.92 $56.05 $57.92 Max Pain $52.60 $52.50 $54.50 $54.50 $52.50 ATM IV 18.4% 16.8% 20.1% 16.8% 20.1% Expected Move 5.3% 4.9% 5.8% 4.9% 5.4% HV 20d 16.3% 12.8% 22.0% 19.8% 16.0% HV 60d 24.0% 22.8% 24.8% 24.3% 23.4% IV Rank 20.2% 11.3% 29.2% 11.3% 29.2% IV Percentile 19.1% 4.0% 40.5% 4.0% 40.5% Term Structure 1.2% -1.7% 5.1% -0.1% 2.6% VWIV 18.5% 17.1% 20.0% 17.4% 18.9% Skew 25d 2.4% 1.0% 3.4% 2.3% 1.0% Skew 10d 5.3% 0.7% 10.1% 5.5% 1.3% Call IV 25d 17.3% 15.9% 18.9% 16.0% 18.6% Put IV 25d 19.7% 18.3% 22.0% 18.3% 19.6% Bid-Ask Spread % 39.62 14.41 84.31 72.64 32.13 Gamma HHI 0.15 0.11 0.24 0.16 0.24 Net GEX 12.7M 3.9M 21.3M 15.5M 16.6M Net DEX -157.4M -272.5M -99.4M -212.0M -272.5M Net VEX -1.4M -1.5M -1.4M -1.4M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.13 4.87 0.23 0.47 Total Volume 6,064.65 665 18,793 2,584 18,793 Total OI 185,784.65 168,151 198,128 172,721 194,470
Daily Data (20 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 2023-12-01 $56.05 $54.50 16.8% 4.9% 19.8% 11.3% 17.4% 2.3% -0.1% 15.5M -212.0M -1.4M 0.23 72.64 N/A N/A 2,098 486 89,486 83,235 2023-12-04 $54.75 $52.50 17.4% 5.4% 22.0% 14.4% 19.7% 1.8% 1.4% 11.3M -124.9M -1.4M 1.82 80.33 N/A N/A 2,976 5,427 85,106 83,045 2023-12-05 $54.84 $52.50 17.6% 5.8% 22.0% 15.8% 19.0% 2.9% 2.0% 9.1M -116.3M -1.4M 0.23 84.31 N/A N/A 2,357 543 87,112 87,397 2023-12-06 $54.83 $52.50 17.9% 5.7% 21.7% 17.4% 20.0% 2.5% 2.0% 8.9M -123.7M -1.4M 1.78 28.74 N/A N/A 3,077 5,472 88,524 87,585 2023-12-07 $55.00 $52.50 18.5% 5.6% 21.6% 20.6% 19.5% 2.3% 1.8% 10.5M -131.2M -1.4M 4.87 15.29 N/A N/A 634 3,089 90,376 91,391 2023-12-08 $55.00 $52.50 18.1% 5.6% 20.7% 18.6% 19.0% 2.9% 2.4% 16.2M -125.3M -1.4M 0.83 25.27 N/A N/A 4,463 3,695 90,520 92,426 2023-12-11 $55.28 $52.50 19.7% 5.7% 20.7% 27.3% 19.2% 3.1% -0.5% 15.3M -148.3M -1.4M 0.16 14.41 N/A N/A 3,163 516 92,097 91,756 2023-12-12 $55.92 $52.50 19.2% 5.6% 13.4% 24.6% 19.4% 2.3% 0.2% 20.1M -195.1M -1.4M 0.64 21.22 N/A N/A 904 574 94,729 91,952 2023-12-13 $56.44 $52.50 19.9% 5.2% 13.6% 28.3% 19.6% 2.6% -1.7% 21.3M -231.4M -1.4M 0.20 75.58 N/A N/A 4,097 832 95,043 92,668 2023-12-14 $56.05 $52.50 18.8% 5.5% 13.9% 21.9% 18.9% 2.0% 0.9% 20.8M -200.2M -1.4M 0.84 54.09 N/A N/A 4,193 3,508 96,094 93,022 2023-12-15 $55.67 $52.50 18.9% 5.6% 13.5% 22.9% 18.6% 3.4% 0.7% 14.6M -172.3M -1.4M 0.89 39.08 N/A N/A 8,690 7,707 96,741 94,382 2023-12-18 $55.55 $52.50 17.4% 5.0% 13.3% 14.7% 17.4% 2.6% 0.4% 8.9M -118.4M -1.4M 0.54 38.11 N/A N/A 2,568 1,396 87,391 93,388 2023-12-19 $55.75 $52.50 18.2% 5.2% 13.3% 18.9% 17.4% 2.6% -0.2% 10.4M -128.5M -1.4M 0.23 17.65 N/A N/A 8,148 1,862 89,583 94,322 2023-12-20 $55.14 $52.50 17.9% 5.1% 13.5% 17.3% 17.7% 2.8% 0.5% 3.9M -99.4M -1.4M 1.38 32.18 N/A N/A 890 1,230 94,027 96,377 2023-12-21 $55.56 $52.50 18.9% 5.4% 13.6% 22.8% 18.5% 2.8% -0.3% 6.9M -125.0M -1.5M 0.46 31.45 N/A N/A 4,123 1,914 96,523 96,673 2023-12-22 $55.75 $52.50 18.0% 5.1% 13.5% 17.7% 17.5% 1.9% 0.4% 6.9M -138.4M -1.5M 0.13 42.86 N/A N/A 6,872 911 99,661 98,467 2023-12-26 $56.05 $52.50 18.7% 5.2% 13.6% 21.5% 17.8% 2.5% 2.8% 11.6M -158.5M -1.5M 0.38 47.13 N/A N/A 481 184 94,907 97,995 2023-12-27 $55.97 $52.50 17.8% 4.9% 12.8% 16.5% 17.2% 1.8% 2.8% 11.8M -153.2M -1.4M 1.07 20.44 N/A N/A 811 864 94,914 98,266 2023-12-28 $56.31 $52.50 18.6% 4.9% 12.9% 21.0% 17.1% 2.5% 5.1% 13.9M -173.2M -1.4M 0.82 19.50 N/A N/A 959 786 95,442 98,600 2023-12-29 $57.92 $52.50 20.1% 5.4% 16.0% 29.2% 18.9% 1.0% 2.6% 16.6M -272.5M -1.4M 0.47 32.13 N/A N/A 12,769 6,024 95,572 98,898
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