BSX Options History — January 2024 In January 2024, BSX traded between $57.47 and $63.52. ATM implied volatility averaged 25.2%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 11.4% (HV 20d: 13.8%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.82.
Notable Days 2024-01-31 : Highest Volume — 22,614 contracts2024-01-31 : Largest IV drop — 58.7% change2024-01-29 : Highest IV Rank — 100.0%2024-01-30 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $60.01 $57.47 $63.52 $57.67 $63.52 Max Pain $55.36 $52.50 $57.50 $52.50 $57.50 ATM IV 25.2% 20.2% 48.8% 23.1% 20.2% Expected Move 6.2% 5.3% 7.4% 5.5% 5.3% HV 20d 13.8% 10.6% 16.1% 16.1% 15.9% HV 60d 18.3% 15.8% 23.6% 23.5% 17.2% IV Rank 49.7% 15.9% 100.0% 45.9% 15.9% IV Percentile 69.9% 41.7% 100.0% 69.8% 41.7% Term Structure -1.7% -4.3% 0.8% -1.4% -0.9% VWIV 22.1% 17.9% 25.8% 19.9% 17.9% Skew 25d 1.8% -1.1% 2.8% 2.8% 1.6% Skew 10d 5.1% 1.5% 12.8% 12.8% 2.3% Call IV 25d 21.7% 17.8% 25.4% 22.7% 17.8% Put IV 25d 23.5% 19.4% 26.7% 25.5% 19.4% Bid-Ask Spread % 34.96 9.68 71.29 42.87 71.29 Gamma HHI 0.18 0.09 0.38 0.21 0.16 Net GEX 12.5M -1.2M 25.8M 18.2M 9.4M Net DEX -275.5M -398.0M -141.0M -253.9M -282.9M Net VEX -1.3M -1.4M -1.2M -1.4M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.10 2.02 1.37 0.30 Total Volume 7,797.095 1,865 22,614 5,425 22,614 Total OI 183,803.048 133,448 213,103 200,754 156,768
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 2024-01-02 $57.67 $52.50 23.1% 5.5% 16.1% 45.9% 19.9% 2.8% -1.4% 18.2M -253.9M -1.4M 1.37 42.87 N/A N/A 2,286 3,139 98,628 102,126 2024-01-03 $57.47 $52.50 23.3% 5.3% 13.3% 46.7% 18.6% -1.1% -2.3% 19.9M -234.8M -1.4M 0.69 25.52 N/A N/A 1,102 763 100,050 104,599 2024-01-04 $58.34 $55.00 24.1% 6.5% 14.0% 51.4% 23.1% 1.5% -1.2% 22.5M -297.8M -1.4M 0.19 16.40 N/A N/A 5,038 974 100,125 104,921 2024-01-05 $58.25 $55.00 24.4% 6.6% 14.1% 53.1% 22.8% 1.5% -1.5% 24.0M -300.6M -1.4M 0.10 41.24 N/A N/A 11,774 1,174 102,362 105,639 2024-01-08 $58.27 $55.00 24.2% 6.4% 14.1% 51.7% 23.8% 2.4% -1.7% 25.8M -291.3M -1.4M 0.89 47.02 N/A N/A 6,954 6,180 106,430 101,291 2024-01-09 $59.13 $55.00 24.4% 6.2% 14.7% 52.6% 21.9% 1.8% -2.8% 22.8M -342.2M -1.4M 0.13 37.24 N/A N/A 9,715 1,236 102,799 107,080 2024-01-10 $59.39 $55.00 22.0% 6.0% 14.7% 39.8% 22.8% 1.6% -3.0% 24.0M -367.1M -1.3M 0.30 37.58 N/A N/A 6,305 1,905 105,105 107,998 2024-01-11 $59.58 $55.00 20.7% 5.9% 14.3% 32.6% 24.2% 1.8% 0.6% 20.5M -369.3M -1.3M 0.51 25.64 N/A N/A 2,815 1,435 102,539 108,519 2024-01-12 $59.97 $55.00 20.9% 6.0% 14.2% 33.6% 21.1% 1.2% 0.8% 22.3M -398.0M -1.3M 1.41 35.22 N/A N/A 4,540 6,408 103,344 109,741 2024-01-16 $60.14 $55.00 21.5% 6.2% 13.7% 37.1% 21.6% 1.3% 0.1% 13.0M -343.5M -1.3M 1.21 41.87 N/A N/A 3,276 3,975 92,658 108,313 2024-01-17 $60.80 $55.00 22.4% 6.4% 13.4% 41.9% 22.5% 2.3% -0.3% 10.5M -362.2M -1.3M 0.75 32.05 N/A N/A 2,792 2,096 92,676 111,550 2024-01-18 $61.00 $55.00 22.0% 6.3% 13.2% 39.9% 23.5% 2.8% -1.7% 8.7M -367.8M -1.3M 0.57 23.53 N/A N/A 2,425 1,372 93,614 113,346 2024-01-19 $60.97 $55.00 21.3% 6.1% 13.3% 36.1% 21.6% 2.8% -1.7% 4.9M -379.0M -1.2M 0.17 35.54 N/A N/A 3,778 640 94,315 114,543 2024-01-22 $60.70 $55.00 21.6% 6.2% 12.5% 37.7% 21.4% 2.3% -1.6% 3.7M -169.1M -1.2M 2.02 33.00 N/A N/A 3,133 6,320 60,470 72,978 2024-01-23 $60.70 $55.00 21.0% 6.0% 12.5% 34.2% 20.8% 2.4% -2.0% 2.9M -169.2M -1.3M 1.83 9.68 N/A N/A 2,759 5,061 62,538 77,171 2024-01-24 $60.03 $55.00 21.0% 6.0% 13.7% 34.4% 21.9% 1.9% -2.1% -1.2M -141.0M -1.3M 1.44 29.15 N/A N/A 2,506 3,619 64,411 80,532 2024-01-25 $60.70 $57.50 29.4% 6.5% 13.9% 80.0% 23.3% 2.0% -2.4% -715.6K -164.4M -1.3M 0.48 20.90 N/A N/A 1,466 706 65,440 83,340 2024-01-26 $61.14 $57.50 29.1% 6.3% 13.8% 78.6% 22.2% 1.7% -1.9% 551.3K -186.5M -1.3M 1.84 29.01 N/A N/A 1,264 2,324 65,875 83,484 2024-01-29 $61.17 $57.50 44.3% 7.1% 13.9% 100.0% 24.3% 2.4% -3.6% 3.9M -175.3M -1.3M 0.10 33.62 N/A N/A 7,210 699 63,585 79,727 2024-01-30 $61.20 $57.50 48.8% 7.4% 10.6% 100.0% 25.8% 1.3% -4.3% 5.9M -188.8M -1.3M 0.86 65.71 N/A N/A 5,367 4,594 69,089 80,145 2024-01-31 $63.52 $57.50 20.2% 5.3% 15.9% 15.9% 17.9% 1.6% -0.9% 9.4M -282.9M -1.3M 0.30 71.29 N/A N/A 17,452 5,162 72,354 84,414
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