BSX Options History — February 2024

In February 2024, BSX traded between $64.47 and $67.06. ATM implied volatility averaged 17.4%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.0% (HV 20d: 16.4%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2024-02-12: Highest Volume — 12,282 contracts
  • 2024-02-02: Largest IV drop — 11.9% change
  • 2024-02-20: Highest IV Rank — 11.6%
  • 2024-02-20: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.68$64.47$67.06$64.75$66.41
Max Pain$64.63$62.50$65.00$62.50$65.00
ATM IV17.4%16.4%18.7%18.6%17.6%
Expected Move5.0%4.7%5.4%5.0%5.1%
HV 20d16.4%12.3%17.1%16.3%12.3%
HV 60d15.5%14.5%17.6%17.5%14.8%
IV Rank7.7%4.7%11.6%11.2%8.4%
IV Percentile11.3%2.4%28.2%20.6%16.3%
Term Structure1.5%-0.4%3.3%2.6%-0.0%
VWIV17.3%16.4%18.4%17.6%18.2%
Skew 25d1.9%0.8%3.4%2.1%1.6%
Skew 10d4.2%2.0%6.9%4.7%3.3%
Call IV 25d16.7%15.5%17.7%16.8%17.7%
Put IV 25d18.6%17.5%19.8%18.9%19.3%
Bid-Ask Spread %30.957.1674.3421.2340.06
Gamma HHI0.350.200.480.410.28
Net GEX10.1M6.3M14.7M11.7M9.5M
Net DEX-258.6M-336.5M-173.7M-309.6M-194.3M
Net VEX-1.4M-1.6M-1.3M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.092.870.780.83
Total Volume4,786.051,00612,28210,3724,085
Total OI152,165.4130,631170,524164,385139,431

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$64.75$62.5018.6%5.0%16.3%11.2%17.6%2.1%2.6%11.7M-309.6M-1.3M0.7821.23N/AN/A5,8304,54275,63688,749
2024-02-02$64.47$62.5016.4%4.7%16.4%4.7%17.0%2.0%2.9%8.7M-291.9M-1.3M0.9514.36N/AN/A3,2253,07876,75591,927
2024-02-05$64.57$62.5016.9%4.9%16.2%6.3%17.2%2.2%3.1%9.1M-269.4M-1.3M1.0922.98N/AN/A2,7643,01971,44280,091
2024-02-06$64.68$65.0016.7%4.8%16.2%5.7%16.8%1.9%3.0%9.4M-270.2M-1.3M0.4724.91N/AN/A2,06196171,73480,861
2024-02-07$65.19$65.0016.7%4.8%15.8%5.7%16.7%1.9%3.1%10.5M-292.0M-1.3M0.817.16N/AN/A4,1003,32472,79081,353
2024-02-08$65.00$65.0017.0%4.9%16.1%6.6%18.2%2.1%3.1%10.6M-282.5M-1.5M2.8747.39N/AN/A2,3206,66376,09883,791
2024-02-09$65.41$65.0017.0%4.9%16.1%6.7%16.8%1.6%3.3%10.8M-298.8M-1.5M2.5840.18N/AN/A1,2073,11277,71582,605
2024-02-12$64.90$65.0017.3%5.0%16.7%7.4%16.5%2.3%2.8%12.0M-278.3M-1.5M0.0974.34N/AN/A11,29798578,12185,409
2024-02-13$64.90$65.0018.1%5.2%16.7%9.7%17.8%1.6%2.8%14.7M-282.5M-1.6M0.9072.59N/AN/A2,3342,09183,50285,813
2024-02-14$65.91$65.0017.9%5.1%17.0%9.4%17.1%3.4%1.4%13.1M-329.2M-1.5M0.2625.33N/AN/A1,25232683,09987,100
2024-02-15$65.94$65.0017.8%5.1%17.1%8.9%17.8%2.1%0.1%13.1M-326.8M-1.5M0.4130.24N/AN/A86935783,23587,033
2024-02-16$66.00$65.0017.8%5.1%17.0%8.8%18.1%1.6%0.3%6.8M-336.5M-1.5M0.8621.74N/AN/A3,3322,86383,32187,203
2024-02-20$66.00$65.0018.7%5.4%16.8%11.6%17.9%2.0%0.3%6.3M-178.8M-1.5M0.3532.85N/AN/A2,9061,00360,31670,315
2024-02-21$65.63$65.0018.5%5.3%17.1%10.9%18.4%2.9%-0.4%7.0M-173.7M-1.5M2.3320.25N/AN/A4321,00662,64970,947
2024-02-22$66.69$65.0017.0%4.9%16.7%6.5%16.7%1.0%0.1%8.4M-205.3M-1.5M0.6317.16N/AN/A2,0091,26462,82371,583
2024-02-23$67.06$65.0016.9%4.8%16.5%6.3%16.4%2.2%0.2%9.2M-220.5M-1.5M0.7338.53N/AN/A3,0022,18963,75571,115
2024-02-26$66.72$65.0017.0%4.9%16.9%6.7%17.1%0.8%0.1%9.8M-211.3M-1.5M0.5117.46N/AN/A66634065,65071,954
2024-02-27$66.48$65.0016.6%4.8%17.1%5.5%16.9%1.3%0.7%9.9M-204.5M-1.5M1.3931.93N/AN/A1,0121,40966,03072,179
2024-02-28$66.87$65.0016.9%4.8%17.0%6.3%17.0%1.4%0.8%10.3M-216.4M-1.4M0.9218.39N/AN/A1,2941,19266,14573,033
2024-02-29$66.41$65.0017.6%5.1%12.3%8.4%18.2%1.6%-0.0%9.5M-194.3M-1.5M0.8340.06N/AN/A2,2321,85366,15873,273