BSX Options History — November 2024 In November 2024, BSX traded between $83.78 and $91.56. ATM implied volatility averaged 21.0%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.9% (HV 20d: 18.1%). Max pain ranged from $82.50 to $87.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.48.
Notable Days 2024-11-18 : Highest Volume — 26,855 contracts2024-11-18 : Largest IV drop — 19.2% change2024-11-15 : Highest IV Rank — 29.7%2024-11-15 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $88.52 $83.78 $91.56 $83.78 $91.03 Max Pain $85.88 $82.50 $87.50 $82.50 $87.50 ATM IV 21.0% 18.4% 25.0% 22.7% 18.8% Expected Move 6.0% 5.4% 6.9% 6.3% 5.4% HV 20d 18.1% 14.5% 22.1% 16.2% 21.5% HV 60d 15.4% 13.8% 17.4% 14.0% 17.0% IV Rank 17.9% 10.1% 29.7% 22.9% 11.2% IV Percentile 64.8% 39.3% 86.9% 77.0% 46.0% Term Structure -0.2% -2.5% 2.5% -2.5% -0.1% VWIV 21.7% 19.9% 24.7% 23.1% 20.2% Skew 25d 1.7% 1.2% 2.3% 2.3% 1.3% Skew 10d 7.3% 0.5% 15.1% 5.5% 10.4% Call IV 25d 20.5% 17.9% 24.4% 22.3% 18.1% Put IV 25d 22.2% 19.3% 26.8% 24.6% 19.5% Bid-Ask Spread % 57.93 46.62 69.06 64.15 69.06 Gamma HHI 0.19 0.09 0.48 0.14 0.13 Net GEX 20.8M 4.4M 50.6M 10.0M 18.3M Net DEX -446.9M -588.3M -227.0M -227.0M -476.1M Net VEX -1.8M -2.0M -1.6M -1.9M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 0.10 10.29 5.32 0.22 Total Volume 7,869.95 1,781 26,855 9,698 1,974 Total OI 222,091.3 176,368 263,852 263,852 180,169
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 2024-11-01 $83.78 $82.50 22.7% 6.3% 16.2% 22.9% 23.1% 2.3% -2.5% 10.0M -227.0M -1.9M 5.32 64.15 N/A N/A 1,535 8,163 121,916 141,936 2024-11-04 $84.56 $85.00 23.8% 6.8% 16.5% 26.0% 24.7% 2.2% -1.0% 13.3M -282.8M -1.9M 3.58 62.38 N/A N/A 2,607 9,333 114,728 129,250 2024-11-05 $85.52 $85.00 23.7% 6.8% 15.0% 25.8% 23.6% 2.1% 0.1% 18.5M -347.1M -2.0M 0.11 61.11 N/A N/A 5,724 629 115,917 127,788 2024-11-06 $86.40 $85.00 20.1% 6.0% 15.2% 15.0% 21.7% 1.7% 2.5% 24.6M -415.1M -1.9M 0.91 61.45 N/A N/A 1,373 1,246 118,284 128,354 2024-11-07 $87.14 $85.00 21.2% 6.0% 15.2% 18.5% 20.7% 2.0% 0.1% 28.4M -463.9M -1.8M 10.29 67.78 N/A N/A 1,120 11,521 118,211 128,593 2024-11-08 $88.22 $85.00 21.2% 6.1% 15.3% 18.5% 21.0% 1.2% -0.3% 34.8M -542.8M -1.8M 0.19 67.98 N/A N/A 6,712 1,297 118,962 126,470 2024-11-11 $88.44 $85.00 21.7% 6.2% 15.2% 19.9% 21.3% 1.4% -0.1% 37.1M -546.9M -1.7M 0.10 67.44 N/A N/A 11,154 1,071 117,713 125,280 2024-11-12 $88.75 $85.00 21.8% 6.4% 14.8% 20.2% 22.0% 1.6% 1.2% 40.9M -568.4M -1.8M 0.38 59.23 N/A N/A 5,181 1,977 118,534 125,238 2024-11-13 $89.02 $85.00 22.2% 6.1% 14.7% 21.3% 22.4% 1.4% -0.9% 50.6M -588.3M -1.8M 0.90 59.63 N/A N/A 7,524 6,761 121,187 126,390 2024-11-14 $87.78 $85.00 22.7% 6.3% 15.5% 22.7% 21.5% 1.3% -0.6% 19.9M -470.3M -1.8M 0.29 51.66 N/A N/A 2,923 841 127,077 131,909 2024-11-15 $86.68 $85.00 25.0% 6.9% 14.5% 29.7% 24.3% 2.3% -0.8% 4.4M -380.7M -1.9M 2.22 50.16 N/A N/A 4,501 10,006 126,572 131,706 2024-11-18 $90.74 $85.00 20.2% 5.8% 22.0% 15.5% 21.2% 1.7% 0.0% 13.7M -469.1M -1.6M 1.72 54.37 N/A N/A 9,858 16,997 86,457 107,597 2024-11-19 $90.22 $87.50 20.3% 5.9% 22.1% 15.7% 22.4% 1.4% -0.5% 12.9M -449.2M -1.7M 1.33 46.62 N/A N/A 1,219 1,619 89,053 106,658 2024-11-20 $90.36 $87.50 20.3% 5.8% 21.9% 15.7% 21.0% 2.0% -0.3% 13.8M -453.3M -1.7M 0.36 48.09 N/A N/A 4,021 1,449 89,668 106,406 2024-11-21 $91.56 $87.50 19.0% 5.4% 20.4% 11.9% 21.1% 1.7% 0.6% 20.1M -505.3M -1.7M 0.43 49.08 N/A N/A 2,164 925 91,061 106,959 2024-11-22 $89.90 $87.50 19.2% 5.5% 21.4% 12.5% 19.9% 1.8% -0.5% 9.5M -436.8M -1.7M 0.61 50.69 N/A N/A 2,423 1,481 91,333 107,516 2024-11-25 $89.21 $87.50 20.0% 5.7% 21.8% 14.7% 20.5% 2.3% -0.7% 12.4M -392.5M -1.7M 0.19 52.39 N/A N/A 4,001 752 82,677 93,691 2024-11-26 $90.35 $87.50 18.6% 5.4% 22.0% 10.9% 20.1% 1.3% 0.3% 16.4M -454.6M -1.7M 0.36 60.12 N/A N/A 1,314 467 86,856 93,785 2024-11-27 $90.70 $87.50 18.4% 5.4% 21.6% 10.1% 20.5% 1.5% -0.2% 15.5M -467.0M -1.7M 0.14 55.23 N/A N/A 3,106 430 85,948 93,977 2024-11-29 $91.03 $87.50 18.8% 5.4% 21.5% 11.2% 20.2% 1.3% -0.1% 18.3M -476.1M -1.6M 0.22 69.06 N/A N/A 1,617 357 86,197 93,972
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