BSX Options History — February 2007 In February 2007, BSX traded between $16.01 and $18.33. ATM implied volatility averaged 24.9%. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.0% (HV 20d: 24.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.94.
Notable Days 2007-02-15 : Highest Volume — 45,935 contracts2007-02-27 : Largest IV spike — 19.2% change2007-02-02 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $17.22 $16.01 $18.33 $18.33 $16.31 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 24.9% 21.3% 28.4% 28.4% 22.5% Expected Move 7.1% 6.1% 8.3% 8.1% 6.5% HV 20d 24.0% 22.9% 26.0% 24.9% 23.4% Term Structure 4.1% -1.0% 6.4% 1.2% -1.0% VWIV 24.7% 20.2% 28.9% 28.4% 20.2% Skew 25d -2.7% -9.4% 1.4% -4.3% -9.4% Skew 10d -3.0% -11.8% 1.9% -3.7% -11.6% Call IV 25d 24.0% 18.7% 32.1% 32.1% 25.9% Put IV 25d 21.3% 16.5% 27.8% 27.8% 16.5% Bid-Ask Spread % 6.65 4.37 11.90 8.02 4.37 Gamma HHI 0.23 0.20 0.28 0.28 0.21 Net GEX 4.0M 2.9M 5.8M 5.8M 4.1M Net DEX -175.9M -310.1M -79.1M -310.1M -108.4M Net VEX -2.8M -3.1M -2.5M -3.0M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.13 3.67 1.99 3.67 Total Volume 13,071.632 3,089 45,935 22,027 10,817 Total OI 709,478.474 636,900 781,297 704,520 667,138
Daily Data (19 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 2007-02-01 $18.33 $17.50 28.4% 8.1% 24.9% 0.0% 28.4% -4.3% 1.2% 5.8M -310.1M -3.0M 1.99 8.02 N/A N/A 7,368 14,659 489,673 214,847 2007-02-02 $18.26 $17.50 28.3% 8.3% 25.0% 0.0% 28.2% -0.6% 3.2% 5.6M -303.9M -3.1M 0.59 11.90 N/A N/A 5,716 3,348 491,927 224,692 2007-02-05 $18.08 $17.50 27.2% 8.0% 25.4% 0.0% 28.1% -1.0% 4.0% 5.0M -278.8M -3.0M 2.06 9.60 N/A N/A 2,428 4,993 494,039 226,384 2007-02-06 $17.50 $17.50 27.8% 7.7% 24.2% 0.0% 26.4% -5.4% 4.5% 3.9M -206.9M -2.9M 0.57 5.48 N/A N/A 26,125 14,917 494,388 228,312 2007-02-07 $17.36 $17.50 26.7% 7.1% 24.0% 0.0% 24.8% 1.4% 6.4% 2.9M -193.0M -3.0M 0.56 5.75 N/A N/A 9,549 5,314 503,801 239,565 2007-02-08 $17.49 $17.50 26.3% 7.5% 23.7% 0.0% 26.1% -7.1% 4.0% 3.1M -203.2M -2.9M 0.80 5.50 N/A N/A 6,045 4,830 498,214 239,365 2007-02-09 $17.37 $17.50 25.6% 7.3% 23.3% 0.0% 24.5% 1.4% 5.8% 3.4M -190.2M -2.9M 0.27 5.49 N/A N/A 4,286 1,175 502,764 241,983 2007-02-12 $17.04 $17.50 26.5% 7.6% 23.7% 0.0% 26.5% -3.4% 3.9% 3.2M -133.5M -2.8M 1.20 4.76 N/A N/A 5,979 7,186 505,181 242,183 2007-02-13 $17.12 $17.50 25.5% 7.3% 23.8% 0.0% 25.2% -1.6% 5.8% 3.2M -139.0M -2.8M 0.73 6.48 N/A N/A 1,897 1,390 508,731 246,913 2007-02-14 $17.21 $17.50 24.2% 6.9% 23.9% 0.0% 24.2% -1.3% 6.1% 3.3M -146.5M -2.8M 0.55 4.88 N/A N/A 2,022 1,114 509,796 246,981 2007-02-15 $17.06 $17.50 24.0% 6.9% 23.9% 0.0% 23.8% -2.2% 5.6% 3.1M -120.5M -2.8M 0.29 5.32 N/A N/A 35,505 10,430 510,108 247,266 2007-02-16 $17.01 $17.50 23.3% 6.7% 23.7% 0.0% 23.3% -2.9% 6.2% 3.9M -131.2M -2.8M 0.49 6.76 N/A N/A 6,050 2,946 531,884 249,413 2007-02-20 $16.96 $17.50 23.1% 6.6% 23.7% 0.0% 23.1% -3.0% 3.4% 3.9M -151.0M -2.7M 0.26 6.88 N/A N/A 12,922 3,407 455,901 180,999 2007-02-21 $17.04 $17.50 22.0% 6.3% 22.9% 0.0% 22.1% -2.0% 3.5% 4.5M -162.2M -2.8M 0.56 5.97 N/A N/A 7,071 3,971 467,752 181,631 2007-02-22 $17.10 $17.50 21.4% 6.1% 23.0% 0.0% 21.4% -1.3% 4.0% 4.6M -171.7M -2.8M 0.13 5.81 N/A N/A 2,724 365 472,016 183,084 2007-02-23 $17.12 $17.50 21.3% 6.1% 23.0% 0.0% 21.3% -1.0% 3.9% 4.8M -171.9M -2.8M 1.30 6.99 N/A N/A 2,820 3,679 474,079 183,217 2007-02-26 $16.79 $17.50 22.7% 6.5% 23.7% 0.0% 22.7% -2.9% 2.7% 4.5M -141.6M -2.7M 1.48 8.96 N/A N/A 1,576 2,332 476,054 186,218 2007-02-27 $16.01 $17.50 27.0% 7.7% 26.0% 0.0% 28.9% -4.4% 5.2% 3.6M -79.1M -2.5M 0.33 7.50 N/A N/A 8,581 2,824 476,187 187,405 2007-02-28 $16.31 $17.50 22.5% 6.5% 23.4% 0.0% 20.2% -9.4% -1.0% 4.1M -108.4M -2.6M 3.67 4.37 N/A N/A 2,316 8,501 479,862 187,276
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