BSX Options History — August 2007 In August 2007, BSX traded between $12.16 and $13.76. ATM implied volatility averaged 37.5%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 7.8% (HV 20d: 29.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.53.
Notable Days 2007-08-20 : Highest Volume — 32,410 contracts2007-08-16 : Largest IV spike — 86.8% change2007-08-10 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $12.86 $12.16 $13.76 $13.19 $12.83 Max Pain $13.04 $12.50 $15.00 $15.00 $12.50 ATM IV 37.5% 23.2% 47.1% 38.0% 33.7% Expected Move 11.1% 9.7% 12.4% 10.9% 9.7% HV 20d 29.7% 20.3% 33.7% 20.3% 32.3% HV 60d 23.1% 19.2% 25.2% 19.2% 25.1% IV Rank 70.3% 18.0% 100.0% 76.9% 54.1% IV Percentile 80.2% 7.7% 100.0% 90.3% 57.5% Term Structure 2.4% -2.5% 5.4% 1.0% 3.4% VWIV 39.2% 33.7% 47.5% 38.0% 33.7% Skew 25d -0.3% -13.6% 12.7% 12.7% 8.1% Skew 10d 1.3% -21.8% 19.6% 18.2% 11.1% Call IV 25d 37.5% 25.3% 44.4% 25.3% 25.6% Put IV 25d 37.2% 29.2% 48.5% 38.0% 33.7% Bid-Ask Spread % 9.18 4.56 13.81 11.55 9.46 Gamma HHI 0.21 0.19 0.25 0.22 0.21 Net GEX 1.5M 591.9K 2.6M 1.6M 1.4M Net DEX 16.1M -32.8M 53.5M 20.5M -8.8M Net VEX -1.9M -2.1M -1.6M -2.0M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.03 1.72 1.72 0.40 Total Volume 13,804.304 4,148 32,410 11,671 7,612 Total OI 827,150.696 755,698 870,802 853,298 829,187
Daily Data (23 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 2007-08-01 $13.19 $15.00 38.0% 10.9% 20.3% 76.9% 38.0% 12.7% 1.0% 1.6M 20.5M -2.0M 1.72 11.55 N/A N/A 4,297 7,374 620,054 233,244 2007-08-02 $13.43 $15.00 40.6% 11.6% 22.4% 86.9% 47.5% -1.8% -2.5% 1.9M 7.1M -2.0M 0.51 8.60 N/A N/A 16,945 8,652 620,821 221,564 2007-08-03 $13.09 $15.00 37.0% 10.6% 23.3% 72.9% 36.1% 5.8% 1.9% 1.8M 17.8M -2.0M 0.15 11.42 N/A N/A 16,564 2,520 632,097 225,081 2007-08-06 $12.91 $15.00 39.7% 11.4% 21.8% 83.4% 39.6% 3.5% 2.5% 1.7M 29.4M -2.0M 1.40 10.04 N/A N/A 4,917 6,898 638,624 226,149 2007-08-07 $12.93 $15.00 36.9% 12.3% 21.3% 72.6% 43.0% 3.6% 1.2% 1.7M 23.6M -2.0M 0.46 10.41 N/A N/A 6,181 2,836 640,013 226,064 2007-08-08 $13.20 $12.50 32.1% 12.2% 22.9% 54.4% 42.3% 5.9% 0.5% 2.0M 14.6M -2.0M 0.41 13.81 N/A N/A 6,229 2,575 644,649 226,153 2007-08-09 $13.76 $12.50 37.9% 11.4% 28.8% 76.6% 40.1% 2.9% 1.7% 2.6M -32.8M -2.1M 0.48 11.96 N/A N/A 15,778 7,585 612,853 226,321 2007-08-10 $13.08 $12.50 44.4% 11.9% 32.9% 100.0% 42.5% -5.2% 3.6% 2.0M 10.4M -2.0M 0.19 9.57 N/A N/A 14,831 2,786 618,477 231,903 2007-08-13 $13.04 $12.50 44.5% 12.0% 32.5% 100.0% 41.7% -4.2% 3.3% 1.8M 21.4M -1.9M 0.56 9.40 N/A N/A 2,655 1,493 617,784 232,038 2007-08-14 $13.03 $12.50 47.1% 12.2% 32.6% 100.0% 43.0% -5.3% 2.1% 1.7M 22.9M -1.9M 0.18 9.39 N/A N/A 5,259 962 618,571 232,916 2007-08-15 $12.91 $12.50 23.2% 11.7% 32.5% 18.0% 40.4% -4.3% 3.4% 1.7M 15.1M -2.0M 0.82 10.70 N/A N/A 4,677 3,849 617,970 232,431 2007-08-16 $12.74 $12.50 43.3% 12.4% 32.2% 87.1% 43.7% 4.1% 2.1% 1.5M 34.6M -1.8M 0.60 12.97 N/A N/A 5,450 3,285 619,885 233,146 2007-08-17 $12.52 $12.50 39.0% 11.2% 31.8% 72.2% 37.3% -6.5% 5.4% 2.3M 53.5M -1.7M 0.43 7.99 N/A N/A 11,336 4,900 621,631 234,031 2007-08-20 $12.23 $12.50 40.0% 11.5% 32.3% 75.6% 39.8% -10.8% 0.8% 591.9K 45.3M -1.6M 0.44 6.87 N/A N/A 22,512 9,898 546,048 209,650 2007-08-21 $12.16 $12.50 36.9% 10.6% 31.9% 65.1% 36.9% -13.6% 5.4% 809.6K 35.7M -1.6M 0.60 4.56 N/A N/A 10,405 6,267 563,215 209,565 2007-08-22 $12.47 $12.50 37.1% 10.6% 33.6% 65.7% 37.1% -11.2% 1.6% 817.2K 26.0M -1.7M 1.19 6.03 N/A N/A 5,082 6,026 562,202 213,785 2007-08-23 $12.71 $12.50 35.7% 10.2% 33.4% 60.9% 35.9% -7.7% 3.7% 948.7K 9.4M -1.8M 0.42 7.63 N/A N/A 9,192 3,904 565,460 212,769 2007-08-24 $12.69 $12.50 34.9% 10.0% 32.7% 58.2% 41.6% -8.8% 3.2% 1.1M 6.8M -1.8M 0.11 8.30 N/A N/A 7,586 865 572,010 213,069 2007-08-27 $12.65 $12.50 34.9% 10.0% 32.7% 58.2% 34.9% 6.3% 3.4% 885.3K 12.7M -1.7M 0.11 5.57 N/A N/A 18,346 1,945 576,455 213,842 2007-08-28 $12.57 $12.50 35.8% 10.3% 32.6% 61.4% 35.8% 5.7% 3.4% 1.2M 5.0M -1.8M 0.03 8.43 N/A N/A 17,149 441 589,134 213,637 2007-08-29 $12.85 $12.50 35.0% 10.0% 33.7% 58.6% 34.6% 8.3% 2.8% 1.4M -3.6M -1.8M 0.44 8.14 N/A N/A 5,054 2,245 599,991 213,284 2007-08-30 $12.69 $12.50 35.1% 10.1% 33.1% 59.0% 35.1% 6.1% 2.3% 1.3M 3.0M -1.8M 0.41 8.40 N/A N/A 8,591 3,545 602,525 214,168 2007-08-31 $12.83 $12.50 33.7% 9.7% 32.3% 54.1% 33.7% 8.1% 3.4% 1.4M -8.8M -1.8M 0.40 9.46 N/A N/A 5,434 2,178 612,839 216,348
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