BSX Options History — October 2007

In October 2007, BSX traded between $13.70 and $15.03. ATM implied volatility averaged 42.1%, placing in the 81.5% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 14.2% (HV 20d: 27.9%). 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 6 of 23 days. Put/call ratio averaged 0.77.

Notable Days

2007-10-11: Highest Volume — 53,582 contracts
2007-10-19: Largest IV drop — 18.3% change
2007-10-18: Highest IV Rank — 100.0%
2007-10-18: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.23	$13.70	$15.03	$14.12	$13.87
Max Pain	$14.57	$12.50	$15.00	$12.50	$15.00
ATM IV	42.1%	35.7%	48.3%	41.3%	39.0%
Expected Move	12.0%	10.2%	13.8%	11.8%	11.2%
HV 20d	27.9%	21.2%	35.3%	22.7%	34.9%
HV 60d	29.0%	26.9%	30.9%	27.4%	30.3%
IV Rank	81.5%	58.5%	100.0%	80.1%	69.4%
IV Percentile	91.2%	65.0%	100.0%	95.2%	81.3%
Term Structure	-2.1%	-9.0%	1.4%	0.1%	0.5%
VWIV	43.0%	35.7%	50.4%	47.8%	40.0%
Skew 25d	0.2%	-7.6%	10.3%	10.3%	3.7%
Skew 10d	-0.5%	-17.7%	19.6%	19.6%	11.5%
Call IV 25d	44.5%	37.6%	51.9%	39.4%	40.3%
Put IV 25d	44.7%	38.0%	49.7%	49.7%	44.0%
Bid-Ask Spread %	12.21	5.17	21.69	9.77	21.69
Gamma HHI	0.22	0.20	0.24	0.22	0.23
Net GEX	3.3M	1.0M	6.1M	3.2M	2.1M
Net DEX	-93.5M	-198.2M	-14.1M	-94.4M	-38.9M
Net VEX	-2.1M	-2.3M	-1.8M	-2.1M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.04	6.02	0.74	0.08
Total Volume	13,238.087	1,555	53,582	3,652	10,811
Total OI	924,120.609	887,855	968,032	887,855	949,554

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
2007-10-01	$14.12	$12.50	41.3%	11.8%	22.7%	80.1%	47.8%	10.3%	0.1%	3.2M	-94.4M	-2.1M	0.74	9.77	N/A	N/A	2,101	1,551	646,037	241,818
2007-10-02	$13.88	$12.50	42.4%	12.2%	22.2%	84.1%	43.4%	3.9%	0.2%	2.9M	-71.6M	-2.1M	0.45	11.08	N/A	N/A	1,770	792	647,011	242,474
2007-10-03	$13.91	$12.50	43.7%	12.5%	21.9%	88.4%	43.4%	0.2%	-0.2%	3.1M	-77.5M	-2.1M	6.02	7.40	N/A	N/A	1,592	9,584	647,123	242,690
2007-10-04	$13.92	$12.50	45.1%	12.9%	21.7%	93.2%	40.6%	0.2%	-1.1%	2.9M	-77.8M	-2.1M	0.37	6.67	N/A	N/A	1,131	424	648,136	248,529
2007-10-05	$14.26	$15.00	42.8%	11.7%	23.0%	85.2%	41.2%	1.2%	-1.6%	3.3M	-95.7M	-2.1M	0.31	9.92	N/A	N/A	6,849	2,145	648,362	248,375
2007-10-08	$14.19	$15.00	43.5%	12.1%	23.0%	87.8%	42.0%	-2.0%	-0.4%	3.5M	-104.3M	-2.1M	0.14	11.02	N/A	N/A	3,472	479	653,239	249,110
2007-10-09	$14.65	$15.00	40.5%	11.9%	24.1%	77.6%	44.1%	0.5%	-1.6%	4.6M	-149.1M	-2.2M	0.11	9.57	N/A	N/A	7,939	879	656,290	249,010
2007-10-10	$14.64	$15.00	40.9%	11.9%	21.4%	78.7%	42.4%	-3.6%	-1.7%	4.8M	-144.9M	-2.1M	0.49	11.70	N/A	N/A	1,845	901	659,258	249,375
2007-10-11	$15.01	$15.00	42.7%	12.2%	22.4%	85.0%	43.6%	2.2%	-2.5%	5.6M	-188.0M	-2.2M	0.49	10.94	N/A	N/A	36,080	17,502	659,767	249,445
2007-10-12	$15.02	$15.00	41.8%	12.0%	21.4%	81.9%	45.7%	1.0%	-2.5%	6.1M	-196.0M	-2.3M	0.33	12.89	N/A	N/A	16,746	5,520	676,588	262,308
2007-10-15	$15.03	$15.00	44.3%	12.7%	21.2%	90.6%	50.4%	-1.5%	-4.8%	6.1M	-198.2M	-2.3M	0.26	10.67	N/A	N/A	16,220	4,189	679,585	264,841
2007-10-16	$14.30	$15.00	46.0%	13.2%	28.9%	96.4%	43.9%	-7.6%	-6.0%	4.3M	-113.5M	-2.1M	2.56	10.68	N/A	N/A	3,514	8,980	682,280	265,903
2007-10-17	$14.14	$15.00	45.7%	13.1%	29.1%	95.2%	50.3%	-2.5%	-4.9%	3.7M	-93.9M	-2.1M	0.65	11.96	N/A	N/A	5,288	3,411	684,298	270,801
2007-10-18	$13.85	$15.00	48.3%	13.8%	30.1%	100.0%	48.2%	-3.7%	-9.0%	2.6M	-58.3M	-2.1M	2.32	11.09	N/A	N/A	5,269	12,219	684,988	272,837
2007-10-19	$14.42	$15.00	39.4%	11.3%	33.3%	70.9%	39.5%	-3.2%	0.3%	3.9M	-98.4M	-2.2M	0.38	18.93	N/A	N/A	9,668	3,630	687,278	280,754
2007-10-22	$14.30	$15.00	39.0%	11.2%	32.3%	69.6%	39.2%	2.6%	-0.8%	2.8M	-80.0M	-2.1M	0.41	10.96	N/A	N/A	6,022	2,474	661,543	262,125
2007-10-23	$14.55	$15.00	35.7%	10.2%	32.8%	58.5%	35.7%	0.9%	1.4%	3.1M	-97.5M	-2.1M	0.40	5.17	N/A	N/A	3,025	1,221	662,953	262,449
2007-10-24	$14.04	$15.00	38.4%	11.0%	35.3%	67.4%	38.8%	3.0%	-1.7%	2.1M	-53.4M	-2.0M	0.79	10.37	N/A	N/A	3,677	2,921	664,895	262,321
2007-10-25	$13.80	$15.00	40.3%	11.6%	35.1%	73.8%	40.2%	-1.9%	-2.6%	1.7M	-33.2M	-1.9M	0.21	18.20	N/A	N/A	7,134	1,534	665,206	263,342
2007-10-26	$13.76	$15.00	37.0%	10.6%	35.1%	63.0%	37.3%	0.4%	0.2%	1.3M	-21.8M	-1.9M	0.07	19.62	N/A	N/A	4,208	298	668,209	263,517
2007-10-29	$13.70	$15.00	43.1%	12.4%	34.8%	82.9%	43.7%	1.6%	-5.5%	1.0M	-14.1M	-1.8M	0.09	12.68	N/A	N/A	27,809	2,434	661,260	263,467
2007-10-30	$13.93	$15.00	46.9%	13.4%	34.9%	95.5%	47.1%	-2.0%	-4.5%	2.1M	-51.0M	-2.0M	0.04	17.76	N/A	N/A	37,829	1,389	683,745	261,678
2007-10-31	$13.87	$15.00	39.0%	11.2%	34.9%	69.4%	40.0%	3.7%	0.5%	2.1M	-38.9M	-2.0M	0.08	21.69	N/A	N/A	10,036	775	688,011	261,543