BSX Options History — April 2008

In April 2008, BSX traded between $12.48 and $14.11. ATM implied volatility averaged 42.8%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 6.6% (HV 20d: 36.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.13.

Notable Days

2008-04-23: Highest Volume — 21,150 contracts
2008-04-22: Largest IV drop — 23.4% change
2008-04-21: Highest IV Rank — 68.9%
2008-04-21: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.10	$12.48	$14.11	$13.60	$13.33
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	42.8%	35.8%	50.7%	41.3%	38.2%
Expected Move	12.3%	10.3%	14.5%	11.8%	10.9%
HV 20d	36.3%	30.8%	39.7%	34.9%	30.9%
HV 60d	32.7%	31.3%	35.4%	35.4%	31.5%
IV Rank	52.4%	37.5%	68.9%	49.1%	42.6%
IV Percentile	71.5%	33.7%	92.1%	71.8%	49.6%
Term Structure	1.6%	-2.9%	6.7%	6.7%	2.8%
VWIV	42.0%	31.4%	51.9%	42.7%	38.1%
Skew 25d	7.5%	-2.0%	28.2%	-2.0%	14.3%
Skew 10d	15.6%	0.9%	56.2%	0.9%	19.9%
Call IV 25d	38.5%	23.7%	50.3%	44.0%	24.1%
Put IV 25d	46.0%	35.4%	57.4%	42.1%	38.3%
Bid-Ask Spread %	9.05	6.14	14.19	14.19	11.01
Gamma HHI	0.43	0.36	0.52	0.47	0.46
Net GEX	1.3M	613.9K	2.2M	1.7M	1.7M
Net DEX	-69.0M	-125.0M	-29.6M	-100.8M	-88.0M
Net VEX	-1.3M	-1.5M	-1.3M	-1.4M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.09	7.04	0.43	0.68
Total Volume	8,637.5	411	21,150	11,040	11,186
Total OI	456,228.909	434,031	492,107	434,031	492,107

Daily Data (22 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
2008-04-01	$13.60	$12.50	41.3%	11.8%	34.9%	49.1%	42.7%	-2.0%	6.7%	1.7M	-100.8M	-1.4M	0.43	14.19	N/A	N/A	7,705	3,335	257,022	177,009
2008-04-02	$13.59	$12.50	44.1%	12.6%	34.9%	55.0%	42.8%	2.6%	3.5%	1.8M	-101.5M	-1.4M	0.12	10.03	N/A	N/A	14,422	1,799	260,719	179,559
2008-04-03	$13.52	$12.50	43.4%	12.4%	35.1%	53.5%	31.4%	0.1%	3.8%	1.9M	-103.1M	-1.5M	0.69	10.26	N/A	N/A	1,258	873	273,864	180,252
2008-04-04	$14.11	$12.50	41.3%	11.6%	37.5%	49.2%	42.4%	5.1%	-0.1%	2.2M	-125.0M	-1.4M	0.24	6.14	N/A	N/A	7,682	1,812	257,504	180,976
2008-04-07	$13.74	$12.50	44.9%	13.4%	37.5%	56.7%	44.7%	4.8%	-0.0%	2.0M	-107.5M	-1.4M	2.85	8.92	N/A	N/A	2,497	7,117	261,788	181,793
2008-04-08	$13.63	$12.50	49.2%	13.8%	37.8%	65.7%	45.6%	6.4%	-2.3%	1.8M	-97.9M	-1.4M	1.33	7.06	N/A	N/A	1,939	2,578	261,979	188,166
2008-04-09	$13.46	$12.50	44.3%	13.5%	37.9%	55.3%	42.9%	7.6%	-0.3%	1.6M	-87.1M	-1.4M	0.22	9.61	N/A	N/A	1,115	246	261,917	189,846
2008-04-10	$13.27	$12.50	46.4%	13.3%	38.1%	59.9%	46.2%	8.3%	-0.9%	1.4M	-77.4M	-1.3M	7.04	8.49	N/A	N/A	906	6,374	261,488	189,797
2008-04-11	$12.88	$12.50	43.9%	12.6%	39.7%	54.5%	43.9%	6.1%	1.4%	1.0M	-52.6M	-1.3M	1.50	9.33	N/A	N/A	2,217	3,322	261,654	195,017
2008-04-14	$12.76	$12.50	45.5%	13.0%	39.2%	57.9%	45.2%	5.3%	0.5%	951.7K	-49.0M	-1.3M	0.89	10.55	N/A	N/A	218	193	261,308	194,339
2008-04-15	$12.48	$12.50	45.8%	13.1%	38.0%	58.5%	45.9%	4.8%	0.0%	731.1K	-29.6M	-1.3M	4.58	6.50	N/A	N/A	1,529	7,006	261,401	194,371
2008-04-16	$12.58	$12.50	44.5%	12.7%	36.3%	55.8%	44.4%	6.7%	1.8%	708.5K	-36.4M	-1.3M	0.38	8.32	N/A	N/A	984	372	261,573	199,732
2008-04-17	$12.48	$12.50	45.5%	13.0%	36.4%	58.0%	45.5%	5.5%	0.4%	613.9K	-30.9M	-1.3M	0.09	6.97	N/A	N/A	2,155	191	261,864	199,820
2008-04-18	$12.65	$12.50	45.6%	13.1%	36.5%	58.2%	45.6%	8.0%	0.4%	880.6K	-45.7M	-1.3M	0.21	7.32	N/A	N/A	7,457	1,536	262,955	199,928
2008-04-21	$13.03	$12.50	50.7%	14.5%	36.1%	68.9%	51.9%	6.5%	-2.9%	1.2M	-61.2M	-1.3M	0.56	14.00	N/A	N/A	11,446	6,443	250,800	188,475
2008-04-22	$12.90	$12.50	38.9%	11.1%	36.2%	44.0%	37.5%	28.2%	4.0%	1.0M	-51.4M	-1.3M	0.48	7.39	N/A	N/A	8,698	4,137	250,800	188,475
2008-04-23	$12.64	$12.50	40.6%	11.6%	36.3%	47.6%	40.5%	9.0%	1.9%	876.1K	-38.4M	-1.3M	0.24	8.51	N/A	N/A	17,118	4,032	257,516	195,200
2008-04-24	$12.60	$12.50	40.5%	11.6%	36.2%	47.5%	40.5%	5.9%	1.6%	941.8K	-41.4M	-1.3M	0.93	7.59	N/A	N/A	8,043	7,508	265,448	197,712
2008-04-25	$12.77	$12.50	36.3%	10.4%	36.0%	38.5%	36.3%	9.5%	4.1%	1.0M	-48.3M	-1.3M	0.17	8.68	N/A	N/A	3,164	553	271,338	203,758
2008-04-28	$12.94	$12.50	36.2%	10.4%	35.6%	38.5%	36.2%	10.8%	3.6%	1.2M	-60.3M	-1.3M	0.51	8.42	N/A	N/A	3,241	1,645	273,129	203,923
2008-04-29	$13.28	$12.50	35.8%	10.3%	30.8%	37.5%	34.8%	11.7%	5.6%	1.5M	-85.4M	-1.4M	0.71	9.86	N/A	N/A	8,189	5,784	275,897	204,817
2008-04-30	$13.33	$12.50	38.2%	10.9%	30.9%	42.6%	38.1%	14.3%	2.8%	1.7M	-88.0M	-1.4M	0.68	11.01	N/A	N/A	6,652	4,534	281,855	210,252