BSX Options History — May 2008

In May 2008, BSX traded between $13.01 and $13.73. ATM implied volatility averaged 37.9%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 9.4% (HV 20d: 28.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.24.

Notable Days

2008-05-19: Highest Volume — 14,609 contracts
2008-05-09: Largest IV spike — 57.2% change
2008-05-07: Highest IV Rank — 58.1%
2008-05-12: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.39	$13.01	$13.73	$13.56	$13.29
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	37.9%	24.3%	45.6%	35.2%	37.8%
Expected Move	11.1%	10.1%	11.9%	10.1%	10.8%
HV 20d	28.6%	26.0%	31.5%	31.5%	28.4%
HV 60d	31.8%	30.5%	33.1%	31.6%	31.3%
IV Rank	42.1%	13.4%	58.1%	36.4%	41.8%
IV Percentile	47.7%	2.4%	84.1%	31.0%	43.7%
Term Structure	2.9%	-1.4%	7.5%	7.5%	1.6%
VWIV	37.6%	33.2%	41.0%	33.2%	38.3%
Skew 25d	2.2%	-3.8%	12.9%	12.9%	-1.6%
Skew 10d	3.8%	-6.6%	19.5%	19.5%	-2.0%
Call IV 25d	35.8%	21.8%	40.3%	21.8%	39.0%
Put IV 25d	38.0%	33.4%	40.8%	34.7%	37.4%
Bid-Ask Spread %	10.09	5.68	20.82	5.68	8.71
Gamma HHI	0.42	0.39	0.50	0.47	0.40
Net GEX	1.4M	906.8K	2.2M	1.9M	1.1M
Net DEX	-73.6M	-111.8M	-37.9M	-100.6M	-43.4M
Net VEX	-1.3M	-1.4M	-1.3M	-1.4M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.22	5.98	0.24	0.22
Total Volume	4,271.952	645	14,609	645	891
Total OI	469,254.429	403,438	511,375	499,696	430,110

Daily Data (21 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
2008-05-01	$13.56	$12.50	35.2%	10.1%	31.5%	36.4%	33.2%	12.9%	7.5%	1.9M	-100.6M	-1.4M	0.24	5.68	N/A	N/A	520	125	285,462	214,234
2008-05-02	$13.42	$12.50	38.1%	10.9%	27.3%	42.5%	41.0%	8.1%	-0.7%	1.7M	-92.6M	-1.4M	1.98	6.48	N/A	N/A	434	858	284,402	214,284
2008-05-05	$13.29	$12.50	41.5%	11.3%	26.0%	49.6%	37.7%	1.6%	5.6%	1.5M	-80.4M	-1.4M	0.53	10.24	N/A	N/A	5,277	2,809	284,500	214,841
2008-05-06	$13.73	$12.50	38.4%	11.5%	28.5%	43.0%	39.7%	5.9%	3.2%	2.2M	-111.1M	-1.4M	0.38	7.93	N/A	N/A	2,581	971	287,980	216,432
2008-05-07	$13.42	$12.50	45.6%	11.4%	29.4%	58.1%	40.0%	0.4%	5.7%	1.6M	-91.3M	-1.4M	0.61	11.26	N/A	N/A	3,116	1,898	285,565	216,682
2008-05-08	$13.68	$12.50	24.3%	11.6%	29.6%	13.4%	36.1%	4.8%	4.8%	1.5M	-111.8M	-1.4M	0.47	10.53	N/A	N/A	683	320	286,629	218,117
2008-05-09	$13.42	$12.50	38.2%	11.7%	28.4%	42.5%	39.5%	1.4%	4.3%	1.6M	-91.0M	-1.4M	1.44	9.29	N/A	N/A	1,842	2,655	286,406	218,270
2008-05-12	$13.41	$12.50	45.5%	11.9%	28.1%	58.0%	36.8%	3.1%	2.6%	1.5M	-89.2M	-1.3M	1.38	10.05	N/A	N/A	603	832	287,871	220,390
2008-05-13	$13.01	$12.50	36.4%	11.3%	29.1%	38.9%	39.4%	-3.8%	5.0%	906.8K	-64.3M	-1.3M	1.18	9.93	N/A	N/A	3,105	3,679	287,945	220,787
2008-05-14	$13.29	$12.50	31.7%	11.3%	29.9%	28.9%	38.6%	-1.2%	3.9%	1.2M	-90.8M	-1.3M	0.45	8.95	N/A	N/A	3,672	1,635	287,976	220,824
2008-05-15	$13.43	$12.50	38.3%	11.0%	29.7%	42.9%	34.9%	3.9%	4.7%	1.3M	-96.4M	-1.3M	0.38	10.54	N/A	N/A	1,108	422	289,073	221,861
2008-05-16	$13.40	$12.50	38.6%	11.1%	29.5%	43.4%	38.5%	2.8%	3.8%	1.3M	-95.4M	-1.3M	0.54	10.08	N/A	N/A	1,535	824	289,412	221,963
2008-05-19	$13.38	$12.50	39.6%	11.3%	27.8%	45.5%	38.0%	2.1%	1.8%	1.3M	-50.4M	-1.3M	1.54	10.57	N/A	N/A	5,759	8,850	226,808	176,630
2008-05-20	$13.55	$12.50	39.2%	11.2%	27.8%	44.7%	38.1%	2.9%	-1.0%	1.4M	-56.8M	-1.3M	0.49	13.71	N/A	N/A	7,176	3,545	230,533	184,629
2008-05-21	$13.47	$12.50	40.2%	11.5%	26.6%	46.7%	39.7%	3.4%	-1.4%	1.4M	-53.8M	-1.3M	3.77	10.99	N/A	N/A	274	1,032	234,571	186,644
2008-05-22	$13.50	$12.50	37.7%	10.8%	26.5%	41.5%	35.3%	3.6%	3.0%	1.3M	-54.5M	-1.3M	0.25	20.82	N/A	N/A	800	201	234,694	187,160
2008-05-23	$13.12	$12.50	36.8%	10.5%	28.5%	39.7%	36.8%	-1.6%	1.9%	1.0M	-37.9M	-1.3M	0.76	7.95	N/A	N/A	1,456	1,111	235,235	187,319
2008-05-27	$13.44	$12.50	38.0%	10.9%	29.4%	42.2%	36.6%	1.8%	2.4%	1.3M	-52.0M	-1.3M	0.41	9.87	N/A	N/A	5,314	2,165	236,135	188,004
2008-05-28	$13.16	$12.50	38.9%	11.1%	29.0%	44.0%	34.5%	-2.0%	-0.5%	1.0M	-37.9M	-1.3M	2.98	9.86	N/A	N/A	771	2,301	236,748	189,827
2008-05-29	$13.27	$12.50	36.8%	10.5%	29.2%	39.7%	36.8%	-2.9%	3.0%	1.1M	-43.9M	-1.3M	5.98	8.40	N/A	N/A	940	5,621	236,516	190,874
2008-05-30	$13.29	$12.50	37.8%	10.8%	28.4%	41.8%	38.3%	-1.6%	1.6%	1.1M	-43.4M	-1.3M	0.22	8.71	N/A	N/A	731	160	236,706	193,404