BSX Options History — July 2008 In July 2008, BSX traded between $11.75 and $13.89. ATM implied volatility averaged 42.7%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 0.7% (HV 20d: 42.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.39.
Notable Days 2008-07-21 : Highest Volume — 45,330 contracts2008-07-21 : Largest IV spike — 23.1% change2008-07-21 : Highest IV Rank — 56.0%2008-07-21 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $12.54 $11.75 $13.89 $12.19 $11.89 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 42.7% 37.6% 46.3% 39.6% 42.6% Expected Move 12.3% 10.8% 13.3% 11.3% 12.2% HV 20d 42.1% 31.8% 55.2% 32.6% 54.9% HV 60d 33.8% 29.2% 40.2% 29.2% 39.6% IV Rank 47.8% 36.1% 56.0% 40.6% 47.7% IV Percentile 66.9% 30.6% 85.7% 49.6% 65.9% Term Structure -0.6% -6.6% 3.0% 2.8% -1.9% VWIV 43.5% 39.1% 50.4% 39.6% 42.6% Skew 25d 1.7% -17.1% 46.7% -1.5% -7.2% Skew 10d 7.6% -28.6% 70.9% -0.3% -6.5% Call IV 25d 42.7% 34.0% 50.4% 35.9% 41.3% Put IV 25d 44.5% 32.2% 82.2% 34.5% 34.1% Bid-Ask Spread % 9.14 5.34 12.74 9.81 11.28 Gamma HHI 0.34 0.32 0.38 0.33 0.33 Net GEX -575.5K -1.5M 965.5K -489.7K -1.5M Net DEX 13.2M -62.6M 60.5M 25.9M 52.3M Net VEX -1.2M -1.3M -1.2M -1.2M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.39 0.09 6.04 1.64 0.12 Total Volume 9,193.455 1,730 45,330 5,903 2,121 Total OI 500,587.682 463,761 553,140 463,761 553,140
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 2008-07-01 $12.19 $12.50 39.6% 11.3% 32.6% 40.6% 39.6% -1.5% 2.8% -489.7K 25.9M -1.2M 1.64 9.81 N/A N/A 2,238 3,665 233,950 229,811 2008-07-02 $12.41 $12.50 39.5% 11.3% 33.2% 40.4% 39.5% 2.8% 2.0% -288.6K 11.9M -1.2M 1.48 9.29 N/A N/A 1,129 1,671 235,543 231,802 2008-07-03 $12.35 $12.50 39.1% 11.2% 31.9% 39.6% 39.1% 46.7% 3.0% -408.6K 17.0M -1.2M 2.26 11.17 N/A N/A 1,566 3,537 235,574 232,246 2008-07-07 $12.50 $12.50 38.7% 12.4% 31.8% 38.6% 42.1% 5.7% -0.6% -499.1K 14.7M -1.2M 0.86 5.69 N/A N/A 1,192 1,029 235,169 235,286 2008-07-08 $12.85 $12.50 44.5% 13.0% 33.5% 51.8% 45.0% 6.9% -2.5% -52.1K -6.6M -1.3M 6.04 9.44 N/A N/A 908 5,486 235,238 233,969 2008-07-09 $12.56 $12.50 42.2% 12.4% 33.9% 46.6% 43.2% 3.0% 0.3% -479.5K 7.4M -1.2M 3.86 8.96 N/A N/A 1,031 3,981 235,185 235,913 2008-07-10 $12.23 $12.50 44.9% 12.9% 34.4% 52.8% 44.9% 6.0% -1.6% -827.6K 30.2M -1.2M 0.72 9.29 N/A N/A 1,759 1,258 235,443 239,627 2008-07-11 $12.09 $12.50 45.4% 13.0% 32.8% 53.8% 45.5% 5.5% -2.4% -862.7K 33.4M -1.2M 0.77 11.19 N/A N/A 2,364 1,826 235,310 239,383 2008-07-14 $12.44 $12.50 44.3% 12.7% 34.6% 51.4% 44.1% 4.2% -1.2% -804.2K 18.9M -1.2M 0.37 6.56 N/A N/A 1,263 467 236,673 240,621 2008-07-15 $12.85 $12.50 45.4% 13.0% 35.4% 54.0% 45.1% 6.2% -1.3% -390.1K -5.8M -1.2M 1.22 12.74 N/A N/A 2,927 3,585 238,461 240,957 2008-07-16 $13.49 $12.50 44.9% 12.9% 39.8% 52.8% 41.5% 3.9% -0.5% 360.1K -40.9M -1.3M 1.51 11.57 N/A N/A 5,715 8,649 238,131 243,293 2008-07-17 $13.66 $12.50 42.6% 12.2% 40.0% 47.4% 42.4% 6.3% 1.7% 525.1K -46.1M -1.3M 0.21 12.09 N/A N/A 2,875 595 241,480 251,106 2008-07-18 $13.89 $12.50 37.6% 10.8% 39.5% 36.1% 44.7% 9.7% 0.1% 965.5K -62.6M -1.3M 1.28 9.12 N/A N/A 4,790 6,135 240,378 251,272 2008-07-21 $13.80 $12.50 46.3% 13.3% 35.5% 56.0% 47.8% 7.0% -6.6% 747.8K -55.8M -1.3M 0.61 9.97 N/A N/A 28,089 17,241 234,253 250,712 2008-07-22 $12.28 $12.50 44.0% 12.6% 54.4% 50.7% 44.0% 3.3% 0.2% -1.1M 36.5M -1.2M 0.86 5.34 N/A N/A 15,180 13,021 258,063 264,276 2008-07-23 $12.48 $12.50 40.1% 11.5% 54.3% 41.9% 40.2% -12.6% 2.2% -1.0M 25.2M -1.3M 1.03 6.76 N/A N/A 8,459 8,671 263,220 267,827 2008-07-24 $12.19 $12.50 42.5% 12.2% 54.7% 47.2% 42.3% -12.8% 1.8% -1.2M 37.3M -1.3M 2.61 6.72 N/A N/A 995 2,597 267,677 274,069 2008-07-25 $12.09 $12.50 42.8% 12.3% 53.9% 47.9% 50.4% -17.1% -0.8% -1.3M 41.1M -1.3M 0.09 7.68 N/A N/A 15,853 1,377 267,640 275,943 2008-07-28 $11.82 $12.50 46.0% 13.2% 54.5% 55.3% 45.8% -11.4% -2.4% -1.3M 51.0M -1.2M 1.78 10.24 N/A N/A 1,893 3,378 275,963 276,089 2008-07-29 $12.00 $12.50 43.7% 12.5% 54.7% 50.0% 43.7% -5.5% -1.9% -1.3M 44.1M -1.2M 0.83 7.56 N/A N/A 1,802 1,492 275,889 275,004 2008-07-30 $11.75 $12.50 43.6% 12.5% 55.2% 49.8% 43.6% -10.8% -3.4% -1.5M 60.5M -1.2M 0.51 8.61 N/A N/A 5,609 2,837 276,470 274,873 2008-07-31 $11.89 $12.50 42.6% 12.2% 54.9% 47.7% 42.6% -7.2% -1.9% -1.5M 52.3M -1.2M 0.12 11.28 N/A N/A 1,895 226 278,627 274,513
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