BSX Options History — October 2008 In October 2008, BSX traded between $7.11 and $11.47. ATM implied volatility averaged 98.3%, placing in the 66.9% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded below realized volatility by 12.4% (HV 20d: 110.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.88.
Notable Days 2008-10-08 : Highest Volume — 42,083 contracts2008-10-06 : Largest IV spike — 39.9% change2008-10-03 : Highest IV Rank — 100.0%2008-10-10 : Largest Expected Move — 35.4%Monthly Statistics Metric Avg Min Max Open Close Price $8.96 $7.11 $11.47 $11.34 $9.03 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 98.3% 51.5% 168.0% 54.5% 83.2% Expected Move 26.6% 14.8% 35.4% 15.6% 23.8% HV 20d 110.7% 78.2% 133.1% 78.8% 133.1% HV 60d 76.3% 57.9% 89.6% 58.0% 89.6% IV Rank 66.9% 42.0% 100.0% 74.9% 42.0% IV Percentile 97.0% 90.9% 100.0% 92.1% 92.5% Term Structure -5.1% -17.7% 9.0% -0.5% -1.2% VWIV 91.0% 52.3% 124.3% 56.9% 85.7% Skew 25d 10.4% -11.6% 24.1% 15.4% 11.1% Skew 10d 17.4% -29.6% 55.4% 26.2% 5.2% Call IV 25d 89.1% 48.8% 117.8% 55.4% 85.5% Put IV 25d 99.5% 66.2% 137.9% 70.8% 96.7% Bid-Ask Spread % 23.24 9.94 35.13 15.80 12.92 Gamma HHI 0.30 0.29 0.31 0.30 0.29 Net GEX -1.0M -1.5M -499.7K -1.3M -1.3M Net DEX 122.4M 85.9M 145.9M 85.9M 120.2M Net VEX -857.7K -1.1M -587.1K -1.0M -851.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.88 0.13 6.42 6.42 0.56 Total Volume 10,241.913 873 42,083 35,977 873 Total OI 610,348.217 546,039 641,590 546,039 638,638
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 2008-10-01 $11.34 $12.50 54.5% 15.6% 78.8% 74.9% 56.9% 15.4% -0.5% -1.3M 85.9M -1.0M 6.42 15.80 N/A N/A 4,849 31,128 254,695 291,344 2008-10-02 $11.47 $12.50 51.5% 14.8% 78.2% 68.0% 52.3% 24.1% 9.0% -1.5M 85.9M -1.1M 0.24 20.99 N/A N/A 2,909 687 255,258 317,197 2008-10-03 $11.05 $12.50 65.8% 18.9% 78.3% 100.0% 63.6% -2.5% 5.9% -1.5M 94.0M -1.1M 0.95 23.52 N/A N/A 939 894 253,781 313,506 2008-10-06 $10.33 $12.50 92.0% 22.5% 81.2% 100.0% 75.8% 15.5% -5.8% -1.3M 115.3M -1.0M 1.46 21.91 N/A N/A 2,676 3,902 253,888 316,884 2008-10-07 $9.96 $12.50 94.0% 25.0% 81.7% 100.0% 95.8% 3.8% -8.0% -1.1M 113.9M -983.1K 0.45 28.99 N/A N/A 17,628 7,961 254,841 317,223 2008-10-08 $8.95 $12.50 112.6% 27.4% 87.5% 100.0% 95.3% 1.1% -13.9% -989.6K 135.1M -872.3K 0.50 28.55 N/A N/A 28,058 14,025 258,297 320,358 2008-10-09 $8.39 $12.50 129.7% 32.0% 84.4% 100.0% 102.0% 8.7% -17.7% -766.5K 122.9M -855.0K 0.45 33.61 N/A N/A 5,652 2,545 284,503 330,166 2008-10-10 $7.31 $12.50 168.0% 35.4% 92.6% 100.0% 124.3% 20.1% -16.0% -499.7K 113.0M -773.4K 4.92 30.06 N/A N/A 3,052 15,024 286,925 330,287 2008-10-13 $9.22 $12.50 118.3% 27.0% 131.5% 66.0% 102.6% 19.7% -3.6% -806.3K 119.8M -948.7K 1.73 32.33 N/A N/A 3,732 6,456 288,103 338,945 2008-10-14 $9.30 $12.50 110.5% 27.1% 130.0% 60.6% 97.3% 14.3% -4.7% -892.4K 119.0M -938.8K 0.72 25.85 N/A N/A 3,103 2,230 290,234 341,756 2008-10-15 $8.75 $12.50 96.5% 31.3% 131.1% 51.1% 98.8% 9.8% -7.4% -783.0K 120.8M -894.8K 0.13 35.13 N/A N/A 5,289 689 290,799 339,986 2008-10-16 $8.64 $12.50 115.3% 33.1% 122.1% 64.0% 101.6% 16.6% -14.6% -753.3K 123.5M -874.3K 5.48 29.05 N/A N/A 1,795 9,840 292,702 339,816 2008-10-17 $8.67 $12.50 104.6% 30.0% 121.8% 56.6% 102.3% 4.2% -10.0% -899.6K 131.4M -865.1K 2.64 25.01 N/A N/A 831 2,194 292,633 348,957 2008-10-20 $8.90 $12.50 89.3% 25.6% 120.3% 46.1% 87.4% 6.8% -2.9% -1.1M 120.1M -856.1K 0.83 16.15 N/A N/A 605 500 279,176 328,703 2008-10-21 $8.62 $12.50 101.3% 29.0% 120.2% 54.4% 96.9% 16.5% -3.4% -1.1M 127.4M -810.8K 1.03 9.94 N/A N/A 7,186 7,390 279,042 330,313 2008-10-22 $8.19 $12.50 99.8% 28.6% 120.2% 53.3% 97.4% -11.6% -4.4% -971.0K 130.3M -763.5K 4.84 21.43 N/A N/A 2,128 10,302 285,083 334,596 2008-10-23 $8.45 $12.50 96.1% 27.6% 120.3% 50.8% 92.0% 1.1% -4.3% -1.1M 134.4M -789.6K 1.14 12.83 N/A N/A 1,359 1,548 285,243 342,349 2008-10-24 $7.93 $12.50 92.6% 26.6% 121.2% 48.4% 93.5% 11.4% 0.2% -1.0M 139.9M -702.2K 3.52 21.79 N/A N/A 1,132 3,990 283,729 339,677 2008-10-27 $7.11 $12.50 95.0% 27.2% 123.8% 50.0% 91.0% 9.1% -1.6% -855.5K 145.2M -587.1K 0.44 28.07 N/A N/A 874 385 284,541 341,856 2008-10-28 $7.71 $12.50 95.6% 27.4% 127.8% 50.5% 97.5% 17.2% -3.6% -1.0M 145.9M -655.7K 2.56 22.96 N/A N/A 1,061 2,718 284,507 341,549 2008-10-29 $8.03 $12.50 93.7% 26.9% 127.9% 49.2% 89.8% 15.4% -3.6% -1.1M 143.1M -682.1K 0.79 23.16 N/A N/A 849 670 284,906 342,904 2008-10-30 $8.71 $12.50 100.3% 28.8% 132.3% 53.7% 93.3% 11.0% -4.9% -1.2M 128.1M -796.9K 1.39 14.38 N/A N/A 5,811 8,095 285,159 342,954 2008-10-31 $9.03 $12.50 83.2% 23.8% 133.1% 42.0% 85.7% 11.1% -1.2% -1.3M 120.2M -851.0K 0.56 12.92 N/A N/A 560 313 288,516 350,122
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