BSX Options History — December 2008

In December 2008, BSX traded between $5.91 and $7.80. ATM implied volatility averaged 81.3%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded below realized volatility by 22.3% (HV 20d: 103.6%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2008-12-22: Highest Volume — 13,003 contracts
2008-12-03: Largest IV drop — 28.7% change
2008-12-02: Highest IV Rank — 69.5%
2008-12-02: Largest Expected Move — 35.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.27	$5.91	$7.80	$5.91	$7.74
Max Pain	$11.59	$7.50	$12.50	$7.50	$12.50
ATM IV	81.3%	62.2%	124.1%	118.1%	62.9%
Expected Move	23.8%	17.8%	35.6%	33.9%	18.0%
HV 20d	103.6%	73.2%	131.4%	109.1%	73.2%
HV 60d	111.0%	107.8%	115.1%	107.8%	108.2%
IV Rank	39.7%	26.4%	69.5%	65.3%	26.9%
IV Percentile	82.3%	74.2%	98.0%	97.2%	74.2%
Term Structure	7.1%	-6.5%	14.6%	0.7%	13.1%
VWIV	80.7%	45.7%	108.1%	108.1%	62.9%
Skew 25d	7.7%	-15.7%	32.1%	7.6%	15.3%
Skew 10d	17.8%	-19.9%	54.5%	27.5%	22.5%
Call IV 25d	76.9%	48.7%	108.7%	108.7%	49.0%
Put IV 25d	84.6%	57.9%	117.9%	116.3%	64.3%
Bid-Ask Spread %	10.32	4.29	22.07	14.40	6.36
Gamma HHI	0.44	0.33	0.60	0.34	0.56
Net GEX	-1.0M	-1.4M	-604.0K	-604.0K	-1.4M
Net DEX	147.4M	135.8M	158.8M	135.8M	157.6M
Net VEX	-376.0K	-461.1K	-303.6K	-340.1K	-322.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.01	7.35	1.00	0.26
Total Volume	3,920.591	70	13,003	70	5,638
Total OI	564,591.273	554,530	576,454	561,167	554,530

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
2008-12-01	$5.91	$7.50	118.1%	33.9%	109.1%	65.3%	108.1%	7.6%	0.7%	-604.0K	135.8M	-340.1K	1.00	14.40	N/A	N/A	35	35	243,134	318,033
2008-12-02	$6.23	$7.50	124.1%	35.6%	112.3%	69.5%	92.2%	10.1%	-6.5%	-633.7K	141.6M	-340.5K	0.31	15.32	N/A	N/A	3,243	995	243,141	312,788
2008-12-03	$6.91	$7.50	88.5%	25.4%	119.9%	44.7%	88.6%	32.1%	6.4%	-879.0K	143.3M	-403.6K	0.04	9.95	N/A	N/A	8,948	402	246,291	312,538
2008-12-04	$6.57	$7.50	91.9%	26.3%	120.6%	47.0%	92.0%	22.9%	5.0%	-732.1K	140.3M	-374.5K	0.04	22.07	N/A	N/A	1,861	67	253,091	312,439
2008-12-05	$7.61	$12.50	81.7%	27.1%	131.4%	39.9%	95.1%	10.9%	4.1%	-1.0M	139.8M	-457.9K	0.35	11.73	N/A	N/A	3,612	1,258	252,485	312,476
2008-12-08	$7.53	$12.50	87.4%	26.5%	130.2%	43.9%	94.6%	9.8%	1.6%	-994.3K	136.3M	-461.1K	0.18	12.85	N/A	N/A	2,299	414	255,311	312,390
2008-12-09	$7.36	$12.50	84.4%	27.0%	129.9%	41.8%	100.1%	11.4%	2.4%	-963.0K	139.9M	-432.4K	0.13	13.27	N/A	N/A	402	54	255,263	312,322
2008-12-10	$7.22	$12.50	80.0%	26.0%	129.1%	38.7%	90.4%	6.2%	5.1%	-930.6K	140.2M	-417.7K	0.03	13.83	N/A	N/A	3,406	86	255,342	311,872
2008-12-11	$7.26	$12.50	87.6%	25.1%	122.0%	44.1%	87.4%	7.0%	6.6%	-955.2K	144.7M	-396.9K	7.35	15.14	N/A	N/A	195	1,434	258,447	311,928
2008-12-12	$7.17	$12.50	88.7%	25.4%	115.4%	44.8%	92.3%	5.8%	3.3%	-923.7K	145.6M	-396.3K	1.60	12.54	N/A	N/A	135	216	258,437	312,180
2008-12-15	$7.23	$12.50	85.6%	24.5%	113.9%	42.6%	85.9%	5.9%	7.6%	-959.5K	146.6M	-379.2K	0.17	14.58	N/A	N/A	3,943	668	258,514	311,821
2008-12-16	$7.43	$12.50	83.7%	24.0%	113.9%	41.3%	83.9%	7.5%	5.0%	-1.1M	146.8M	-396.4K	0.68	8.53	N/A	N/A	305	207	260,937	311,999
2008-12-17	$7.77	$12.50	81.0%	23.2%	114.9%	39.4%	81.1%	-15.7%	8.6%	-1.2M	145.5M	-407.5K	0.32	7.06	N/A	N/A	1,672	528	261,160	311,460
2008-12-18	$7.80	$12.50	77.6%	22.2%	107.8%	37.1%	77.7%	-9.1%	8.5%	-1.2M	143.7M	-398.6K	1.15	8.72	N/A	N/A	4,501	5,167	261,734	311,036
2008-12-19	$7.78	$12.50	73.4%	21.1%	82.4%	34.2%	71.6%	-4.3%	9.7%	-1.3M	149.7M	-376.5K	0.22	4.29	N/A	N/A	808	179	261,964	314,490
2008-12-22	$7.53	$12.50	68.8%	19.7%	75.9%	31.0%	69.3%	12.3%	12.2%	-1.2M	158.7M	-336.8K	0.84	5.87	N/A	N/A	7,049	5,954	254,652	304,306
2008-12-23	$7.37	$12.50	65.8%	18.9%	76.1%	28.9%	65.7%	6.7%	13.3%	-1.1M	155.2M	-342.9K	0.07	5.01	N/A	N/A	2,799	200	257,271	304,372
2008-12-24	$7.44	$12.50	65.4%	18.7%	76.1%	28.6%	45.7%	4.8%	12.1%	-1.2M	155.4M	-345.8K	0.04	4.75	N/A	N/A	2,668	105	255,464	304,478
2008-12-26	$7.39	$12.50	63.3%	18.1%	76.0%	27.1%	63.3%	7.8%	13.5%	-1.2M	157.8M	-327.6K	0.42	5.44	N/A	N/A	3,996	1,698	253,306	304,511
2008-12-29	$7.36	$12.50	62.2%	17.8%	76.1%	26.4%	62.0%	6.0%	14.6%	-1.2M	158.8M	-314.1K	0.01	7.71	N/A	N/A	5,655	79	253,430	303,816
2008-12-30	$7.39	$12.50	66.1%	19.0%	73.6%	29.1%	65.1%	8.3%	8.8%	-1.2M	158.8M	-303.6K	0.19	7.70	N/A	N/A	2,811	526	252,555	303,294
2008-12-31	$7.74	$12.50	62.9%	18.0%	73.2%	26.9%	62.9%	15.3%	13.1%	-1.4M	157.6M	-322.1K	0.26	6.36	N/A	N/A	4,458	1,180	251,167	303,363