BSX Options History — March 2009

In March 2009, BSX traded between $6.14 and $8.57. ATM implied volatility averaged 66.0%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded below realized volatility by 5.7% (HV 20d: 71.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2009-03-13: Highest Volume — 12,929 contracts
2009-03-10: Largest IV spike — 42.3% change
2009-03-02: Highest IV Rank — 36.5%
2009-03-09: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.42	$6.14	$8.57	$6.64	$7.95
Max Pain	$7.95	$7.50	$10.00	$10.00	$7.50
ATM IV	66.0%	47.6%	76.8%	76.8%	65.4%
Expected Move	19.7%	18.1%	24.9%	22.0%	18.8%
HV 20d	71.7%	55.4%	81.9%	55.4%	74.2%
HV 60d	58.8%	53.0%	63.0%	62.4%	62.5%
IV Rank	29.0%	16.3%	36.5%	36.5%	28.6%
IV Percentile	65.6%	51.2%	73.4%	73.4%	63.1%
Term Structure	4.9%	-3.3%	10.9%	1.2%	10.9%
VWIV	68.6%	62.7%	83.7%	76.8%	65.4%
Skew 25d	3.3%	-19.8%	26.5%	-19.8%	15.6%
Skew 10d	10.8%	-45.0%	45.2%	-45.0%	22.1%
Call IV 25d	65.6%	50.3%	81.3%	81.3%	50.3%
Put IV 25d	68.9%	51.6%	86.5%	61.6%	65.9%
Bid-Ask Spread %	10.18	5.07	22.24	9.08	10.92
Gamma HHI	0.56	0.37	0.68	0.65	0.45
Net GEX	-21.6K	-263.9K	181.0K	-247.3K	111.5K
Net DEX	17.9M	-7.2M	40.4M	36.8M	3.1M
Net VEX	-298.9K	-350.3K	-212.4K	-256.7K	-343.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.09	5.31	0.21	0.28
Total Volume	5,497.818	529	12,929	1,391	4,651
Total OI	227,258.773	206,788	253,668	219,585	225,295

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
2009-03-02	$6.64	$10.00	76.8%	22.0%	55.4%	36.5%	76.8%	-19.8%	1.2%	-247.3K	36.8M	-256.7K	0.21	9.08	N/A	N/A	1,152	239	106,518	113,067
2009-03-03	$6.78	$10.00	74.0%	21.2%	56.8%	34.6%	74.0%	-4.8%	1.2%	-255.3K	35.5M	-262.4K	0.39	11.72	N/A	N/A	575	225	107,103	112,308
2009-03-04	$7.05	$10.00	75.9%	21.8%	59.6%	35.9%	75.9%	-4.2%	-3.3%	-263.9K	33.4M	-282.5K	0.30	7.68	N/A	N/A	5,661	1,726	106,695	112,240
2009-03-05	$6.46	$10.00	65.5%	18.8%	62.5%	28.6%	66.5%	-13.7%	9.5%	-203.3K	38.3M	-235.8K	0.09	6.23	N/A	N/A	3,079	270	111,679	111,083
2009-03-06	$6.33	$7.50	59.3%	21.7%	60.8%	24.3%	83.7%	13.6%	-0.2%	-182.2K	38.5M	-229.4K	1.45	13.46	N/A	N/A	850	1,235	112,805	111,185
2009-03-09	$6.14	$7.50	47.6%	24.9%	59.9%	16.3%	79.5%	6.3%	3.5%	-126.5K	40.4M	-212.4K	0.78	9.41	N/A	N/A	297	232	113,026	110,646
2009-03-10	$6.70	$7.50	67.8%	21.0%	71.2%	30.3%	73.1%	24.3%	2.5%	-199.6K	36.0M	-247.5K	0.14	15.72	N/A	N/A	9,552	1,385	113,242	110,584
2009-03-11	$6.79	$7.50	71.3%	20.6%	69.3%	32.7%	71.7%	25.1%	3.5%	-144.7K	32.6M	-262.9K	0.13	11.04	N/A	N/A	1,327	176	120,752	111,074
2009-03-12	$7.19	$7.50	65.8%	18.9%	72.5%	28.9%	65.9%	26.5%	6.5%	-167.7K	28.3M	-287.6K	0.11	5.07	N/A	N/A	7,099	757	120,588	111,024
2009-03-13	$7.42	$7.50	65.5%	18.8%	73.9%	28.7%	65.5%	12.1%	5.4%	-102.2K	22.5M	-305.9K	0.13	6.36	N/A	N/A	11,451	1,478	124,995	111,051
2009-03-16	$7.60	$7.50	66.1%	19.0%	74.7%	29.1%	66.2%	-9.9%	3.0%	-22.9K	16.6M	-312.5K	0.43	8.01	N/A	N/A	4,942	2,135	132,276	110,986
2009-03-17	$7.63	$7.50	64.1%	18.4%	74.8%	27.7%	64.0%	-9.2%	4.4%	33.9K	14.4M	-314.6K	0.94	7.98	N/A	N/A	1,784	1,677	134,143	110,725
2009-03-18	$8.19	$7.50	64.1%	18.4%	79.5%	27.7%	64.0%	4.2%	8.3%	158.7K	-1.9M	-343.8K	0.59	22.24	N/A	N/A	6,441	3,802	135,754	111,702
2009-03-19	$7.77	$7.50	63.2%	18.1%	80.7%	27.1%	63.2%	-3.4%	7.4%	149.5K	3.7M	-330.5K	5.31	6.40	N/A	N/A	705	3,743	139,578	113,594
2009-03-20	$7.56	$7.50	64.9%	18.6%	78.6%	28.3%	65.1%	-12.7%	7.9%	61.1K	14.9M	-316.3K	0.68	5.54	N/A	N/A	3,955	2,708	137,648	116,020
2009-03-23	$8.05	$7.50	66.2%	19.0%	81.9%	29.2%	65.9%	13.8%	5.4%	126.9K	3.9M	-328.7K	0.21	7.76	N/A	N/A	1,646	343	104,091	102,697
2009-03-24	$8.19	$7.50	64.4%	18.5%	81.4%	27.9%	63.6%	2.6%	6.7%	164.5K	-1.2M	-334.4K	0.18	10.47	N/A	N/A	7,726	1,380	105,919	102,859
2009-03-25	$8.06	$7.50	64.4%	18.5%	80.9%	27.9%	64.4%	-1.6%	7.7%	147.2K	3.3M	-331.1K	0.78	8.64	N/A	N/A	2,898	2,263	107,667	103,876
2009-03-26	$8.57	$7.50	66.1%	19.0%	78.0%	29.1%	62.7%	6.6%	6.8%	181.0K	-7.2M	-350.3K	0.44	20.80	N/A	N/A	1,703	748	108,947	105,837
2009-03-27	$8.20	$7.50	66.0%	18.9%	76.6%	29.0%	64.1%	3.9%	5.2%	163.1K	-549.2K	-344.0K	0.33	10.53	N/A	N/A	8,926	2,909	110,031	106,030
2009-03-30	$7.96	$7.50	67.5%	19.4%	74.3%	30.1%	67.7%	-1.9%	4.1%	143.8K	2.6M	-343.1K	4.28	8.96	N/A	N/A	967	4,134	114,057	108,296
2009-03-31	$7.95	$7.50	65.4%	18.8%	74.2%	28.6%	65.4%	15.6%	10.9%	111.5K	3.1M	-343.7K	0.28	10.92	N/A	N/A	3,643	1,008	113,852	111,443