BSX Options History — June 2009 In June 2009, BSX traded between $9.00 and $10.42. ATM implied volatility averaged 45.4%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 8.8% (HV 20d: 36.6%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.22.
Notable Days 2009-06-16 : Highest Volume — 31,480 contracts2009-06-05 : Largest IV drop — 22.9% change2009-06-04 : Highest IV Rank — 15.7%2009-06-04 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $9.56 $9.00 $10.42 $9.55 $10.14 Max Pain $9.95 $9.00 $11.00 $9.00 $10.00 ATM IV 45.4% 37.8% 49.0% 43.2% 47.1% Expected Move 13.2% 12.3% 14.0% 12.4% 13.5% HV 20d 36.6% 30.8% 42.0% 37.0% 37.8% HV 60d 42.5% 37.0% 49.0% 48.5% 38.2% IV Rank 13.2% 7.8% 15.7% 11.6% 14.4% IV Percentile 26.3% 2.0% 35.7% 20.6% 31.7% Term Structure 2.6% -1.4% 6.5% 1.7% 0.1% VWIV 45.5% 41.6% 47.9% 45.3% 46.2% Skew 25d 4.7% -3.2% 15.7% -1.0% 3.7% Skew 10d 9.9% -15.6% 53.1% -9.9% 14.5% Call IV 25d 43.2% 34.4% 47.0% 47.0% 44.9% Put IV 25d 47.9% 42.1% 50.9% 46.1% 48.6% Bid-Ask Spread % 13.83 8.55 18.73 11.96 10.80 Gamma HHI 0.29 0.22 0.46 0.26 0.46 Net GEX 294.5K -9.5K 1.0M 143.8K 1.0M Net DEX -1.8M -27.1M 14.8M 1.7M -24.3M Net VEX -371.7K -428.3K -324.6K -363.3K -428.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.00 5.47 2.22 0.84 Total Volume 4,699.5 561 31,480 5,972 1,743 Total OI 194,206 179,853 220,128 184,369 216,355
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 2009-06-01 $9.55 $9.00 43.2% 12.4% 37.0% 11.6% 45.3% -1.0% 1.7% 143.8K 1.7M -363.3K 2.22 11.96 N/A N/A 1,855 4,117 88,749 95,620 2009-06-02 $10.03 $9.00 43.6% 12.5% 38.0% 11.9% 43.9% 6.5% 1.0% 356.4K -8.5M -371.3K 0.96 15.00 N/A N/A 2,229 2,149 89,695 90,158 2009-06-03 $9.71 $9.00 44.9% 12.9% 40.3% 12.8% 47.6% 15.7% 1.1% 211.0K -749.0K -361.8K 0.29 14.35 N/A N/A 1,338 392 90,170 91,314 2009-06-04 $9.40 $9.00 49.0% 14.0% 42.0% 15.7% 47.0% 2.4% -1.4% 146.4K 4.8M -348.0K 0.42 12.68 N/A N/A 663 276 90,780 90,802 2009-06-05 $9.54 $11.00 37.8% 12.5% 40.9% 7.8% 46.1% 5.2% 3.4% 167.8K 3.3M -350.3K 0.16 13.87 N/A N/A 1,222 195 90,973 90,880 2009-06-08 $9.41 $10.00 45.9% 13.6% 36.1% 13.5% 46.8% 5.6% 2.4% 130.1K 4.9M -341.4K 0.46 17.91 N/A N/A 383 178 91,289 90,860 2009-06-09 $9.40 $11.00 44.2% 13.5% 34.7% 12.3% 47.6% 6.9% 2.3% 122.3K 5.9M -340.4K 5.47 12.16 N/A N/A 157 859 91,324 90,945 2009-06-10 $9.41 $11.00 46.0% 13.4% 34.5% 13.6% 45.4% 5.8% 2.6% 88.4K 6.6M -338.5K 3.23 16.37 N/A N/A 982 3,168 91,428 91,741 2009-06-11 $9.35 $10.00 46.6% 13.4% 31.2% 14.0% 44.0% 6.4% 2.7% 57.4K 7.2M -338.0K 4.30 18.73 N/A N/A 489 2,101 92,074 94,859 2009-06-12 $9.37 $10.00 47.2% 13.5% 30.8% 14.5% 46.3% 4.5% 2.1% 60.6K 7.5M -337.2K 0.57 16.57 N/A N/A 2,548 1,447 92,452 93,214 2009-06-15 $9.00 $10.00 46.4% 13.3% 34.3% 13.8% 46.3% 6.8% 3.3% -9.5K 14.8M -324.6K 1.38 14.12 N/A N/A 518 715 94,403 94,472 2009-06-16 $9.01 $10.00 48.2% 13.8% 34.3% 15.1% 46.7% 3.1% 2.9% -9.5K 13.7M -325.4K 0.00 13.96 N/A N/A 31,394 86 94,708 94,818 2009-06-17 $9.22 $10.00 47.6% 13.7% 35.0% 14.7% 47.9% 6.2% 2.6% 416.4K 192.4K -395.3K 1.53 16.20 N/A N/A 443 678 125,449 94,679 2009-06-18 $9.39 $10.00 46.4% 13.3% 35.3% 13.9% 45.4% 4.2% 5.5% 358.7K -2.1M -394.6K 0.56 16.83 N/A N/A 665 375 122,488 95,232 2009-06-19 $9.42 $10.00 45.3% 13.0% 35.1% 13.1% 44.4% 3.0% 6.5% 362.2K -2.7M -395.4K 0.32 12.27 N/A N/A 2,343 738 122,710 95,489 2009-06-22 $9.24 $10.00 46.7% 13.4% 36.0% 14.1% 45.5% 6.1% 3.7% 320.0K 1.7M -379.4K 2.66 16.44 N/A N/A 340 906 104,255 90,706 2009-06-23 $9.51 $10.00 46.5% 13.3% 36.4% 13.9% 44.8% -3.2% 2.4% 385.0K -4.1M -395.1K 0.58 10.76 N/A N/A 3,888 2,255 104,472 91,127 2009-06-24 $9.51 $10.00 43.0% 12.3% 36.4% 11.5% 41.6% -2.9% 4.9% 416.1K -2.0M -394.2K 0.30 8.55 N/A N/A 1,091 327 106,097 93,046 2009-06-25 $10.00 $10.00 43.7% 12.5% 40.0% 12.0% 43.9% 3.5% 3.7% 513.5K -15.4M -411.8K 0.24 12.42 N/A N/A 6,384 1,530 106,020 93,185 2009-06-26 $10.35 $10.00 45.6% 13.1% 40.2% 13.3% 43.9% 4.9% 1.5% 596.6K -24.3M -424.5K 0.13 11.03 N/A N/A 2,561 336 108,383 93,123 2009-06-29 $10.42 $10.00 44.5% 12.7% 40.0% 12.5% 45.0% 9.5% 3.1% 615.7K -27.1M -417.9K 0.20 11.34 N/A N/A 14,469 2,856 108,795 93,193 2009-06-30 $10.14 $10.00 47.1% 13.5% 37.8% 14.4% 46.2% 3.7% 0.1% 1.0M -24.3M -428.3K 0.84 10.80 N/A N/A 947 796 120,590 95,765
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