BSX Options History — August 2009 In August 2009, BSX traded between $10.91 and $11.75. ATM implied volatility averaged 37.0%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 12.4% (HV 20d: 24.7%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.91.
Notable Days 2009-08-31 : Highest Volume — 19,045 contracts2009-08-25 : Largest IV drop — 11.5% change2009-08-10 : Highest IV Rank — 9.6%2009-08-07 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.26 $10.91 $11.75 $11.02 $11.75 Max Pain $10.38 $10.00 $11.00 $10.00 $11.00 ATM IV 37.0% 32.4% 40.4% 37.3% 35.8% Expected Move 10.8% 9.3% 11.7% 10.7% 10.3% HV 20d 24.7% 20.6% 27.7% 27.7% 20.9% HV 60d 31.0% 27.7% 34.4% 34.4% 28.0% IV Rank 4.0% 0.0% 9.6% 7.4% 2.5% IV Percentile 3.9% 0.0% 10.3% 2.0% 1.6% Term Structure 3.9% 1.6% 6.6% 1.6% 2.0% VWIV 37.3% 32.0% 40.7% 37.9% 37.1% Skew 25d 6.4% -1.3% 16.6% 15.2% -0.6% Skew 10d 12.1% -4.8% 54.6% 54.6% -4.8% Call IV 25d 33.2% 26.2% 39.5% 28.7% 38.0% Put IV 25d 39.6% 29.9% 43.9% 43.9% 37.4% Bid-Ask Spread % 10.76 6.28 16.98 8.54 8.71 Gamma HHI 0.40 0.30 0.58 0.39 0.36 Net GEX 1.4M 625.6K 2.4M 1.3M 767.5K Net DEX -55.9M -73.4M -40.8M -50.2M -51.1M Net VEX -448.4K -455.9K -442.5K -442.5K -451.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.02 8.26 0.13 0.92 Total Volume 5,607.048 1,947 19,045 8,393 19,045 Total OI 235,334.667 202,439 254,939 233,041 212,920
Daily Data (21 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 2009-08-03 $11.02 $10.00 37.3% 10.7% 27.7% 7.4% 37.9% 15.2% 1.6% 1.3M -50.2M -442.5K 0.13 8.54 N/A N/A 7,413 980 128,982 104,059 2009-08-04 $11.00 $10.00 38.5% 11.0% 27.6% 8.3% 38.7% 11.6% 1.8% 1.3M -51.6M -451.2K 0.28 6.90 N/A N/A 2,590 713 133,033 104,114 2009-08-05 $11.18 $10.00 38.3% 11.0% 27.4% 8.2% 36.6% 16.6% 2.7% 1.4M -59.8M -451.5K 0.03 6.28 N/A N/A 5,801 153 134,656 104,042 2009-08-06 $11.17 $10.00 38.4% 11.0% 25.5% 8.2% 40.7% 16.5% 2.9% 1.5M -60.9M -455.5K 0.30 8.67 N/A N/A 1,502 445 138,414 104,161 2009-08-07 $11.32 $10.00 37.4% 11.7% 25.3% 7.5% 39.9% 3.6% 4.9% 1.5M -67.8M -455.2K 0.37 11.89 N/A N/A 3,542 1,304 138,744 104,294 2009-08-10 $11.22 $10.00 40.4% 11.3% 24.6% 9.6% 39.3% 5.4% 5.8% 1.6M -63.3M -452.5K 0.53 16.75 N/A N/A 1,513 795 139,772 105,053 2009-08-11 $11.03 $10.00 35.9% 11.2% 25.3% 6.4% 39.3% 2.8% 6.6% 1.8M -55.6M -443.1K 0.22 10.97 N/A N/A 3,166 697 140,328 105,092 2009-08-12 $11.20 $10.00 35.8% 11.7% 25.6% 6.4% 40.1% 5.4% 3.8% 1.8M -63.6M -447.0K 3.56 10.81 N/A N/A 1,295 4,614 140,868 105,066 2009-08-13 $11.04 $10.00 39.3% 11.3% 26.5% 3.3% 39.5% 7.2% 5.4% 1.9M -54.6M -450.6K 0.46 10.39 N/A N/A 2,612 1,210 140,831 108,716 2009-08-14 $11.14 $10.00 38.6% 11.1% 25.0% 2.1% 38.8% 1.8% 6.0% 1.9M -59.8M -450.9K 0.17 12.17 N/A N/A 1,767 300 141,365 108,950 2009-08-17 $10.91 $10.00 38.9% 11.2% 25.4% 2.3% 38.9% 2.7% 4.2% 2.0M -49.5M -443.3K 0.19 12.85 N/A N/A 3,053 588 142,114 109,160 2009-08-18 $11.17 $10.00 38.7% 11.1% 26.5% 2.2% 38.7% 0.9% 6.2% 2.3M -64.2M -445.0K 0.37 9.87 N/A N/A 1,700 625 142,262 109,132 2009-08-19 $11.24 $10.00 38.9% 11.1% 25.5% 2.3% 37.9% 6.0% 4.6% 2.4M -67.9M -443.2K 8.26 11.15 N/A N/A 729 6,019 142,497 109,323 2009-08-20 $11.32 $11.00 39.1% 11.2% 24.2% 2.4% 36.8% 7.2% 4.4% 1.2M -71.8M -442.7K 0.29 16.98 N/A N/A 4,376 1,261 141,274 112,813 2009-08-21 $11.37 $11.00 36.6% 10.5% 24.0% 0.6% 35.7% 7.2% 6.2% 1.1M -73.4M -445.7K 0.02 8.92 N/A N/A 17,154 274 141,580 113,359 2009-08-24 $11.46 $11.00 36.6% 10.5% 23.6% 0.6% 33.4% 10.9% 2.7% 625.6K -40.8M -448.3K 1.07 10.87 N/A N/A 2,290 2,450 111,158 91,281 2009-08-25 $11.57 $11.00 32.4% 9.3% 23.0% 0.0% 36.4% 12.3% 2.2% 670.2K -43.9M -446.6K 0.28 9.06 N/A N/A 2,508 693 112,612 92,464 2009-08-26 $11.43 $11.00 33.3% 9.6% 22.6% 0.7% 32.5% 0.2% 3.8% 692.2K -41.0M -449.9K 0.77 12.87 N/A N/A 2,652 2,051 113,986 92,817 2009-08-27 $11.49 $11.00 34.2% 9.8% 20.6% 1.3% 32.0% 3.0% 1.9% 694.2K -42.9M -445.2K 0.47 10.45 N/A N/A 3,597 1,687 115,261 93,527 2009-08-28 $11.44 $11.00 33.4% 9.6% 20.8% 0.7% 33.4% -1.3% 2.1% 704.4K -41.1M -455.9K 0.35 10.82 N/A N/A 1,910 674 117,624 94,324 2009-08-31 $11.75 $11.00 35.8% 10.3% 20.9% 2.5% 37.1% -0.6% 2.0% 767.5K -51.1M -451.4K 0.92 8.71 N/A N/A 9,897 9,148 118,127 94,793
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