BSX Options History — October 2009

In October 2009, BSX traded between $8.12 and $10.29. ATM implied volatility averaged 39.9%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 5.4% (HV 20d: 45.3%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.50.

Notable Days

2009-10-20: Highest Volume — 64,899 contracts
2009-10-20: Largest IV drop — 11.9% change
2009-10-13: Highest IV Rank — 12.0%
2009-10-06: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.39	$8.12	$10.29	$10.25	$8.12
Max Pain	$10.09	$10.00	$11.00	$11.00	$10.00
ATM IV	39.9%	33.8%	44.3%	39.6%	34.3%
Expected Move	11.7%	9.7%	12.9%	11.4%	9.8%
HV 20d	45.3%	28.1%	70.6%	29.0%	69.6%
HV 60d	34.8%	27.0%	46.0%	28.0%	46.0%
IV Rank	6.8%	1.4%	12.0%	5.3%	1.9%
IV Percentile	19.4%	1.6%	31.0%	20.2%	2.4%
Term Structure	-0.9%	-4.5%	9.1%	4.0%	9.1%
VWIV	39.8%	32.0%	44.5%	39.3%	34.1%
Skew 25d	0.8%	-15.3%	10.9%	-2.6%	-1.2%
Skew 10d	4.1%	-15.4%	31.4%	-5.5%	0.1%
Call IV 25d	39.2%	27.3%	46.2%	36.3%	39.2%
Put IV 25d	40.0%	23.9%	48.0%	33.7%	37.9%
Bid-Ask Spread %	8.86	6.51	11.82	7.96	8.19
Gamma HHI	0.25	0.18	0.34	0.31	0.19
Net GEX	126.7K	-266.6K	521.5K	199.8K	71.1K
Net DEX	15.8M	-5.1M	47.3M	1.0M	24.8M
Net VEX	-380.9K	-445.4K	-264.7K	-400.7K	-423.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.12	1.82	0.27	0.85
Total Volume	12,326.182	1,462	64,899	7,199	1,665
Total OI	273,123.045	230,917	352,171	230,917	352,171

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
2009-10-01	$10.25	$11.00	39.6%	11.4%	29.0%	5.3%	39.3%	-2.6%	4.0%	199.8K	1.0M	-400.7K	0.27	7.96	N/A	N/A	5,658	1,541	124,454	106,463
2009-10-02	$10.01	$11.00	40.1%	11.5%	28.8%	5.7%	42.6%	-15.3%	3.5%	157.9K	8.3M	-392.6K	0.69	8.58	N/A	N/A	2,170	1,504	126,631	106,979
2009-10-05	$10.12	$10.00	42.3%	12.6%	29.2%	7.3%	44.2%	2.5%	-2.2%	200.6K	4.7M	-389.4K	0.53	8.98	N/A	N/A	4,352	2,288	127,314	107,114
2009-10-06	$9.95	$10.00	43.3%	12.9%	29.4%	8.0%	44.5%	9.3%	-4.1%	202.5K	9.8M	-375.5K	0.58	7.04	N/A	N/A	2,129	1,232	129,154	106,594
2009-10-07	$10.15	$10.00	38.1%	12.6%	29.4%	4.2%	40.6%	10.9%	-2.2%	291.7K	2.4M	-386.4K	0.39	8.04	N/A	N/A	4,365	1,682	128,992	106,812
2009-10-08	$10.25	$10.00	37.3%	12.4%	28.9%	3.6%	43.9%	2.0%	-1.0%	292.9K	-596.4K	-385.4K	0.25	9.24	N/A	N/A	6,955	1,719	128,490	107,126
2009-10-09	$10.29	$10.00	39.4%	12.4%	28.1%	5.1%	42.2%	3.1%	-1.6%	289.6K	-1.7M	-388.0K	1.82	7.66	N/A	N/A	519	943	128,491	107,786
2009-10-12	$10.00	$10.00	42.8%	12.5%	29.2%	7.7%	41.4%	5.3%	-3.6%	174.2K	9.0M	-364.8K	0.32	11.82	N/A	N/A	4,529	1,438	128,587	108,093
2009-10-13	$9.94	$10.00	44.3%	12.1%	28.9%	12.0%	41.9%	6.2%	-1.9%	137.8K	11.6M	-360.5K	0.27	8.02	N/A	N/A	7,593	2,047	128,960	108,716
2009-10-14	$10.06	$10.00	40.8%	12.2%	29.5%	8.5%	42.5%	4.4%	-2.4%	286.9K	5.9M	-373.5K	0.48	9.38	N/A	N/A	4,320	2,057	134,289	109,366
2009-10-15	$10.10	$10.00	43.0%	12.3%	29.7%	10.7%	42.7%	6.3%	-3.1%	321.8K	3.9M	-374.5K	0.42	8.48	N/A	N/A	6,561	2,762	135,375	109,654
2009-10-16	$10.02	$10.00	41.9%	12.0%	29.7%	9.6%	41.4%	4.1%	-2.2%	521.5K	6.3M	-382.1K	0.77	8.40	N/A	N/A	7,621	5,834	140,029	111,920
2009-10-19	$10.16	$10.00	44.0%	12.6%	30.2%	11.7%	44.3%	-2.1%	-4.5%	335.6K	-5.1M	-405.8K	0.32	11.08	N/A	N/A	18,363	5,818	134,987	110,010
2009-10-20	$8.57	$10.00	38.7%	11.1%	66.2%	6.4%	39.7%	-0.1%	-1.0%	-266.6K	47.3M	-264.7K	0.44	7.86	N/A	N/A	44,980	19,919	144,982	113,028
2009-10-21	$8.21	$10.00	41.8%	12.0%	67.1%	9.5%	39.9%	2.0%	-3.7%	-212.3K	46.2M	-314.6K	0.81	11.40	N/A	N/A	14,936	12,135	174,977	124,035
2009-10-22	$8.38	$10.00	37.6%	10.8%	68.2%	5.2%	32.7%	1.7%	-0.6%	-181.2K	41.4M	-339.6K	0.19	10.57	N/A	N/A	19,559	3,663	180,553	129,671
2009-10-23	$8.75	$10.00	36.2%	10.4%	70.6%	3.8%	35.3%	-0.8%	-1.2%	-24.6K	23.7M	-412.1K	0.29	8.67	N/A	N/A	6,297	1,856	196,267	132,034
2009-10-26	$8.47	$10.00	39.9%	11.4%	68.3%	7.6%	37.3%	-11.6%	-2.6%	-48.6K	29.2M	-396.5K	0.73	9.15	N/A	N/A	3,530	2,575	198,195	131,573
2009-10-27	$8.37	$10.00	41.1%	11.8%	68.3%	8.8%	32.0%	-12.0%	-3.1%	-59.4K	31.1M	-388.2K	0.12	11.27	N/A	N/A	20,975	2,423	197,991	132,104
2009-10-28	$8.12	$10.00	37.6%	10.8%	68.6%	5.3%	38.0%	-1.8%	0.3%	31.2K	27.8M	-416.8K	0.16	6.51	N/A	N/A	6,978	1,139	216,296	131,220
2009-10-29	$8.33	$10.00	33.8%	9.7%	69.5%	1.4%	35.2%	6.5%	4.3%	65.4K	21.1M	-445.4K	0.21	6.60	N/A	N/A	2,105	441	220,796	130,428
2009-10-30	$8.12	$10.00	34.3%	9.8%	69.6%	1.9%	34.1%	-1.2%	9.1%	71.1K	24.8M	-423.4K	0.85	8.19	N/A	N/A	898	767	222,013	130,158