BSX Options History — March 2010

In March 2010, BSX traded between $6.80 and $7.92. ATM implied volatility averaged 41.4%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 8.1% (HV 20d: 49.5%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.62.

Notable Days

2010-03-15: Highest Volume — 109,195 contracts
2010-03-15: Largest IV spike — 47.3% change
2010-03-15: Highest IV Rank — 60.6%
2010-03-15: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.39	$6.80	$7.92	$7.77	$7.22
Max Pain	$7.48	$7.00	$8.00	$8.00	$7.00
ATM IV	41.4%	29.9%	56.5%	34.7%	35.7%
Expected Move	11.8%	8.6%	16.2%	10.0%	10.2%
HV 20d	49.5%	25.0%	56.9%	44.4%	55.6%
HV 60d	37.9%	31.4%	43.0%	31.9%	43.0%
IV Rank	37.7%	20.2%	60.6%	27.5%	29.0%
IV Percentile	50.4%	1.2%	86.1%	15.5%	20.6%
Term Structure	1.4%	-5.7%	10.1%	-2.5%	10.1%
VWIV	41.3%	29.9%	56.3%	34.7%	35.7%
Skew 25d	-0.2%	-12.1%	38.7%	-4.3%	10.2%
Skew 10d	3.3%	-16.1%	71.6%	-4.0%	12.4%
Call IV 25d	41.4%	25.3%	55.5%	30.5%	25.3%
Put IV 25d	41.3%	24.8%	66.3%	26.2%	35.5%
Bid-Ask Spread %	13.93	8.59	27.26	11.22	13.03
Gamma HHI	0.23	0.19	0.29	0.25	0.20
Net GEX	1.4M	496.4K	2.1M	719.2K	2.0M
Net DEX	-16.0M	-42.2M	23.1M	-4.3M	-36.0M
Net VEX	-732.3K	-1.0M	-491.9K	-491.9K	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.05	2.30	1.44	0.54
Total Volume	25,634.739	2,548	109,195	8,513	11,660
Total OI	477,139.696	324,663	618,720	324,663	599,902

Daily Data (23 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
2010-03-01	$7.77	$8.00	34.7%	10.0%	44.4%	27.5%	34.7%	-4.3%	-2.5%	719.2K	-4.3M	-491.9K	1.44	11.22	N/A	N/A	3,487	5,026	220,341	104,322
2010-03-02	$7.82	$8.00	29.9%	8.6%	44.0%	20.2%	29.9%	-3.8%	2.1%	738.0K	-4.9M	-500.4K	0.07	9.71	N/A	N/A	2,381	167	221,858	106,231
2010-03-03	$7.90	$8.00	32.3%	9.3%	44.2%	23.9%	32.3%	-1.3%	1.2%	808.9K	-8.7M	-508.0K	0.62	9.68	N/A	N/A	10,963	6,836	223,560	106,312
2010-03-04	$7.92	$8.00	39.2%	11.2%	44.3%	34.3%	39.0%	-4.1%	-1.9%	906.7K	-14.6M	-564.0K	0.05	11.82	N/A	N/A	50,037	2,566	233,656	112,313
2010-03-05	$7.89	$8.00	36.0%	10.2%	43.7%	29.5%	34.2%	-2.1%	2.9%	1.3M	-20.5M	-630.1K	0.06	16.27	N/A	N/A	8,552	516	271,050	113,606
2010-03-08	$7.90	$8.00	35.8%	10.5%	43.7%	29.2%	36.5%	-5.8%	2.2%	1.5M	-20.1M	-622.4K	0.48	12.43	N/A	N/A	7,493	3,583	273,936	113,656
2010-03-09	$7.74	$8.00	39.6%	10.8%	44.1%	35.0%	37.4%	-4.6%	2.5%	1.3M	-14.1M	-613.8K	1.35	24.05	N/A	N/A	5,996	8,120	279,294	115,673
2010-03-10	$7.65	$8.00	39.3%	11.1%	44.0%	34.4%	38.8%	-2.3%	1.5%	1.1M	-9.0M	-610.1K	1.60	12.25	N/A	N/A	3,998	6,378	284,181	123,169
2010-03-11	$7.86	$8.00	39.2%	11.2%	45.2%	34.3%	37.1%	-2.2%	1.2%	1.3M	-16.2M	-649.4K	0.28	24.80	N/A	N/A	8,148	2,284	286,435	128,646
2010-03-12	$7.78	$8.00	38.4%	11.0%	25.0%	33.1%	42.6%	-2.6%	0.2%	1.2M	-14.8M	-648.9K	1.10	27.26	N/A	N/A	6,043	6,656	289,187	130,572
2010-03-15	$6.80	$8.00	56.5%	16.2%	54.6%	60.6%	56.3%	2.3%	-5.7%	496.4K	23.1M	-524.3K	0.30	20.12	N/A	N/A	84,008	25,187	292,873	136,784
2010-03-16	$7.09	$7.00	50.9%	14.6%	56.9%	52.0%	50.8%	-3.5%	1.3%	1.2M	-8.9M	-722.2K	0.49	9.88	N/A	N/A	26,338	12,949	359,515	152,903
2010-03-17	$6.95	$7.00	49.3%	14.1%	54.4%	49.5%	49.3%	-0.5%	-0.6%	1.3M	348.4K	-724.1K	0.28	15.32	N/A	N/A	38,032	10,485	371,845	162,007
2010-03-18	$7.07	$7.00	51.1%	14.7%	54.9%	52.4%	51.2%	1.6%	-2.8%	1.8M	-11.3M	-773.4K	0.20	12.11	N/A	N/A	53,702	10,981	401,346	168,903
2010-03-19	$7.13	$7.00	48.4%	13.9%	55.0%	48.2%	49.8%	2.8%	-0.8%	2.1M	-23.4M	-878.6K	0.24	13.15	N/A	N/A	11,555	2,827	445,446	173,274
2010-03-22	$6.95	$7.00	43.7%	12.5%	54.6%	41.1%	44.1%	2.7%	-0.6%	1.7M	-17.3M	-834.8K	0.47	12.62	N/A	N/A	6,254	2,926	378,723	159,190
2010-03-23	$7.02	$7.00	42.6%	12.2%	54.7%	39.5%	41.9%	-9.7%	0.2%	1.8M	-19.7M	-839.7K	0.63	11.66	N/A	N/A	7,655	4,833	381,167	160,563
2010-03-24	$7.04	$7.00	41.6%	11.9%	54.7%	38.0%	41.3%	-12.1%	2.5%	1.8M	-21.0M	-852.1K	0.25	8.59	N/A	N/A	14,143	3,566	383,910	164,721
2010-03-25	$6.96	$7.00	42.8%	12.3%	54.7%	39.7%	40.8%	-1.9%	3.9%	1.7M	-17.9M	-862.2K	0.16	9.50	N/A	N/A	68,034	10,739	386,595	168,125
2010-03-26	$7.01	$7.00	41.8%	12.0%	54.8%	38.3%	41.3%	3.4%	6.9%	1.9M	-29.8M	-979.5K	0.76	10.89	N/A	N/A	3,862	2,928	424,045	175,674
2010-03-29	$7.19	$7.00	39.4%	11.3%	55.8%	34.5%	39.8%	38.7%	4.9%	2.1M	-36.1M	-989.0K	2.30	13.18	N/A	N/A	4,844	11,139	410,979	178,219
2010-03-30	$7.25	$7.00	44.6%	12.8%	55.9%	42.5%	44.3%	-4.4%	2.5%	1.9M	-42.2M	-1.0M	0.67	10.86	N/A	N/A	7,006	4,716	411,608	187,898
2010-03-31	$7.22	$7.00	35.7%	10.2%	55.6%	29.0%	35.7%	10.2%	10.1%	2.0M	-36.0M	-1.0M	0.54	13.03	N/A	N/A	7,551	4,109	410,231	189,671