BSX Options History — August 2010

In August 2010, BSX traded between $5.19 and $5.95. ATM implied volatility averaged 43.2%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 4.4% (HV 20d: 38.8%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.78.

Notable Days

2010-08-02: Highest Volume — 18,995 contracts
2010-08-11: Largest IV spike — 17.2% change
2010-08-02: Highest IV Rank — 53.4%
2010-08-02: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.61	$5.19	$5.95	$5.54	$5.19
Max Pain	$6.18	$6.00	$7.00	$7.00	$6.00
ATM IV	43.2%	36.3%	49.3%	49.3%	46.4%
Expected Move	12.4%	10.6%	14.1%	14.1%	13.3%
HV 20d	38.8%	33.8%	42.6%	40.9%	40.3%
HV 60d	40.3%	39.0%	41.4%	40.2%	40.1%
IV Rank	43.5%	32.2%	53.4%	53.4%	48.7%
IV Percentile	74.8%	28.6%	94.4%	94.4%	88.5%
Term Structure	2.6%	-5.2%	6.5%	-5.2%	3.1%
VWIV	43.1%	37.2%	49.5%	49.5%	46.4%
Skew 25d	0.2%	-5.6%	5.1%	-5.6%	-4.0%
Skew 10d	0.8%	-16.9%	64.8%	-16.9%	-8.5%
Call IV 25d	44.3%	40.0%	52.8%	52.8%	48.1%
Put IV 25d	44.5%	40.6%	48.0%	47.2%	44.0%
Bid-Ask Spread %	4.51	2.92	6.97	2.92	5.35
Gamma HHI	0.27	0.25	0.28	0.26	0.27
Net GEX	872.9K	606.3K	1.2M	607.3K	639.4K
Net DEX	9.0M	-5.5M	20.5M	18.7M	12.4M
Net VEX	-611.8K	-700.9K	-514.1K	-580.5K	-514.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.02	2.59	0.16	0.28
Total Volume	6,883.773	2,078	18,995	18,995	12,529
Total OI	583,027.364	514,995	632,518	575,725	524,971

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
2010-08-02	$5.54	$7.00	49.3%	14.1%	40.9%	53.4%	49.5%	-5.6%	-5.2%	607.3K	18.7M	-580.5K	0.16	2.92	N/A	N/A	16,338	2,657	405,797	169,928
2010-08-03	$5.55	$7.00	42.2%	12.1%	40.7%	41.8%	42.0%	0.2%	-0.3%	606.3K	20.5M	-587.2K	2.59	3.32	N/A	N/A	1,208	3,124	414,745	170,816
2010-08-04	$5.75	$7.00	37.0%	10.6%	40.0%	33.4%	37.8%	2.4%	2.4%	864.5K	11.5M	-632.6K	0.15	3.91	N/A	N/A	7,230	1,055	424,038	170,895
2010-08-05	$5.69	$7.00	40.0%	11.5%	39.3%	38.3%	39.9%	1.4%	-0.1%	861.0K	11.2M	-627.5K	0.38	4.26	N/A	N/A	2,731	1,026	427,585	170,936
2010-08-06	$5.80	$6.00	36.3%	11.3%	39.8%	32.2%	39.3%	0.9%	4.7%	939.0K	7.7M	-645.3K	0.30	3.85	N/A	N/A	2,709	813	431,470	171,401
2010-08-09	$5.88	$6.00	39.1%	11.3%	40.4%	36.8%	39.6%	1.0%	4.9%	1.0M	2.2M	-671.9K	0.08	4.35	N/A	N/A	6,874	523	433,800	171,758
2010-08-10	$5.84	$6.00	38.3%	10.7%	40.1%	35.5%	37.2%	0.6%	6.5%	988.9K	6.3M	-652.7K	0.19	4.17	N/A	N/A	12,241	2,344	437,371	171,984
2010-08-11	$5.57	$6.00	44.9%	12.0%	42.6%	46.2%	41.8%	1.5%	4.3%	830.6K	15.3M	-609.6K	0.09	6.60	N/A	N/A	5,642	499	443,081	173,800
2010-08-12	$5.52	$6.00	43.3%	12.4%	42.0%	43.7%	43.7%	-1.3%	3.0%	843.0K	14.4M	-606.1K	0.21	6.97	N/A	N/A	6,694	1,425	447,179	173,762
2010-08-13	$5.48	$6.00	47.7%	13.7%	33.8%	50.9%	47.2%	3.5%	1.2%	809.1K	17.6M	-602.7K	1.52	5.72	N/A	N/A	1,874	2,853	451,397	174,180
2010-08-16	$5.47	$6.00	47.5%	13.6%	33.8%	50.5%	47.4%	5.1%	0.9%	776.5K	19.4M	-593.0K	2.12	5.19	N/A	N/A	886	1,878	451,841	175,407
2010-08-17	$5.80	$6.00	43.4%	12.4%	39.4%	43.8%	44.5%	-1.6%	2.6%	1.0M	2.6M	-677.9K	0.47	4.91	N/A	N/A	9,757	4,539	452,167	176,909
2010-08-18	$5.95	$6.00	39.8%	11.4%	36.9%	37.9%	40.5%	-1.6%	6.3%	1.2M	-5.5M	-700.9K	0.49	4.13	N/A	N/A	5,613	2,773	454,456	175,414
2010-08-19	$5.84	$6.00	42.7%	12.2%	37.4%	42.6%	42.7%	-3.0%	4.2%	1.1M	3.0M	-669.6K	0.35	4.11	N/A	N/A	2,898	1,016	455,154	176,397
2010-08-20	$5.69	$6.00	41.4%	11.9%	38.4%	40.6%	41.4%	-1.8%	5.3%	1.1M	12.9M	-639.5K	2.59	4.38	N/A	N/A	2,377	6,150	455,762	176,756
2010-08-23	$5.63	$6.00	41.4%	11.9%	38.5%	40.6%	41.0%	0.6%	2.1%	982.8K	-1.4M	-609.0K	0.50	5.70	N/A	N/A	3,163	1,589	378,291	136,704
2010-08-24	$5.49	$6.00	48.4%	13.9%	39.3%	52.0%	45.0%	4.3%	0.2%	866.5K	3.9M	-573.3K	1.68	3.71	N/A	N/A	1,210	2,038	378,746	137,676
2010-08-25	$5.45	$6.00	46.3%	13.3%	37.4%	48.6%	45.1%	3.3%	2.5%	817.7K	5.7M	-566.9K	2.54	3.69	N/A	N/A	1,327	3,367	379,256	139,061
2010-08-26	$5.40	$6.00	45.4%	13.0%	37.1%	47.0%	45.7%	-0.7%	2.6%	775.6K	7.9M	-560.0K	0.34	4.24	N/A	N/A	1,555	523	379,606	141,482
2010-08-27	$5.49	$6.00	43.5%	12.5%	37.7%	44.0%	42.7%	0.5%	3.9%	837.0K	6.1M	-564.1K	0.06	3.66	N/A	N/A	2,716	162	380,356	141,552
2010-08-30	$5.40	$6.00	46.0%	13.2%	37.9%	48.0%	47.5%	-0.7%	2.2%	788.5K	4.6M	-574.9K	0.02	4.02	N/A	N/A	3,452	65	381,255	141,460
2010-08-31	$5.19	$6.00	46.4%	13.3%	40.3%	48.7%	46.4%	-4.0%	3.1%	639.4K	12.4M	-514.1K	0.28	5.35	N/A	N/A	9,757	2,772	383,510	141,461