BSX Options History — October 2010

In October 2010, BSX traded between $5.97 and $6.39. ATM implied volatility averaged 37.1%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 2.7% (HV 20d: 34.4%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2010-10-20: Highest Volume — 26,139 contracts
2010-10-14: Largest IV spike — 34.2% change
2010-10-19: Highest IV Rank — 43.9%
2010-10-04: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.21	$5.97	$6.39	$6.07	$6.39
Max Pain	$6.00	$6.00	$6.00	$6.00	$6.00
ATM IV	37.1%	31.0%	43.5%	35.4%	37.8%
Expected Move	11.8%	10.1%	13.1%	10.1%	10.8%
HV 20d	34.4%	27.5%	41.0%	36.5%	27.5%
HV 60d	36.6%	34.4%	39.4%	39.0%	35.2%
IV Rank	33.6%	23.5%	43.9%	30.7%	34.7%
IV Percentile	34.8%	5.6%	78.6%	17.5%	33.3%
Term Structure	2.8%	-0.6%	9.1%	9.1%	1.9%
VWIV	41.9%	34.2%	47.1%	34.2%	39.5%
Skew 25d	-1.6%	-10.5%	3.1%	-10.5%	-3.6%
Skew 10d	-2.6%	-22.6%	16.0%	-16.0%	-3.2%
Call IV 25d	43.8%	39.7%	48.1%	44.4%	41.3%
Put IV 25d	42.2%	33.8%	48.0%	33.8%	37.8%
Bid-Ask Spread %	13.92	3.62	60.27	5.68	25.09
Gamma HHI	0.38	0.32	0.46	0.34	0.43
Net GEX	1.3M	1.0M	1.5M	1.3M	1.4M
Net DEX	-25.8M	-31.7M	-11.3M	-21.6M	-30.5M
Net VEX	-619.9K	-651.5K	-571.1K	-625.7K	-603.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.10	5.22	0.23	1.13
Total Volume	4,286.429	646	26,139	6,291	4,811
Total OI	540,992.952	531,644	546,349	540,016	543,873

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
2010-10-01	$6.07	$6.00	35.4%	10.1%	36.5%	30.7%	34.2%	-10.5%	9.1%	1.3M	-21.6M	-625.7K	0.23	5.68	N/A	N/A	5,121	1,170	392,972	147,044
2010-10-04	$6.08	$6.00	36.5%	13.1%	36.6%	32.5%	47.1%	-0.1%	1.5%	1.3M	-22.4M	-635.8K	0.36	4.03	N/A	N/A	1,958	713	396,060	147,357
2010-10-05	$6.24	$6.00	34.6%	12.9%	35.0%	29.4%	44.9%	2.0%	1.5%	1.4M	-29.6M	-651.5K	0.12	4.70	N/A	N/A	3,007	346	395,579	147,429
2010-10-06	$6.14	$6.00	33.6%	12.4%	35.4%	27.9%	45.0%	2.9%	2.9%	1.4M	-24.5M	-641.5K	0.30	3.70	N/A	N/A	918	274	395,234	147,292
2010-10-07	$6.16	$6.00	31.9%	12.4%	34.6%	25.1%	44.2%	1.7%	3.4%	1.4M	-25.3M	-642.8K	0.19	4.33	N/A	N/A	858	161	395,123	147,169
2010-10-08	$6.13	$6.00	32.1%	12.2%	34.9%	25.3%	43.1%	1.4%	4.0%	1.4M	-23.7M	-627.0K	0.10	4.95	N/A	N/A	1,148	116	395,269	147,206
2010-10-11	$6.13	$6.00	35.2%	12.6%	33.9%	30.4%	44.0%	3.1%	2.7%	1.4M	-23.8M	-621.5K	0.18	4.69	N/A	N/A	546	100	395,792	147,181
2010-10-12	$6.13	$6.00	31.2%	12.3%	33.8%	23.9%	43.0%	1.2%	3.3%	1.4M	-24.5M	-610.8K	5.22	3.62	N/A	N/A	510	2,663	396,099	146,022
2010-10-13	$6.21	$6.00	31.0%	12.3%	33.8%	23.5%	43.3%	1.0%	2.9%	1.4M	-30.5M	-634.5K	0.79	18.89	N/A	N/A	1,076	846	396,152	147,431
2010-10-14	$6.16	$6.00	41.6%	11.9%	34.2%	40.8%	42.2%	-2.3%	3.1%	1.5M	-25.0M	-619.4K	0.62	7.41	N/A	N/A	3,996	2,472	396,194	147,124
2010-10-15	$6.15	$6.00	40.9%	11.7%	34.1%	39.7%	40.6%	-8.9%	4.4%	1.3M	-26.7M	-617.0K	0.16	8.39	N/A	N/A	4,756	773	398,452	147,897
2010-10-18	$6.20	$6.00	42.3%	12.1%	33.6%	42.1%	43.7%	-1.6%	2.3%	1.2M	-22.4M	-612.4K	0.10	60.27	N/A	N/A	2,855	288	389,644	142,000
2010-10-19	$5.97	$6.00	43.5%	12.5%	36.9%	43.9%	44.5%	-1.6%	-0.6%	1.0M	-11.3M	-571.1K	0.65	53.34	N/A	N/A	5,654	3,687	390,675	142,007
2010-10-20	$6.30	$6.00	39.9%	11.4%	41.0%	38.1%	43.8%	-3.1%	2.9%	1.3M	-29.8M	-626.6K	0.26	21.10	N/A	N/A	20,815	5,324	392,979	142,505
2010-10-21	$6.34	$6.00	39.8%	11.4%	40.2%	37.9%	40.3%	-2.8%	2.0%	1.3M	-29.7M	-619.0K	1.13	11.62	N/A	N/A	1,429	1,610	390,233	143,765
2010-10-22	$6.30	$6.00	38.4%	11.0%	38.6%	35.6%	38.9%	0.1%	2.3%	1.3M	-27.4M	-621.4K	0.13	10.27	N/A	N/A	2,080	280	396,830	144,488
2010-10-25	$6.31	$6.00	39.8%	11.4%	38.5%	37.8%	40.5%	-3.7%	1.1%	1.3M	-27.2M	-611.1K	0.34	4.71	N/A	N/A	1,839	616	396,668	144,540
2010-10-26	$6.29	$6.00	38.8%	11.1%	28.0%	36.3%	39.4%	-3.3%	1.9%	1.3M	-27.9M	-611.5K	0.34	4.96	N/A	N/A	638	217	398,187	144,684
2010-10-27	$6.31	$6.00	37.1%	10.6%	27.6%	33.6%	37.1%	-3.0%	2.7%	1.3M	-27.2M	-604.4K	0.22	8.39	N/A	N/A	2,161	468	397,671	144,649
2010-10-28	$6.38	$6.00	38.7%	11.1%	27.8%	36.1%	41.6%	-3.3%	2.7%	1.4M	-31.7M	-609.5K	0.21	22.18	N/A	N/A	1,419	296	398,673	144,703
2010-10-29	$6.39	$6.00	37.8%	10.8%	27.5%	34.7%	39.5%	-3.6%	1.9%	1.4M	-30.5M	-603.2K	1.13	25.09	N/A	N/A	2,263	2,548	399,066	144,807