BSX Options History — November 2010

In November 2010, BSX traded between $6.32 and $6.92. ATM implied volatility averaged 39.4%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 6.5% (HV 20d: 32.9%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2010-11-17: Highest Volume — 78,339 contracts
2010-11-23: Largest IV spike — 19.0% change
2010-11-17: Highest IV Rank — 44.5%
2010-11-17: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.62	$6.32	$6.92	$6.32	$6.42
Max Pain	$6.43	$6.00	$7.00	$6.00	$7.00
ATM IV	39.4%	32.9%	43.9%	37.5%	43.0%
Expected Move	11.2%	9.4%	12.6%	10.8%	12.3%
HV 20d	32.9%	26.4%	36.9%	27.9%	35.3%
HV 60d	34.3%	33.0%	36.2%	35.1%	33.1%
IV Rank	37.3%	26.6%	44.5%	34.2%	43.1%
IV Percentile	48.5%	9.9%	81.3%	32.1%	76.2%
Term Structure	2.5%	-3.1%	5.7%	2.4%	-0.3%
VWIV	39.3%	33.0%	44.2%	38.9%	42.1%
Skew 25d	2.5%	-6.3%	10.5%	-5.7%	1.6%
Skew 10d	11.0%	-7.8%	65.3%	-7.8%	7.3%
Call IV 25d	38.3%	31.8%	43.2%	43.2%	41.8%
Put IV 25d	40.8%	26.7%	45.1%	37.5%	43.4%
Bid-Ask Spread %	14.76	3.49	66.79	34.59	5.22
Gamma HHI	0.35	0.31	0.45	0.45	0.33
Net GEX	1.7M	1.3M	2.1M	1.3M	1.7M
Net DEX	-42.5M	-60.8M	-27.1M	-27.1M	-30.7M
Net VEX	-621.5K	-660.8K	-567.0K	-583.4K	-603.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.01	2.83	0.01	0.54
Total Volume	13,523.238	398	78,339	24,776	2,344
Total OI	548,696.667	522,240	601,218	546,737	535,134

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
2010-11-01	$6.32	$6.00	37.5%	10.8%	27.9%	34.2%	38.9%	-5.7%	2.4%	1.3M	-27.1M	-583.4K	0.01	34.59	N/A	N/A	24,415	361	399,900	146,837
2010-11-02	$6.44	$6.00	40.9%	11.7%	27.2%	39.7%	41.2%	-0.6%	-1.2%	1.4M	-34.1M	-598.2K	1.31	25.32	N/A	N/A	1,811	2,365	400,536	146,371
2010-11-03	$6.46	$6.00	41.9%	12.0%	26.4%	41.3%	42.4%	1.6%	-1.5%	1.3M	-31.7M	-575.5K	2.83	11.63	N/A	N/A	1,724	4,882	382,898	145,254
2010-11-04	$6.49	$6.00	41.5%	11.9%	26.4%	40.8%	40.9%	2.3%	-3.1%	1.4M	-30.5M	-567.0K	0.71	9.35	N/A	N/A	2,433	1,727	383,763	143,088
2010-11-05	$6.92	$6.00	40.5%	10.8%	34.0%	39.0%	38.1%	2.1%	3.1%	1.9M	-60.8M	-630.6K	0.27	6.48	N/A	N/A	26,297	7,154	383,435	143,126
2010-11-08	$6.79	$6.00	39.2%	10.5%	35.1%	36.9%	36.7%	1.3%	3.6%	2.0M	-53.7M	-623.3K	0.51	6.71	N/A	N/A	9,450	4,818	396,492	145,933
2010-11-09	$6.69	$7.00	39.3%	10.6%	35.8%	37.1%	37.0%	2.3%	5.1%	1.7M	-48.2M	-630.7K	0.50	12.06	N/A	N/A	13,809	6,877	396,052	148,938
2010-11-10	$6.84	$7.00	40.6%	11.2%	36.3%	39.3%	39.4%	2.1%	2.9%	2.0M	-59.6M	-660.8K	0.08	6.15	N/A	N/A	9,617	777	404,770	151,509
2010-11-11	$6.85	$7.00	36.7%	10.5%	36.0%	32.9%	40.7%	1.5%	5.1%	2.0M	-54.9M	-641.0K	1.32	22.19	N/A	N/A	14,049	18,610	396,149	151,701
2010-11-12	$6.74	$7.00	38.5%	11.0%	36.7%	35.9%	38.7%	3.5%	4.9%	1.8M	-46.5M	-628.9K	0.15	7.74	N/A	N/A	2,769	408	407,317	163,295
2010-11-15	$6.69	$7.00	38.8%	11.1%	36.9%	36.4%	38.9%	1.7%	3.3%	1.8M	-44.9M	-614.8K	0.90	5.70	N/A	N/A	2,013	1,817	407,866	160,267
2010-11-16	$6.52	$7.00	40.5%	11.6%	35.3%	39.0%	40.7%	5.5%	3.6%	1.4M	-32.7M	-598.3K	0.35	8.99	N/A	N/A	2,939	1,036	407,076	161,559
2010-11-17	$6.56	$7.00	43.9%	12.6%	30.2%	44.5%	44.2%	7.0%	0.8%	1.5M	-37.9M	-614.9K	0.04	5.56	N/A	N/A	74,986	3,353	407,470	161,695
2010-11-18	$6.56	$7.00	39.9%	11.4%	30.1%	38.0%	42.3%	7.0%	2.9%	1.8M	-42.9M	-642.0K	0.10	34.56	N/A	N/A	8,023	831	437,352	162,215
2010-11-19	$6.77	$6.00	36.6%	10.5%	31.7%	32.7%	36.8%	3.0%	5.0%	2.1M	-54.4M	-658.1K	0.14	7.16	N/A	N/A	6,535	894	439,206	162,012
2010-11-22	$6.66	$6.00	32.9%	9.4%	32.5%	26.6%	33.0%	-6.3%	5.7%	1.9M	-41.3M	-639.3K	0.31	66.79	N/A	N/A	9,238	2,828	392,735	129,505
2010-11-23	$6.57	$6.00	39.1%	11.2%	33.0%	36.8%	39.6%	3.9%	2.5%	1.9M	-40.3M	-647.8K	0.45	5.17	N/A	N/A	1,895	861	398,401	131,232
2010-11-24	$6.73	$6.00	36.7%	10.5%	33.9%	32.8%	36.9%	10.5%	5.2%	2.1M	-47.7M	-655.2K	0.13	21.09	N/A	N/A	2,412	323	399,068	130,747
2010-11-26	$6.58	$6.00	37.1%	10.6%	34.9%	33.5%	37.3%	5.9%	3.9%	1.9M	-37.4M	-629.5K	0.19	3.49	N/A	N/A	334	64	400,091	130,725
2010-11-29	$6.50	$6.00	43.4%	12.4%	35.3%	43.8%	40.1%	3.0%	-0.3%	1.8M	-35.7M	-609.8K	0.48	4.06	N/A	N/A	4,660	2,249	400,222	130,688
2010-11-30	$6.42	$7.00	43.0%	12.3%	35.3%	43.1%	42.1%	1.6%	-0.3%	1.7M	-30.7M	-603.1K	0.54	5.22	N/A	N/A	1,524	820	402,571	132,563