BSX Options History — December 2010

In December 2010, BSX traded between $6.52 and $7.85. ATM implied volatility averaged 38.0%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 4.8% (HV 20d: 33.2%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.92.

Notable Days

2010-12-22: Highest Volume — 47,759 contracts
2010-12-13: Largest IV spike — 14.5% change
2010-12-27: Highest IV Rank — 38.3%
2010-12-06: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.25	$6.52	$7.85	$6.52	$7.57
Max Pain	$7.43	$7.00	$7.50	$7.00	$7.50
ATM IV	38.0%	34.8%	40.1%	38.1%	38.6%
Expected Move	11.2%	10.3%	12.2%	10.9%	11.1%
HV 20d	33.2%	28.9%	37.1%	35.1%	34.0%
HV 60d	33.1%	31.9%	35.7%	32.7%	32.0%
IV Rank	35.0%	29.8%	38.3%	35.2%	36.0%
IV Percentile	33.5%	14.3%	56.3%	31.7%	34.9%
Term Structure	2.2%	-0.3%	5.0%	3.3%	4.1%
VWIV	40.2%	36.3%	48.8%	38.8%	38.7%
Skew 25d	-2.1%	-12.9%	4.7%	3.6%	-12.2%
Skew 10d	0.8%	-19.3%	64.7%	64.7%	-19.3%
Call IV 25d	43.0%	36.4%	52.9%	38.6%	46.7%
Put IV 25d	40.9%	34.6%	45.4%	42.2%	34.6%
Bid-Ask Spread %	7.32	3.82	30.55	3.91	5.61
Gamma HHI	0.41	0.33	0.57	0.33	0.57
Net GEX	2.6M	1.8M	3.0M	1.8M	2.8M
Net DEX	-79.0M	-120.2M	-35.5M	-35.5M	-94.2M
Net VEX	-639.7K	-666.6K	-605.7K	-605.7K	-645.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.06	9.13	0.11	0.86
Total Volume	8,819.273	922	47,759	5,709	3,321
Total OI	543,113.273	527,176	561,174	536,152	561,174

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
2010-12-01	$6.52	$7.00	38.1%	10.9%	35.1%	35.2%	38.8%	3.6%	3.3%	1.8M	-35.5M	-605.7K	0.11	3.91	N/A	N/A	5,123	586	403,022	133,130
2010-12-02	$6.67	$7.00	37.1%	10.6%	36.0%	33.6%	36.5%	4.7%	4.3%	2.0M	-41.1M	-622.6K	0.77	4.30	N/A	N/A	1,282	989	400,698	133,281
2010-12-03	$6.83	$7.00	36.7%	10.5%	36.8%	32.9%	36.3%	3.5%	3.9%	2.3M	-51.9M	-630.3K	1.29	6.98	N/A	N/A	2,186	2,830	400,298	133,355
2010-12-06	$6.68	$7.50	38.4%	12.2%	29.8%	35.6%	42.8%	-0.6%	-0.3%	2.1M	-43.2M	-615.2K	0.10	5.31	N/A	N/A	4,652	452	400,388	134,437
2010-12-07	$6.62	$7.50	37.4%	12.0%	29.2%	34.0%	42.2%	0.0%	0.7%	2.0M	-37.4M	-606.7K	1.11	6.00	N/A	N/A	1,267	1,408	400,077	134,486
2010-12-08	$6.67	$7.50	39.6%	11.8%	28.9%	37.5%	41.2%	0.1%	-0.3%	2.0M	-37.8M	-610.7K	1.22	5.83	N/A	N/A	415	507	399,378	139,616
2010-12-09	$6.87	$7.50	35.1%	11.2%	29.8%	30.3%	39.9%	1.5%	1.8%	2.5M	-50.3M	-621.4K	0.15	3.89	N/A	N/A	1,360	206	398,986	139,412
2010-12-10	$7.11	$7.50	34.8%	11.6%	32.1%	29.8%	40.7%	1.1%	0.1%	2.7M	-69.8M	-655.6K	0.17	3.82	N/A	N/A	15,690	2,612	399,172	139,401
2010-12-13	$7.09	$7.50	39.9%	11.5%	31.5%	38.0%	41.1%	1.1%	1.3%	2.9M	-70.4M	-646.3K	0.80	28.95	N/A	N/A	2,481	1,974	405,938	139,152
2010-12-14	$7.04	$7.50	38.8%	11.2%	31.5%	36.3%	39.6%	2.2%	1.4%	3.0M	-65.3M	-638.8K	9.13	4.28	N/A	N/A	924	8,438	405,843	139,818
2010-12-15	$6.97	$7.50	38.7%	11.1%	30.1%	36.1%	38.9%	-0.9%	1.5%	3.0M	-55.7M	-629.7K	1.17	4.18	N/A	N/A	2,064	2,417	405,422	147,366
2010-12-16	$7.22	$7.50	39.5%	11.3%	32.1%	37.4%	39.6%	-0.9%	1.8%	2.7M	-79.8M	-653.4K	0.13	5.23	N/A	N/A	6,102	817	406,958	149,247
2010-12-17	$7.65	$7.50	37.7%	10.8%	37.1%	34.5%	39.0%	3.2%	1.8%	2.7M	-112.9M	-665.7K	0.20	4.02	N/A	N/A	15,272	3,040	406,549	148,755
2010-12-20	$7.82	$7.50	38.4%	11.0%	36.5%	35.6%	42.6%	-1.5%	0.1%	2.8M	-120.2M	-666.6K	0.14	7.74	N/A	N/A	12,039	1,730	390,808	136,381
2010-12-21	$7.85	$7.50	36.0%	10.3%	35.4%	31.7%	38.7%	-0.8%	3.2%	2.8M	-119.9M	-645.1K	0.11	4.98	N/A	N/A	9,571	1,006	391,123	136,053
2010-12-22	$7.71	$7.50	37.7%	10.8%	35.8%	34.5%	38.4%	-7.1%	1.5%	2.8M	-108.8M	-638.6K	1.22	4.86	N/A	N/A	21,470	26,289	391,187	136,128
2010-12-23	$7.70	$7.50	37.5%	10.8%	35.5%	34.2%	38.3%	-8.7%	4.4%	2.5M	-103.6M	-655.3K	0.34	4.88	N/A	N/A	7,189	2,416	391,924	156,947
2010-12-27	$7.70	$7.50	40.1%	11.5%	33.8%	38.3%	44.1%	-12.9%	3.3%	2.6M	-106.3M	-665.0K	0.69	30.55	N/A	N/A	777	535	393,552	156,302
2010-12-28	$7.82	$7.50	39.9%	11.4%	33.1%	38.0%	48.8%	-8.5%	2.3%	2.7M	-115.0M	-652.3K	0.15	5.60	N/A	N/A	3,848	591	393,233	156,407
2010-12-29	$7.76	$7.50	37.5%	10.7%	32.7%	34.1%	39.1%	-6.7%	5.0%	2.7M	-110.5M	-645.2K	0.40	5.01	N/A	N/A	9,282	3,684	395,997	156,183
2010-12-30	$7.72	$7.50	38.5%	11.0%	33.0%	35.8%	39.1%	-6.3%	4.1%	2.8M	-109.1M	-657.1K	0.06	5.22	N/A	N/A	4,880	302	401,847	159,061
2010-12-31	$7.57	$7.50	38.6%	11.1%	34.0%	36.0%	38.7%	-12.2%	4.1%	2.8M	-94.2M	-645.1K	0.86	5.61	N/A	N/A	1,788	1,533	402,182	158,992