BSX Options History — March 2011

In March 2011, BSX traded between $6.93 and $7.78. ATM implied volatility averaged 39.5%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 1.1% (HV 20d: 38.3%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.62.

Notable Days

2011-03-01: Highest Volume — 19,279 contracts
2011-03-04: Largest IV spike — 26.9% change
2011-03-04: Highest IV Rank — 41.6%
2011-03-16: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.31	$6.93	$7.78	$7.52	$7.19
Max Pain	$6.96	$6.00	$7.00	$6.00	$7.00
ATM IV	39.5%	34.2%	47.2%	38.8%	39.6%
Expected Move	11.1%	9.8%	12.1%	11.1%	11.4%
HV 20d	38.3%	34.2%	43.6%	36.6%	35.2%
HV 60d	32.0%	30.9%	33.1%	32.0%	32.6%
IV Rank	26.8%	16.7%	41.6%	25.5%	27.1%
IV Percentile	45.8%	10.3%	92.1%	38.9%	49.2%
Term Structure	-0.2%	-2.7%	3.9%	-2.0%	1.1%
VWIV	39.2%	34.1%	45.8%	38.4%	40.1%
Skew 25d	1.4%	-10.2%	35.3%	-1.3%	35.3%
Skew 10d	9.9%	-16.3%	83.6%	-7.0%	83.6%
Call IV 25d	41.1%	36.4%	45.7%	39.0%	44.8%
Put IV 25d	42.5%	32.9%	80.1%	37.7%	80.1%
Bid-Ask Spread %	8.81	4.77	13.71	6.23	9.65
Gamma HHI	0.22	0.21	0.24	0.21	0.23
Net GEX	605.2K	227.2K	1.2M	756.6K	444.1K
Net DEX	-32.7M	-56.3M	-16.6M	-44.2M	-26.8M
Net VEX	-489.1K	-521.4K	-456.5K	-505.2K	-470.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.03	3.57	0.34	1.59
Total Volume	4,646.957	907	19,279	19,279	1,895
Total OI	300,449.478	284,272	314,435	284,272	298,698

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
2011-03-01	$7.52	$6.00	38.8%	11.1%	36.6%	25.5%	38.4%	-1.3%	-2.0%	756.6K	-44.2M	-505.2K	0.34	6.23	N/A	N/A	14,401	4,878	183,422	100,850
2011-03-02	$7.37	$7.00	36.4%	10.4%	37.0%	21.0%	38.1%	-3.1%	0.2%	729.2K	-37.9M	-509.1K	2.03	4.77	N/A	N/A	2,765	5,616	190,674	102,820
2011-03-03	$7.56	$7.00	37.2%	10.7%	34.4%	22.6%	37.3%	-1.4%	-1.2%	804.7K	-43.3M	-515.3K	0.06	4.79	N/A	N/A	4,537	275	189,346	108,080
2011-03-04	$7.53	$7.00	47.2%	11.5%	34.2%	41.6%	40.5%	-2.9%	-2.7%	843.0K	-42.3M	-510.4K	0.10	8.08	N/A	N/A	11,273	1,100	191,199	105,876
2011-03-07	$7.47	$7.00	43.8%	11.2%	34.4%	35.1%	39.7%	-2.3%	-0.8%	886.3K	-41.3M	-514.1K	0.25	7.11	N/A	N/A	1,249	318	195,677	106,881
2011-03-08	$7.63	$7.00	42.3%	10.9%	34.8%	32.2%	38.2%	-2.7%	-0.2%	1.0M	-48.5M	-513.6K	0.06	7.91	N/A	N/A	2,234	129	196,000	106,852
2011-03-09	$7.78	$7.00	43.0%	11.0%	35.2%	33.5%	40.0%	-1.5%	-0.6%	1.2M	-56.3M	-521.4K	0.06	9.00	N/A	N/A	7,369	478	197,485	106,820
2011-03-10	$7.44	$7.00	39.7%	11.4%	39.1%	27.3%	39.6%	-1.2%	-1.7%	901.7K	-42.6M	-506.6K	1.70	7.85	N/A	N/A	2,115	3,590	197,997	106,936
2011-03-11	$7.51	$7.00	40.5%	11.6%	39.2%	28.9%	41.0%	-1.0%	-1.0%	903.8K	-42.4M	-516.2K	3.57	6.98	N/A	N/A	1,491	5,327	199,240	110,139
2011-03-14	$7.30	$7.00	40.7%	11.7%	40.8%	29.2%	41.0%	-0.1%	-0.2%	635.3K	-32.1M	-492.6K	1.25	8.79	N/A	N/A	872	1,092	199,960	113,395
2011-03-15	$7.08	$7.00	40.9%	11.7%	42.3%	29.7%	42.0%	0.4%	-0.9%	426.2K	-23.8M	-484.4K	0.20	10.80	N/A	N/A	2,931	579	199,948	113,783
2011-03-16	$6.93	$7.00	42.2%	12.1%	43.0%	32.1%	45.8%	-0.9%	-2.0%	417.7K	-16.9M	-473.1K	0.71	10.91	N/A	N/A	878	625	199,909	114,032
2011-03-17	$7.12	$7.00	40.2%	11.5%	43.6%	28.2%	40.4%	4.0%	2.8%	481.7K	-23.2M	-481.9K	0.23	9.37	N/A	N/A	1,677	387	199,787	113,977
2011-03-18	$7.20	$7.00	39.5%	11.3%	41.0%	26.9%	39.9%	1.4%	-0.8%	385.1K	-27.1M	-483.3K	0.07	8.92	N/A	N/A	4,295	284	200,387	114,048
2011-03-21	$7.27	$7.00	37.3%	10.7%	40.6%	22.7%	39.3%	-5.0%	-0.7%	383.9K	-29.9M	-491.6K	0.07	13.71	N/A	N/A	3,709	266	178,788	109,876
2011-03-22	$6.98	$7.00	37.6%	10.8%	41.2%	23.4%	38.3%	-10.2%	0.0%	253.1K	-18.7M	-465.3K	0.84	9.40	N/A	N/A	2,021	1,692	180,839	109,396
2011-03-23	$7.00	$7.00	34.2%	9.8%	39.5%	16.7%	34.1%	1.1%	3.9%	227.2K	-16.6M	-456.5K	0.25	7.40	N/A	N/A	723	184	181,378	109,840
2011-03-24	$7.10	$7.00	36.1%	10.4%	39.9%	20.5%	36.1%	5.4%	1.3%	267.4K	-18.8M	-458.3K	0.03	9.52	N/A	N/A	1,549	53	181,508	109,934
2011-03-25	$7.21	$7.00	37.3%	10.7%	39.4%	22.7%	37.3%	2.0%	1.2%	347.3K	-25.3M	-468.1K	0.13	11.63	N/A	N/A	1,035	133	182,561	109,980
2011-03-28	$7.28	$7.00	38.2%	11.0%	39.5%	24.5%	38.4%	0.9%	-0.3%	443.6K	-27.4M	-465.9K	0.09	10.23	N/A	N/A	5,714	510	183,205	110,037
2011-03-29	$7.31	$7.00	38.1%	10.9%	35.3%	24.2%	38.7%	16.0%	0.0%	578.2K	-31.0M	-477.2K	0.38	11.14	N/A	N/A	2,323	878	188,425	110,201
2011-03-30	$7.41	$7.00	36.7%	10.5%	34.9%	21.7%	37.1%	-0.8%	1.0%	627.2K	-35.3M	-467.9K	0.27	8.38	N/A	N/A	1,127	303	189,574	110,578
2011-03-31	$7.19	$7.00	39.6%	11.4%	35.2%	27.1%	40.1%	35.3%	1.1%	444.1K	-26.8M	-470.3K	1.59	9.65	N/A	N/A	731	1,164	188,024	110,674