BSX Options History — August 2011

In August 2011, BSX traded between $5.91 and $6.92. ATM implied volatility averaged 49.6%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 13.1% (HV 20d: 62.7%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.61.

Notable Days

2011-08-11: Highest Volume — 23,857 contracts
2011-08-04: Largest IV spike — 34.5% change
2011-08-05: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.41	$5.91	$6.92	$6.92	$6.78
Max Pain	$7.00	$7.00	$7.00	$7.00	$7.00
ATM IV	49.6%	35.4%	72.6%	37.6%	35.4%
Expected Move	13.7%	10.1%	16.8%	10.8%	10.1%
HV 20d	62.7%	41.5%	73.4%	41.5%	65.3%
HV 60d	44.1%	35.8%	48.1%	38.0%	48.1%
IV Rank	57.0%	21.2%	100.0%	44.5%	21.2%
IV Percentile	83.5%	28.6%	100.0%	46.4%	28.6%
Term Structure	0.2%	-3.6%	5.3%	0.8%	4.7%
VWIV	48.0%	35.7%	61.4%	37.5%	35.7%
Skew 25d	8.4%	2.6%	13.4%	5.8%	9.6%
Skew 10d	15.7%	-2.7%	46.7%	8.4%	10.0%
Call IV 25d	45.3%	34.7%	56.1%	40.8%	38.7%
Put IV 25d	53.8%	45.1%	64.1%	46.6%	48.3%
Bid-Ask Spread %	14.93	6.34	70.53	9.99	8.43
Gamma HHI	0.25	0.20	0.30	0.22	0.27
Net GEX	331.6K	-33.5K	587.1K	587.1K	580.1K
Net DEX	6.8M	-12.4M	22.6M	-10.4M	-12.4M
Net VEX	-397.3K	-444.5K	-353.2K	-444.5K	-422.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.04	3.44	0.99	0.09
Total Volume	6,998.826	736	23,857	3,014	5,395
Total OI	359,678.261	323,146	402,059	351,783	336,632

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
2011-08-01	$6.92	$7.00	37.6%	10.8%	41.5%	44.5%	37.5%	5.8%	0.8%	587.1K	-10.4M	-444.5K	0.99	9.99	N/A	N/A	1,517	1,497	213,483	138,300
2011-08-02	$6.64	$7.00	39.9%	11.4%	43.6%	53.2%	40.5%	3.4%	0.0%	369.3K	3.6M	-406.0K	0.60	10.50	N/A	N/A	9,767	5,826	213,577	139,236
2011-08-03	$6.77	$7.00	37.2%	10.7%	44.3%	43.4%	37.2%	2.6%	2.2%	492.6K	-414.7K	-429.4K	0.46	9.28	N/A	N/A	1,162	537	216,575	144,398
2011-08-04	$6.39	$7.00	50.1%	14.4%	48.1%	90.3%	46.4%	3.6%	-2.4%	196.5K	14.0M	-386.2K	0.62	14.41	N/A	N/A	838	516	214,328	143,954
2011-08-05	$6.49	$7.00	56.9%	14.1%	48.6%	100.0%	54.0%	6.6%	-0.5%	251.3K	8.2M	-405.5K	0.42	17.05	N/A	N/A	1,938	815	214,389	143,839
2011-08-08	$6.00	$7.00	72.6%	16.8%	54.6%	100.0%	61.4%	8.5%	-3.6%	85.0K	20.3M	-358.2K	1.83	57.15	N/A	N/A	4,857	8,879	214,989	143,682
2011-08-09	$6.34	$7.00	59.2%	15.0%	59.2%	71.7%	52.3%	7.5%	-0.7%	200.9K	12.6M	-383.3K	0.41	15.31	N/A	N/A	13,429	5,557	217,643	142,743
2011-08-10	$5.91	$7.00	69.7%	16.4%	63.3%	93.9%	59.0%	8.0%	-3.3%	130.7K	21.7M	-353.2K	0.41	11.94	N/A	N/A	3,172	1,303	228,162	145,770
2011-08-11	$6.35	$7.00	55.4%	15.9%	69.6%	63.6%	52.4%	7.6%	-2.7%	262.9K	10.9M	-401.9K	0.53	10.53	N/A	N/A	15,641	8,216	229,947	146,465
2011-08-12	$6.41	$7.00	52.0%	14.9%	69.7%	56.3%	50.0%	7.6%	-1.5%	357.0K	8.5M	-427.6K	0.04	70.53	N/A	N/A	6,534	237	244,479	153,605
2011-08-15	$6.53	$7.00	45.8%	13.1%	70.1%	43.3%	48.3%	4.1%	0.1%	490.2K	2.9M	-443.9K	0.13	6.34	N/A	N/A	1,442	189	248,351	153,708
2011-08-16	$6.41	$7.00	47.6%	13.6%	69.1%	47.0%	47.5%	6.9%	1.8%	320.3K	10.5M	-405.0K	1.47	8.58	N/A	N/A	2,511	3,686	239,069	153,688
2011-08-17	$6.48	$7.00	46.3%	13.3%	69.1%	44.3%	42.4%	6.2%	1.5%	316.1K	13.9M	-402.1K	0.50	6.75	N/A	N/A	490	246	241,071	156,570
2011-08-18	$6.06	$7.00	54.6%	15.6%	72.3%	61.8%	54.3%	11.8%	-2.0%	-33.5K	22.6M	-363.6K	0.07	13.93	N/A	N/A	14,301	1,061	236,431	151,695
2011-08-19	$6.12	$7.00	54.2%	15.5%	72.0%	61.0%	54.1%	10.4%	-2.2%	39.1K	17.5M	-376.6K	0.11	10.42	N/A	N/A	9,386	1,062	245,925	152,300
2011-08-22	$6.09	$7.00	53.2%	15.3%	72.0%	59.0%	52.7%	11.8%	-0.6%	352.5K	8.0M	-362.7K	0.14	14.81	N/A	N/A	2,309	323	203,789	119,357
2011-08-23	$6.34	$7.00	49.7%	14.3%	73.4%	51.6%	48.5%	12.5%	2.2%	434.0K	2.9M	-379.9K	0.47	8.89	N/A	N/A	2,009	951	204,230	119,494
2011-08-24	$6.32	$7.00	49.3%	14.1%	72.8%	50.7%	48.1%	12.3%	0.3%	428.7K	3.8M	-378.6K	3.44	7.94	N/A	N/A	2,459	8,449	205,119	120,144
2011-08-25	$6.35	$7.00	51.3%	14.7%	65.8%	54.9%	48.2%	13.4%	0.5%	387.0K	2.2M	-396.4K	0.32	8.13	N/A	N/A	2,015	648	205,773	125,757
2011-08-26	$6.37	$7.00	48.7%	14.0%	65.8%	49.5%	48.6%	10.4%	1.4%	363.2K	5.3M	-381.3K	0.28	7.29	N/A	N/A	1,147	321	206,379	128,291
2011-08-29	$6.64	$7.00	36.5%	10.5%	66.9%	23.6%	38.1%	13.1%	5.3%	498.9K	-4.7M	-412.4K	0.18	7.77	N/A	N/A	2,880	527	205,889	128,325
2011-08-30	$6.64	$7.00	37.8%	10.8%	65.3%	26.3%	47.8%	10.5%	4.0%	516.6K	-5.8M	-416.9K	0.63	7.37	N/A	N/A	3,016	1,912	206,695	128,354
2011-08-31	$6.78	$7.00	35.4%	10.1%	65.3%	21.2%	35.7%	9.6%	4.7%	580.1K	-12.4M	-422.6K	0.09	8.43	N/A	N/A	4,946	449	208,841	127,791