BSX Options History — December 2011

In December 2011, BSX traded between $5.09 and $5.90. ATM implied volatility averaged 43.6%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 0.4% (HV 20d: 43.2%). Max pain ranged from $6.00 to $7.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2011-12-01: Highest Volume — 7,261 contracts
2011-12-02: Largest IV spike — 51.6% change
2011-12-02: Highest IV Rank — 66.8%
2011-12-02: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.32	$5.09	$5.90	$5.90	$5.34
Max Pain	$7.36	$6.00	$7.50	$6.00	$7.50
ATM IV	43.6%	36.5%	56.9%	37.5%	45.1%
Expected Move	12.0%	10.5%	16.3%	10.8%	12.9%
HV 20d	43.2%	36.3%	46.8%	36.3%	37.0%
HV 60d	40.1%	35.9%	42.6%	40.2%	36.2%
IV Rank	38.6%	23.7%	66.8%	25.8%	41.9%
IV Percentile	63.0%	30.6%	94.8%	41.7%	72.6%
Term Structure	3.4%	-8.0%	6.5%	2.5%	1.3%
VWIV	41.5%	31.8%	56.4%	37.5%	44.8%
Skew 25d	3.4%	-7.7%	15.7%	15.7%	0.5%
Skew 10d	7.7%	-16.3%	60.5%	24.7%	-16.3%
Call IV 25d	41.8%	33.2%	45.6%	33.2%	44.5%
Put IV 25d	45.2%	35.2%	55.5%	48.9%	45.0%
Bid-Ask Spread %	14.80	7.75	20.10	7.75	14.17
Gamma HHI	0.55	0.31	0.72	0.31	0.54
Net GEX	-294.6K	-626.8K	34.0K	34.0K	-273.5K
Net DEX	32.1M	22.3M	36.0M	22.3M	32.7M
Net VEX	-100.5K	-146.0K	-80.0K	-140.3K	-85.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.03	3.83	0.15	0.31
Total Volume	2,753.571	257	7,261	7,261	6,900
Total OI	296,887.429	287,050	304,142	302,095	289,412

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
2011-12-01	$5.90	$6.00	37.5%	10.8%	36.3%	25.8%	37.5%	15.7%	2.5%	34.0K	22.3M	-140.3K	0.15	7.75	N/A	N/A	6,321	940	184,942	117,153
2011-12-02	$5.50	$6.00	56.9%	16.3%	42.7%	66.8%	56.4%	10.0%	-8.0%	-67.9K	25.7M	-146.0K	0.37	7.84	N/A	N/A	4,079	1,508	186,009	117,546
2011-12-05	$5.60	$7.50	46.1%	12.2%	43.0%	43.9%	45.5%	3.6%	2.8%	-128.8K	27.5M	-128.3K	0.34	12.86	N/A	N/A	2,592	870	183,872	117,808
2011-12-06	$5.59	$7.50	44.3%	11.6%	43.0%	40.1%	41.0%	5.9%	3.8%	-164.3K	28.4M	-121.9K	0.13	12.22	N/A	N/A	1,661	223	184,601	117,541
2011-12-07	$5.59	$7.50	42.9%	11.6%	42.8%	37.2%	43.0%	3.9%	2.9%	-160.7K	28.6M	-119.6K	0.60	12.50	N/A	N/A	950	572	185,200	117,292
2011-12-08	$5.32	$7.50	56.6%	13.7%	45.9%	66.2%	47.4%	9.6%	2.6%	-250.7K	31.1M	-118.0K	1.38	15.00	N/A	N/A	1,463	2,015	185,697	117,489
2011-12-09	$5.34	$7.50	47.8%	13.0%	45.3%	47.4%	42.9%	7.5%	3.6%	-316.9K	32.1M	-109.0K	0.12	12.56	N/A	N/A	823	101	185,217	117,995
2011-12-12	$5.29	$7.50	52.9%	13.3%	45.1%	58.3%	44.5%	11.5%	2.0%	-387.7K	33.4M	-101.2K	1.05	18.44	N/A	N/A	978	1,031	185,486	117,992
2011-12-13	$5.33	$7.50	46.8%	12.9%	45.3%	45.4%	38.5%	11.6%	1.9%	-362.3K	33.5M	-98.5K	1.38	13.83	N/A	N/A	679	936	185,479	118,408
2011-12-14	$5.13	$7.50	48.0%	12.1%	46.8%	48.0%	42.2%	12.4%	4.2%	-532.7K	36.0M	-90.9K	3.83	18.33	N/A	N/A	616	2,361	185,806	118,259
2011-12-15	$5.11	$7.50	43.1%	12.4%	44.9%	37.6%	43.1%	6.6%	3.0%	-626.8K	35.6M	-90.0K	1.81	13.40	N/A	N/A	1,561	2,829	186,271	117,362
2011-12-16	$5.14	$7.50	40.9%	11.7%	44.5%	32.9%	42.6%	3.2%	5.1%	-529.5K	33.2M	-93.8K	2.01	20.10	N/A	N/A	802	1,611	186,792	117,350
2011-12-19	$5.09	$7.50	40.5%	11.6%	44.6%	32.0%	40.6%	5.2%	5.4%	-288.9K	34.7M	-84.8K	0.03	13.51	N/A	N/A	6,199	195	179,003	108,047
2011-12-20	$5.15	$7.50	39.1%	11.2%	44.3%	29.0%	38.9%	-3.2%	5.2%	-294.5K	34.4M	-85.5K	0.52	19.78	N/A	N/A	1,234	641	179,448	108,125
2011-12-21	$5.21	$7.50	37.8%	10.8%	44.5%	26.4%	37.7%	-4.7%	6.5%	-306.2K	34.2M	-84.3K	0.58	19.40	N/A	N/A	458	265	179,621	108,424
2011-12-22	$5.23	$7.50	36.9%	10.6%	44.5%	24.4%	31.8%	-5.9%	6.5%	-301.0K	34.1M	-85.3K	0.09	13.97	N/A	N/A	1,946	180	179,497	108,488
2011-12-23	$5.23	$7.50	36.5%	10.5%	44.4%	23.7%	36.6%	-6.1%	6.3%	-303.7K	34.3M	-82.9K	0.28	14.30	N/A	N/A	678	188	180,480	108,570
2011-12-27	$5.23	$7.50	38.7%	11.1%	42.9%	28.2%	38.7%	-6.6%	4.8%	-304.6K	34.3M	-81.1K	0.84	19.83	N/A	N/A	140	117	180,710	108,606
2011-12-28	$5.17	$7.50	38.1%	10.9%	42.1%	27.0%	38.1%	-7.7%	5.8%	-326.4K	34.7M	-80.0K	0.15	18.80	N/A	N/A	593	87	180,674	108,592
2011-12-29	$5.33	$7.50	39.1%	11.2%	37.0%	29.0%	39.1%	-2.6%	3.7%	-294.0K	32.9M	-82.7K	0.42	12.20	N/A	N/A	340	142	180,755	108,617
2011-12-30	$5.34	$7.50	45.1%	12.9%	37.0%	41.9%	44.8%	0.5%	1.3%	-273.5K	32.7M	-85.6K	0.31	14.17	N/A	N/A	5,286	1,614	180,797	108,615