BSX Options History — March 2012

In March 2012, BSX traded between $5.70 and $6.18. ATM implied volatility averaged 35.4%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.5% (HV 20d: 31.9%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.76.

Notable Days

2012-03-06: Highest Volume — 37,632 contracts
2012-03-06: Largest IV spike — 22.6% change
2012-03-14: Highest IV Rank — 31.1%
2012-03-06: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.97	$5.70	$6.18	$6.08	$5.98
Max Pain	$6.00	$6.00	$6.00	$6.00	$6.00
ATM IV	35.4%	32.0%	42.2%	33.9%	32.3%
Expected Move	9.9%	9.2%	11.4%	9.7%	9.3%
HV 20d	31.9%	27.2%	35.8%	33.6%	27.2%
HV 60d	28.9%	28.3%	30.2%	29.2%	29.0%
IV Rank	15.5%	8.0%	31.1%	12.2%	8.6%
IV Percentile	23.0%	7.1%	61.1%	12.3%	8.3%
Term Structure	2.3%	0.5%	4.7%	2.9%	3.8%
VWIV	38.3%	32.4%	47.4%	34.0%	36.5%
Skew 25d	-3.1%	-12.1%	47.4%	-9.7%	-7.4%
Skew 10d	-4.1%	-19.0%	87.7%	-14.5%	-11.5%
Call IV 25d	44.3%	39.6%	49.5%	42.5%	46.7%
Put IV 25d	41.3%	31.4%	90.8%	32.8%	39.3%
Bid-Ask Spread %	8.59	4.04	17.22	4.04	7.34
Gamma HHI	0.29	0.26	0.33	0.28	0.30
Net GEX	377.6K	159.8K	544.9K	335.4K	373.1K
Net DEX	-14.7M	-23.4M	-4.2M	-14.2M	-15.3M
Net VEX	-256.4K	-281.0K	-203.6K	-214.7K	-253.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.02	4.30	1.25	0.10
Total Volume	5,375	906	37,632	5,751	1,556
Total OI	210,487.5	173,071	231,250	173,071	214,432

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
2012-03-01	$6.08	$6.00	33.9%	9.7%	33.6%	12.2%	34.0%	-9.7%	2.9%	335.4K	-14.2M	-214.7K	1.25	4.04	N/A	N/A	2,555	3,196	116,141	56,930
2012-03-02	$6.00	$6.00	32.4%	9.3%	30.2%	8.9%	32.4%	-12.1%	4.7%	269.8K	-11.8M	-213.2K	1.84	5.85	N/A	N/A	2,036	3,740	118,307	59,213
2012-03-05	$5.84	$6.00	33.7%	10.5%	29.6%	11.7%	38.4%	1.7%	2.4%	189.9K	-6.7M	-203.6K	0.72	7.52	N/A	N/A	4,043	2,892	119,527	61,727
2012-03-06	$5.70	$6.00	41.3%	11.4%	30.6%	28.9%	47.4%	-1.2%	0.5%	159.8K	-4.2M	-207.7K	0.10	6.64	N/A	N/A	34,182	3,450	122,123	63,577
2012-03-07	$5.73	$6.00	37.4%	10.9%	30.6%	20.2%	39.7%	-1.0%	0.6%	330.7K	-10.1M	-260.0K	4.30	5.69	N/A	N/A	1,202	5,168	154,489	64,873
2012-03-08	$5.93	$6.00	36.1%	10.5%	33.2%	17.1%	37.4%	-1.0%	2.5%	379.2K	-14.8M	-279.0K	1.03	7.03	N/A	N/A	1,839	1,900	154,771	69,420
2012-03-09	$5.95	$6.00	36.4%	10.0%	33.2%	17.9%	37.4%	-0.5%	2.4%	377.2K	-15.0M	-281.0K	0.39	7.78	N/A	N/A	2,672	1,036	155,211	70,358
2012-03-12	$5.85	$6.00	41.9%	10.3%	33.7%	30.4%	36.1%	-2.2%	1.4%	326.5K	-11.4M	-264.0K	0.28	7.23	N/A	N/A	1,589	445	156,321	70,474
2012-03-13	$5.96	$6.00	40.5%	10.1%	34.4%	27.2%	42.3%	-3.4%	1.2%	403.0K	-15.3M	-263.8K	0.11	14.12	N/A	N/A	3,995	422	156,921	70,403
2012-03-14	$5.88	$6.00	42.2%	10.1%	34.7%	31.1%	35.8%	-2.8%	2.1%	389.5K	-11.2M	-265.3K	0.17	6.45	N/A	N/A	1,808	305	159,769	70,398
2012-03-15	$6.00	$6.00	35.1%	10.1%	35.4%	15.0%	41.4%	-5.0%	1.7%	509.0K	-16.6M	-268.0K	0.45	12.99	N/A	N/A	1,017	459	160,458	70,428
2012-03-16	$6.12	$6.00	34.4%	9.9%	35.8%	13.5%	38.8%	47.4%	3.1%	544.9K	-23.4M	-277.5K	0.55	17.22	N/A	N/A	4,387	2,394	160,802	70,448
2012-03-19	$6.04	$6.00	34.2%	9.8%	35.4%	12.9%	35.6%	-8.9%	2.1%	370.9K	-16.0M	-271.8K	0.75	13.62	N/A	N/A	2,713	2,026	140,055	63,222
2012-03-20	$6.03	$6.00	33.3%	9.6%	34.8%	10.9%	35.1%	-6.3%	1.7%	376.3K	-16.1M	-263.1K	0.19	15.97	N/A	N/A	6,041	1,172	141,459	63,880
2012-03-21	$6.03	$6.00	32.0%	9.2%	34.6%	8.0%	34.9%	-5.2%	2.7%	385.5K	-17.2M	-271.8K	0.82	7.45	N/A	N/A	1,171	955	142,691	63,723
2012-03-22	$6.00	$6.00	32.0%	9.2%	34.6%	8.0%	32.7%	-11.3%	3.7%	382.5K	-14.9M	-260.9K	1.44	5.63	N/A	N/A	372	534	142,764	64,034
2012-03-23	$5.97	$6.00	33.7%	9.7%	27.4%	11.7%	47.3%	-6.8%	1.5%	353.5K	-15.0M	-259.9K	0.02	5.85	N/A	N/A	6,858	126	142,845	64,252
2012-03-26	$6.08	$6.00	33.4%	9.6%	28.2%	11.2%	36.8%	-4.2%	1.9%	487.7K	-17.6M	-259.3K	0.54	6.64	N/A	N/A	1,161	625	148,471	64,302
2012-03-27	$6.18	$6.00	34.0%	9.7%	28.5%	12.4%	45.1%	-9.1%	1.7%	529.5K	-22.2M	-271.7K	0.27	7.28	N/A	N/A	2,885	782	148,972	64,544
2012-03-28	$6.04	$6.00	33.0%	9.5%	28.6%	10.2%	40.7%	-8.9%	3.4%	437.4K	-17.4M	-266.3K	0.31	7.60	N/A	N/A	832	259	148,968	64,854
2012-03-29	$6.00	$6.00	34.5%	9.9%	27.5%	13.6%	37.4%	-9.7%	2.2%	395.2K	-16.0M	-263.8K	1.22	9.03	N/A	N/A	652	798	149,285	64,883
2012-03-30	$5.98	$6.00	32.3%	9.3%	27.2%	8.6%	36.5%	-7.4%	3.8%	373.1K	-15.3M	-253.6K	0.10	7.34	N/A	N/A	1,421	135	149,373	65,059