BSX Options History — July 2012 In July 2012, BSX traded between $4.97 and $5.80. ATM implied volatility averaged 34.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 4.1% (HV 20d: 30.4%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.38.
Notable Days 2012-07-26 : Highest Volume — 10,332 contracts2012-07-26 : Largest IV drop — 21.8% change2012-07-25 : Highest IV Rank — 27.6%2012-07-25 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $5.47 $4.97 $5.80 $5.80 $5.17 Max Pain $5.76 $5.00 $6.00 $6.00 $5.00 ATM IV 34.5% 29.1% 40.8% 29.1% 34.0% Expected Move 9.8% 8.4% 11.7% 8.4% 9.8% HV 20d 30.4% 25.0% 40.2% 31.1% 38.0% HV 60d 26.5% 23.1% 30.4% 27.7% 30.4% IV Rank 13.2% 1.2% 27.6% 1.2% 12.1% IV Percentile 22.9% 0.8% 54.4% 0.8% 22.2% Term Structure -1.7% -6.1% 2.6% 2.6% -2.1% VWIV 34.9% 27.9% 42.8% 28.7% 34.1% Skew 25d -1.5% -11.2% 6.1% -3.0% -2.7% Skew 10d 8.7% -17.2% 53.3% -1.6% 4.2% Call IV 25d 38.0% 27.9% 49.6% 27.9% 40.0% Put IV 25d 36.5% 25.0% 41.2% 25.0% 37.3% Bid-Ask Spread % 10.88 4.27 35.39 11.81 28.52 Gamma HHI 0.32 0.22 0.40 0.33 0.22 Net GEX 335.7K 64.4K 550.2K 550.2K 64.4K Net DEX -2.9M -8.9M 2.6M -8.9M 1.7M Net VEX -91.9K -122.5K -55.3K -122.5K -55.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.04 1.45 0.30 0.05 Total Volume 1,894.857 426 10,332 990 773 Total OI 142,204.095 130,282 146,416 143,018 141,374
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 2012-07-02 $5.80 $6.00 29.1% 8.4% 31.1% 1.2% 28.7% -3.0% 2.6% 550.2K -8.9M -122.5K 0.30 11.81 N/A N/A 762 228 106,015 37,003 2012-07-03 $5.80 $6.00 30.2% 8.7% 31.0% 3.8% 30.3% -3.2% 0.9% 549.3K -8.5M -118.8K 0.29 7.47 N/A N/A 1,342 388 106,327 37,092 2012-07-05 $5.72 $6.00 31.6% 9.1% 31.0% 7.0% 31.6% -5.8% 1.0% 517.2K -7.8M -115.9K 0.07 10.35 N/A N/A 955 68 107,119 37,381 2012-07-06 $5.65 $6.00 33.3% 9.4% 31.4% 10.7% 32.6% 2.9% -0.3% 462.2K -5.5M -107.3K 0.11 12.27 N/A N/A 1,150 129 107,322 37,383 2012-07-09 $5.62 $6.00 37.3% 9.9% 31.2% 19.7% 34.5% 0.3% -1.9% 419.7K -4.9M -101.0K 0.04 4.97 N/A N/A 520 22 106,850 37,451 2012-07-10 $5.51 $6.00 32.0% 10.1% 31.9% 7.5% 35.7% 4.1% -3.6% 345.2K -2.1M -96.4K 0.12 13.65 N/A N/A 414 48 107,147 37,471 2012-07-11 $5.62 $6.00 38.7% 9.3% 30.3% 22.7% 37.4% 6.1% -1.6% 412.6K -3.7M -95.3K 0.06 17.36 N/A N/A 2,081 119 107,092 37,488 2012-07-12 $5.57 $6.00 34.3% 9.8% 29.0% 12.8% 35.4% 0.7% -2.3% 406.5K -4.3M -98.9K 1.45 18.01 N/A N/A 612 888 108,425 37,603 2012-07-13 $5.59 $6.00 35.9% 10.3% 28.3% 16.4% 36.3% -0.4% -4.0% 418.2K -4.6M -99.4K 0.10 6.30 N/A N/A 1,286 124 108,429 37,396 2012-07-16 $5.57 $6.00 34.0% 9.7% 26.4% 12.0% 33.4% 5.9% -1.0% 404.5K -3.4M -94.3K 0.40 5.26 N/A N/A 408 164 108,983 37,412 2012-07-17 $5.63 $6.00 32.9% 9.4% 25.0% 9.6% 34.3% 5.6% -1.4% 446.3K -4.6M -104.6K 0.05 6.29 N/A N/A 406 20 108,994 37,378 2012-07-18 $5.56 $6.00 35.6% 10.2% 25.3% 15.7% 36.5% 3.9% -4.4% 347.0K -2.3M -88.0K 0.97 5.41 N/A N/A 579 563 109,028 37,388 2012-07-19 $5.58 $6.00 34.7% 10.0% 25.1% 13.7% 36.2% 5.1% -3.5% 325.5K -2.0M -85.5K 0.20 5.62 N/A N/A 400 79 108,725 37,087 2012-07-20 $5.38 $6.00 36.1% 10.4% 27.5% 16.9% 40.1% -3.2% -0.3% 259.9K -690.2K -81.2K 0.31 5.54 N/A N/A 1,606 491 108,902 37,114 2012-07-23 $5.26 $6.00 37.4% 10.7% 27.7% 19.7% 42.8% -6.7% -1.8% 204.9K -302.8K -75.9K 0.51 6.49 N/A N/A 1,961 1,002 99,024 31,258 2012-07-24 $5.20 $6.00 38.3% 11.0% 25.8% 21.8% 39.5% -9.9% -2.9% 195.3K -248.9K -81.1K 0.09 7.46 N/A N/A 3,196 282 99,626 31,832 2012-07-25 $5.33 $5.00 40.8% 11.7% 27.6% 27.6% 41.9% -4.8% -6.1% 244.4K -1.3M -81.7K 0.74 35.39 N/A N/A 1,032 768 101,218 32,077 2012-07-26 $4.97 $5.00 31.9% 9.2% 35.4% 7.3% 32.0% -10.0% -0.1% 108.2K 2.6M -68.0K 0.67 6.42 N/A N/A 6,176 4,156 101,585 32,489 2012-07-27 $5.22 $5.00 32.6% 9.4% 40.2% 8.9% 32.6% -5.2% -1.2% 173.8K -153.3K -75.7K 0.29 9.66 N/A N/A 3,001 867 105,863 35,404 2012-07-30 $5.16 $5.00 33.6% 9.6% 39.3% 11.0% 27.9% -11.2% -2.1% 194.5K -861.3K -83.7K 1.15 4.27 N/A N/A 338 388 106,851 35,680 2012-07-31 $5.17 $5.00 34.0% 9.8% 38.0% 12.1% 34.1% -2.7% -2.1% 64.4K 1.7M -55.3K 0.05 28.52 N/A N/A 734 39 106,009 35,365
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