BSX Options History — October 2013

In October 2013, BSX traded between $11.46 and $12.38. ATM implied volatility averaged 34.6%, placing in the 75.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 11.4% (HV 20d: 23.2%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.41.

Notable Days

2013-10-24: Highest Volume — 28,926 contracts
2013-10-24: Largest IV drop — 28.4% change
2013-10-07: Highest IV Rank — 100.0%
2013-10-08: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.89	$11.46	$12.38	$11.76	$11.69
Max Pain	$11.38	$10.00	$12.00	$11.00	$12.00
ATM IV	34.6%	24.8%	41.4%	34.8%	24.8%
Expected Move	10.1%	9.6%	11.5%	10.0%	9.9%
HV 20d	23.2%	14.2%	30.7%	28.7%	30.4%
HV 60d	31.7%	25.0%	35.9%	35.9%	28.2%
IV Rank	75.5%	37.0%	100.0%	81.7%	37.0%
IV Percentile	74.1%	3.2%	100.0%	89.3%	3.2%
Term Structure	-2.7%	-6.8%	1.7%	1.1%	1.7%
VWIV	35.8%	33.1%	39.7%	35.7%	35.3%
Skew 25d	2.2%	-1.8%	7.2%	-1.8%	7.2%
Skew 10d	3.1%	-13.7%	10.5%	-1.6%	10.5%
Call IV 25d	35.2%	22.6%	39.7%	38.3%	22.6%
Put IV 25d	37.3%	29.4%	41.7%	36.4%	29.8%
Bid-Ask Spread %	13.65	7.53	73.89	13.20	9.39
Gamma HHI	0.35	0.29	0.46	0.34	0.30
Net GEX	1.1M	738.9K	1.4M	838.3K	1.2M
Net DEX	-52.0M	-64.9M	-42.8M	-48.1M	-44.2M
Net VEX	-174.3K	-199.4K	-150.7K	-175.4K	-193.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.02	1.25	0.33	0.70
Total Volume	5,004.217	642	28,926	2,119	814
Total OI	117,995.826	105,342	137,953	108,559	137,953

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
2013-10-01	$11.76	$11.00	34.8%	10.0%	28.7%	81.7%	35.7%	-1.8%	1.1%	838.3K	-48.1M	-175.4K	0.33	13.20	N/A	N/A	1,594	525	73,534	35,025
2013-10-02	$11.75	$11.00	35.3%	10.1%	28.8%	83.9%	36.8%	-1.0%	0.9%	841.7K	-48.2M	-174.5K	0.15	12.28	N/A	N/A	2,194	319	73,549	34,985
2013-10-03	$11.66	$11.00	35.9%	10.3%	21.0%	86.2%	37.8%	-1.0%	0.8%	841.1K	-47.4M	-179.3K	0.59	18.98	N/A	N/A	996	586	75,000	34,946
2013-10-04	$11.69	$11.00	36.0%	10.5%	20.8%	86.7%	36.7%	2.1%	-3.6%	858.9K	-48.1M	-175.7K	0.70	9.23	N/A	N/A	378	264	75,338	35,206
2013-10-07	$11.63	$11.00	39.8%	10.8%	14.2%	100.0%	38.6%	1.8%	-3.5%	820.7K	-46.9M	-175.2K	0.27	7.53	N/A	N/A	563	151	75,509	35,305
2013-10-08	$11.46	$11.00	41.4%	11.5%	15.0%	100.0%	39.7%	2.0%	-5.4%	738.9K	-42.8M	-178.1K	0.16	11.22	N/A	N/A	1,629	260	75,607	35,381
2013-10-09	$11.72	$11.00	37.5%	11.1%	17.3%	84.9%	39.7%	2.2%	-4.7%	877.8K	-48.9M	-171.5K	0.44	14.02	N/A	N/A	692	302	76,098	35,539
2013-10-10	$11.88	$11.00	37.0%	10.6%	18.1%	83.0%	37.7%	2.6%	-3.6%	1.1M	-51.5M	-169.8K	0.71	10.25	N/A	N/A	1,810	1,283	76,213	35,627
2013-10-11	$11.87	$11.00	37.0%	10.6%	17.9%	83.0%	37.1%	2.8%	-3.9%	1.1M	-51.8M	-164.6K	0.53	9.28	N/A	N/A	937	494	76,509	36,542
2013-10-14	$12.21	$0.00	38.4%	9.8%	20.4%	88.4%	0.0%	1.4%	-5.0%	1.2M	-59.8M	-157.9K	0.34	73.89	N/A	N/A	4,971	1,715	76,373	36,629
2013-10-15	$12.08	$0.00	38.4%	9.8%	20.9%	88.5%	34.4%	2.2%	-4.9%	1.2M	-56.3M	-161.5K	0.90	8.85	N/A	N/A	1,707	1,528	76,877	37,368
2013-10-16	$12.38	$10.00	38.8%	9.6%	22.5%	89.9%	33.1%	1.9%	-6.3%	1.1M	-63.9M	-150.7K	0.10	8.99	N/A	N/A	5,973	605	77,051	37,746
2013-10-17	$12.38	$10.00	38.1%	9.9%	21.5%	87.2%	34.2%	2.6%	-5.6%	1.3M	-64.9M	-153.4K	0.13	8.68	N/A	N/A	4,553	599	79,096	37,801
2013-10-18	$12.28	$12.00	38.5%	9.9%	21.4%	88.9%	0.0%	3.0%	-5.8%	973.8K	-64.2M	-167.3K	0.13	9.29	N/A	N/A	3,008	377	81,694	38,190
2013-10-21	$12.22	$12.00	35.8%	9.9%	21.0%	78.5%	34.1%	3.8%	-4.5%	1.0M	-58.2M	-160.6K	0.45	9.21	N/A	N/A	11,471	5,171	73,785	31,557
2013-10-22	$12.29	$12.00	36.6%	9.8%	20.9%	81.7%	33.8%	2.7%	-5.1%	1.2M	-62.4M	-175.8K	0.10	8.75	N/A	N/A	2,229	212	81,692	33,634
2013-10-23	$12.29	$12.00	39.2%	10.0%	20.8%	91.5%	0.0%	3.0%	-6.8%	1.2M	-62.2M	-176.6K	0.34	11.54	N/A	N/A	5,520	1,903	81,790	33,774
2013-10-24	$11.54	$12.00	28.1%	9.7%	30.7%	49.2%	33.7%	1.8%	-0.8%	1.1M	-44.5M	-170.6K	0.62	10.87	N/A	N/A	17,909	11,017	84,381	34,206
2013-10-25	$11.62	$12.00	26.4%	9.8%	30.5%	42.7%	34.3%	2.2%	0.6%	1.2M	-43.0M	-199.4K	1.25	9.19	N/A	N/A	2,025	2,526	93,646	43,230
2013-10-28	$11.58	$12.00	26.8%	9.9%	29.7%	44.4%	34.0%	3.1%	0.3%	1.1M	-42.8M	-193.2K	0.02	9.81	N/A	N/A	6,130	141	94,076	41,768
2013-10-29	$11.79	$12.00	25.3%	9.9%	30.4%	38.8%	34.2%	2.4%	1.4%	1.4M	-48.7M	-192.0K	0.22	19.67	N/A	N/A	4,694	1,031	95,042	41,790
2013-10-30	$11.70	$12.00	25.8%	9.9%	30.6%	40.6%	34.6%	2.7%	0.8%	1.2M	-46.5M	-191.5K	0.22	9.74	N/A	N/A	1,881	410	94,922	41,920
2013-10-31	$11.69	$12.00	24.8%	9.9%	30.4%	37.0%	35.3%	7.2%	1.7%	1.2M	-44.2M	-193.3K	0.70	9.39	N/A	N/A	479	335	95,823	42,130