BSX Options History — December 2014

In December 2014, BSX traded between $12.60 and $13.37. ATM implied volatility averaged 30.6%, placing in the 70.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 7.1% (HV 20d: 23.6%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.03.

Notable Days

2014-12-01: Highest Volume — 26,772 contracts
2014-12-11: Largest IV spike — 50.0% change
2014-12-15: Highest IV Rank — 100.0%
2014-12-15: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.02	$12.60	$13.37	$12.91	$13.25
Max Pain	$12.55	$12.00	$13.00	$13.00	$12.00
ATM IV	30.6%	20.7%	38.8%	21.6%	34.0%
Expected Move	10.4%	7.3%	11.7%	7.3%	10.6%
HV 20d	23.6%	20.3%	28.3%	22.6%	20.9%
HV 60d	24.2%	23.1%	24.9%	23.6%	24.7%
IV Rank	70.0%	32.4%	100.0%	36.1%	81.9%
IV Percentile	76.9%	7.1%	100.0%	16.7%	96.0%
Term Structure	3.5%	-3.0%	6.9%	2.0%	3.1%
VWIV	37.3%	26.1%	44.6%	26.1%	37.0%
Skew 25d	4.5%	-0.1%	7.6%	1.8%	5.8%
Skew 10d	8.8%	-2.0%	19.2%	2.5%	10.4%
Call IV 25d	31.9%	22.6%	37.1%	22.8%	33.9%
Put IV 25d	36.4%	23.6%	44.2%	24.6%	39.7%
Bid-Ask Spread %	17.48	9.67	36.25	13.51	9.67
Gamma HHI	0.46	0.34	0.65	0.47	0.34
Net GEX	-1.2M	-2.9M	-348.7K	-755.7K	-846.4K
Net DEX	11.7K	-11.8M	19.9M	-3.7M	-8.0M
Net VEX	-212.0K	-236.3K	-147.5K	-147.5K	-218.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.03	0.38	9.97	6.71	1.13
Total Volume	9,830.136	2,892	26,772	26,772	2,892
Total OI	138,035.409	106,850	164,406	106,850	143,213

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
2014-12-01	$12.91	$13.00	21.6%	7.3%	22.6%	36.1%	26.1%	1.8%	2.0%	-755.7K	-3.7M	-147.5K	6.71	13.51	N/A	N/A	3,472	23,300	62,909	43,941
2014-12-02	$12.94	$13.00	21.4%	7.3%	22.7%	35.3%	26.4%	2.2%	2.7%	-458.0K	-4.0M	-153.6K	0.46	14.15	N/A	N/A	3,752	1,728	63,300	45,171
2014-12-03	$13.04	$13.00	20.7%	7.5%	22.9%	32.4%	26.5%	1.0%	3.6%	-348.7K	-8.2M	-154.1K	2.70	11.63	N/A	N/A	2,774	7,484	64,396	45,233
2014-12-04	$12.78	$13.00	25.7%	8.6%	23.7%	52.3%	30.4%	-0.1%	6.9%	-406.3K	1.1M	-166.1K	9.97	11.69	N/A	N/A	1,921	19,148	65,301	49,727
2014-12-05	$12.88	$13.00	26.7%	10.1%	23.9%	56.3%	35.1%	3.3%	-3.0%	-844.3K	6.3M	-204.7K	1.55	17.46	N/A	N/A	4,793	7,446	66,353	66,093
2014-12-08	$12.93	$13.00	27.7%	11.0%	23.8%	60.2%	39.2%	5.2%	1.3%	-891.6K	6.8M	-218.8K	0.95	25.86	N/A	N/A	7,362	6,991	69,274	70,511
2014-12-09	$13.02	$13.00	27.4%	11.4%	23.3%	59.0%	40.3%	6.6%	2.7%	-806.2K	2.4M	-232.2K	0.78	29.72	N/A	N/A	9,146	7,124	71,133	73,800
2014-12-10	$12.60	$13.00	24.5%	11.5%	25.8%	47.3%	42.2%	4.0%	2.5%	-1.2M	19.9M	-232.0K	1.27	36.25	N/A	N/A	2,932	3,718	71,753	77,246
2014-12-11	$12.85	$13.00	36.7%	11.6%	27.0%	95.7%	40.8%	5.3%	3.7%	-1.5M	11.9M	-236.3K	1.04	25.72	N/A	N/A	2,646	2,753	69,211	77,701
2014-12-12	$13.01	$13.00	37.8%	11.7%	27.5%	99.8%	42.3%	5.9%	2.3%	-1.5M	4.9M	-236.0K	1.38	26.28	N/A	N/A	2,253	3,116	69,174	77,361
2014-12-15	$12.80	$13.00	38.8%	11.7%	28.0%	100.0%	43.6%	7.1%	2.3%	-1.7M	14.7M	-222.1K	2.44	24.77	N/A	N/A	2,111	5,154	69,090	77,682
2014-12-16	$12.93	$13.00	38.0%	11.2%	28.3%	97.0%	44.6%	3.8%	1.5%	-2.2M	8.3M	-222.6K	0.43	11.79	N/A	N/A	6,401	2,739	69,066	79,345
2014-12-17	$13.00	$12.00	37.7%	11.0%	26.8%	96.0%	44.2%	7.6%	0.5%	-2.4M	1.2M	-225.0K	0.38	13.32	N/A	N/A	6,115	2,344	73,886	78,358
2014-12-18	$13.25	$12.00	32.8%	11.1%	22.8%	77.2%	41.1%	5.9%	6.1%	-1.7M	-9.9M	-216.2K	2.26	19.54	N/A	N/A	7,350	16,619	72,127	77,967
2014-12-19	$13.15	$12.00	32.0%	10.8%	22.6%	74.4%	37.3%	6.3%	5.1%	-2.9M	-7.4M	-234.5K	0.55	15.85	N/A	N/A	3,612	1,971	75,119	89,287
2014-12-22	$13.07	$12.00	33.2%	11.2%	22.7%	79.0%	38.0%	5.4%	5.8%	-931.4K	-1.5M	-232.6K	1.02	14.32	N/A	N/A	3,187	3,263	58,432	78,023
2014-12-23	$13.06	$12.00	33.8%	10.8%	21.9%	80.9%	37.6%	4.6%	4.2%	-915.3K	-1.9M	-230.9K	2.28	13.99	N/A	N/A	1,427	3,255	59,667	78,368
2014-12-24	$13.13	$12.00	31.9%	10.7%	20.3%	74.0%	36.8%	5.4%	5.8%	-949.1K	-4.9M	-229.1K	2.40	12.31	N/A	N/A	1,365	3,274	60,206	78,726
2014-12-26	$13.20	$12.00	28.2%	10.1%	20.3%	59.7%	35.3%	6.2%	6.6%	-1.1M	-7.4M	-219.0K	1.80	11.92	N/A	N/A	2,392	4,305	60,567	78,789
2014-12-29	$13.23	$12.00	29.9%	10.2%	20.3%	66.2%	34.6%	1.1%	5.9%	-1.0M	-8.5M	-211.8K	0.95	14.73	N/A	N/A	3,987	3,771	60,002	78,064
2014-12-30	$13.37	$12.00	33.2%	11.1%	20.5%	78.9%	42.3%	3.9%	5.5%	-756.8K	-11.8M	-221.2K	2.17	10.06	N/A	N/A	1,535	3,335	62,139	79,068
2014-12-31	$13.25	$12.00	34.0%	10.6%	20.9%	81.9%	37.0%	5.8%	3.1%	-846.4K	-8.0M	-218.8K	1.13	9.67	N/A	N/A	1,359	1,533	62,572	80,641