BAC Options History — January 2008

In January 2008, BAC traded between $35.97 and $44.15. ATM implied volatility averaged 39.4%, placing in the 67.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 6.0% (HV 20d: 33.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.82.

Notable Days

  • 2008-01-08: Highest Volume — 260,710 contracts
  • 2008-01-22: Largest IV drop — 28.0% change
  • 2008-01-18: Highest IV Rank — 100.0%
  • 2008-01-18: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.57$35.97$44.15$40.56$44.15
Max Pain$42.26$40.00$45.00$45.00$40.00
ATM IV39.4%29.3%56.3%34.8%29.3%
Expected Move11.2%8.4%16.1%10.0%8.4%
HV 20d33.4%20.9%51.0%26.5%51.0%
HV 60d36.4%32.8%41.9%32.8%41.5%
IV Rank67.8%44.2%100.0%59.5%44.2%
IV Percentile91.7%75.8%100.0%91.2%75.8%
Term Structure-3.3%-12.2%2.5%1.3%1.0%
VWIV39.6%32.2%52.9%32.8%32.6%
Skew 25d10.0%6.5%15.9%9.5%7.4%
Skew 10d19.4%11.1%29.2%15.4%15.6%
Call IV 25d35.0%28.7%47.2%31.1%28.7%
Put IV 25d45.0%36.1%60.0%40.6%36.1%
Bid-Ask Spread %8.675.1513.785.1510.40
Gamma HHI0.150.120.240.140.12
Net GEX-4.8M-12.9M14.5M-5.1M14.5M
Net DEX653.0M-660.0M1.37B736.6M-660.0M
Net VEX-13.9M-17.0M-12.6M-13.8M-17.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.617.642.260.67
Total Volume121,217.33341,879260,710102,731157,167
Total OI1,865,418.5241,536,1362,132,5821,911,2671,775,732

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$40.56$45.0034.8%10.0%26.5%59.5%32.8%9.5%1.3%-5.1M736.6M-13.8M2.265.1531,52171,2101,117,637793,630
2008-01-03$40.30$45.0033.1%9.5%26.2%55.7%32.2%9.3%2.5%-6.1M769.8M-13.7M0.855.4522,68219,1971,121,358799,494
2008-01-04$39.85$45.0035.2%10.2%25.5%60.2%37.5%8.2%-1.9%-6.6M874.1M-13.5M1.477.3432,81048,2171,127,256802,945
2008-01-07$39.90$45.0036.7%10.3%24.3%63.6%35.7%7.8%-2.4%-6.7M830.0M-13.3M1.889.7436,34168,3291,126,952798,072
2008-01-08$38.41$45.0044.9%11.9%26.6%81.7%40.0%6.5%-5.5%-7.5M1.08B-12.6M7.649.0830,191230,5191,136,425802,220
2008-01-09$38.74$42.5045.9%12.3%24.0%83.8%42.3%8.6%-5.9%-7.2M886.3M-12.9M1.945.6337,66072,8921,148,794785,048
2008-01-10$39.30$42.5040.4%11.6%21.7%71.8%42.4%10.6%-6.7%-6.1M823.9M-13.1M1.8710.2536,32768,1041,152,530792,070
2008-01-11$38.50$42.5044.8%12.8%20.9%81.4%42.3%9.2%-7.0%-8.3M930.0M-12.9M1.698.6848,82382,4621,161,909810,690
2008-01-14$39.22$42.5038.7%11.1%22.6%68.1%39.4%8.7%-4.3%-7.1M828.9M-13.4M0.657.5739,81725,8661,180,264837,797
2008-01-15$37.88$42.5043.3%12.4%24.4%78.1%39.4%7.7%-6.1%-9.9M1.04B-12.9M4.2010.6830,958129,9601,190,774850,315
2008-01-16$38.69$42.5044.7%12.8%26.0%81.3%42.6%9.3%-5.9%-8.7M924.1M-13.4M0.779.0454,35441,9151,190,816860,871
2008-01-17$36.91$42.5050.6%14.5%30.2%94.3%52.7%13.6%-9.2%-12.5M1.21B-12.7M3.036.7533,027100,1591,205,244867,241
2008-01-18$35.97$42.5056.3%16.1%30.9%100.0%52.9%12.8%-12.2%-12.9M1.37B-12.7M1.248.0851,21563,5251,208,564924,018
2008-01-22$37.39$42.5040.5%11.6%34.9%67.4%41.3%13.4%-3.3%-9.3M795.2M-13.1M1.129.8479,94889,217781,842754,294
2008-01-23$40.57$40.0035.9%10.3%46.3%57.9%38.2%11.1%-0.6%-1.8M338.6M-14.7M0.849.7089,75475,817808,879776,968
2008-01-24$39.90$40.0037.5%10.7%46.4%61.1%41.9%15.9%-1.6%-2.7M415.8M-14.7M1.5913.7860,67296,648827,695798,799
2008-01-25$39.48$40.0035.6%10.2%46.5%57.2%39.0%10.8%0.3%-5.8M476.4M-14.9M1.329.4346,81361,944849,733839,952
2008-01-28$41.20$40.0036.7%10.5%48.8%59.6%37.7%11.6%-1.0%1.1M135.4M-15.5M1.8810.4326,51249,792859,312846,124
2008-01-29$41.94$40.0031.2%9.0%49.1%48.2%35.2%9.5%-0.6%3.3M-14.5M-15.8M0.618.7353,69532,842863,001856,598
2008-01-30$42.21$40.0031.7%9.1%49.1%49.2%33.3%9.0%-0.6%5.5M-79.8M-16.0M0.746.3767,11649,546879,657862,269
2008-01-31$44.15$40.0029.3%8.4%51.0%44.2%32.6%7.4%1.0%14.5M-660.0M-17.0M0.6710.4093,90963,258900,556875,176