BAC Options History — March 2008

In March 2008, BAC traded between $35.31 and $42.45. ATM implied volatility averaged 44.1%, placing in the 72.4% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 1.0% (HV 20d: 45.1%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.14.

Notable Days

2008-03-11: Highest Volume — 210,770 contracts
2008-03-18: Largest IV drop — 34.5% change
2008-03-17: Highest IV Rank — 100.0%
2008-03-17: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.24	$35.31	$42.45	$39.18	$37.91
Max Pain	$40.13	$40.00	$42.50	$42.50	$40.00
ATM IV	44.1%	35.7%	59.6%	39.2%	45.2%
Expected Move	12.7%	10.2%	17.1%	11.2%	13.0%
HV 20d	45.1%	28.7%	61.8%	31.0%	59.3%
HV 60d	42.8%	37.9%	48.5%	38.1%	48.4%
IV Rank	72.4%	53.7%	100.0%	64.6%	72.1%
IV Percentile	93.4%	77.8%	100.0%	92.1%	95.2%
Term Structure	0.8%	-3.4%	3.5%	3.1%	1.7%
VWIV	44.9%	37.1%	63.2%	39.3%	46.2%
Skew 25d	9.0%	3.4%	16.7%	4.8%	8.3%
Skew 10d	18.7%	6.8%	39.9%	9.8%	17.9%
Call IV 25d	40.7%	33.0%	51.2%	37.9%	41.9%
Put IV 25d	49.7%	41.2%	67.9%	42.7%	50.2%
Bid-Ask Spread %	7.98	3.51	13.31	7.36	3.72
Gamma HHI	0.12	0.11	0.15	0.12	0.11
Net GEX	-620.6K	-10.5M	25.2M	-5.0M	361.6K
Net DEX	518.8M	-582.7M	1.11B	618.4M	507.7M
Net VEX	-16.0M	-18.0M	-14.2M	-16.4M	-15.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.49	1.96	1.47	1.63
Total Volume	101,965.6	37,822	210,770	114,032	37,822
Total OI	1,993,876.55	1,902,373	2,129,886	1,902,373	1,988,478

Daily Data (20 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 Vol	Put Vol	Call OI	Put OI
2008-03-03	$39.18	$42.50	39.2%	11.2%	31.0%	64.6%	39.3%	4.8%	3.1%	-5.0M	618.4M	-16.4M	1.47	7.36	46,103	67,929	985,581	916,792
2008-03-04	$38.78	$40.00	40.8%	11.7%	30.5%	67.9%	42.4%	5.1%	1.5%	-5.4M	673.4M	-16.1M	0.68	8.92	73,016	49,667	991,748	925,585
2008-03-05	$37.55	$40.00	42.1%	12.1%	29.7%	70.7%	42.3%	3.4%	3.1%	-8.0M	804.6M	-15.4M	0.76	6.93	65,599	49,668	979,335	924,419
2008-03-06	$36.52	$40.00	44.0%	12.6%	30.6%	74.5%	43.9%	6.9%	1.8%	-9.3M	967.6M	-14.8M	1.92	6.08	27,614	52,979	1,000,421	928,879
2008-03-07	$36.74	$40.00	43.8%	13.4%	28.7%	74.2%	44.6%	10.2%	-0.8%	-8.9M	910.7M	-15.1M	0.94	6.98	45,862	43,295	1,002,736	922,235
2008-03-10	$35.31	$40.00	52.8%	15.6%	30.0%	92.7%	52.2%	11.2%	-3.4%	-10.5M	1.11B	-14.2M	0.94	8.82	50,146	47,161	1,011,062	935,189
2008-03-11	$37.72	$40.00	41.6%	12.8%	40.1%	69.5%	47.6%	10.1%	-2.6%	-8.0M	765.0M	-15.4M	1.11	10.12	99,897	110,873	1,032,063	946,068
2008-03-12	$37.03	$40.00	44.0%	12.5%	39.5%	74.6%	44.2%	9.7%	-0.3%	-7.3M	810.8M	-15.5M	0.96	3.92	47,278	45,290	1,051,095	981,921
2008-03-13	$37.14	$40.00	44.5%	12.8%	39.0%	75.5%	44.7%	10.0%	0.1%	-6.9M	835.4M	-15.5M	0.73	7.12	56,599	41,188	1,061,641	982,119
2008-03-14	$35.69	$40.00	53.2%	15.3%	40.2%	93.6%	51.7%	11.0%	-1.5%	-7.9M	991.3M	-15.0M	1.47	9.52	58,768	86,555	1,071,219	987,443
2008-03-17	$35.96	$40.00	59.6%	17.1%	40.0%	100.0%	63.2%	16.7%	-2.1%	-6.9M	926.5M	-15.2M	1.96	11.13	35,050	68,678	1,086,756	1,011,138
2008-03-18	$38.93	$40.00	39.1%	11.2%	50.8%	60.3%	42.5%	12.4%	3.0%	589.6K	465.7M	-16.2M	0.78	13.31	64,621	50,387	1,087,120	1,013,170
2008-03-19	$38.56	$40.00	47.3%	13.6%	50.6%	76.2%	46.7%	11.9%	1.4%	2.4M	455.4M	-16.4M	0.87	12.02	51,877	45,264	1,105,758	1,021,585
2008-03-20	$41.86	$40.00	35.7%	10.2%	59.1%	53.7%	40.0%	9.9%	3.5%	25.2M	-549.2M	-17.9M	0.49	8.86	100,168	49,081	1,106,019	1,023,867
2008-03-24	$42.45	$40.00	37.0%	10.6%	59.2%	56.2%	37.1%	7.0%	1.6%	17.9M	-582.7M	-18.0M	0.59	9.84	94,153	55,877	987,678	931,110
2008-03-25	$40.97	$40.00	40.8%	11.7%	60.4%	63.5%	40.1%	7.7%	1.7%	12.9M	-208.4M	-17.7M	1.37	7.07	23,360	32,073	1,018,103	945,899
2008-03-26	$39.84	$40.00	40.6%	11.7%	61.1%	63.3%	41.2%	8.2%	1.9%	7.7M	91.5M	-16.9M	1.21	7.30	23,445	28,455	1,018,478	943,026
2008-03-27	$38.64	$40.00	45.4%	13.0%	61.8%	72.5%	43.5%	6.9%	0.3%	3.5M	330.7M	-16.3M	1.80	7.03	19,591	35,248	1,023,664	947,575
2008-03-28	$38.07	$40.00	45.5%	13.0%	60.9%	72.6%	43.7%	8.1%	0.9%	1.2M	453.5M	-16.0M	1.04	3.51	28,813	29,862	1,029,116	951,440
2008-03-31	$37.91	$40.00	45.2%	13.0%	59.3%	72.1%	46.2%	8.3%	1.7%	361.6K	507.7M	-15.5M	1.63	3.72	14,373	23,449	1,031,073	957,405