BAC Options History — April 2008

In April 2008, BAC traded between $35.58 and $40.86. ATM implied volatility averaged 38.3%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 13.8% (HV 20d: 52.1%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.95.

Notable Days

2008-04-18: Highest Volume — 152,846 contracts
2008-04-21: Largest IV drop — 15.8% change
2008-04-14: Highest IV Rank — 78.7%
2008-04-14: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.03	$35.58	$40.86	$40.86	$37.54
Max Pain	$40.45	$40.00	$42.50	$40.00	$40.00
ATM IV	38.3%	28.1%	48.6%	40.6%	28.1%
Expected Move	11.1%	8.0%	13.9%	11.6%	8.0%
HV 20d	52.1%	31.7%	65.2%	65.1%	31.7%
HV 60d	48.6%	45.0%	50.9%	50.9%	45.0%
IV Rank	58.8%	39.0%	78.7%	63.2%	39.0%
IV Percentile	78.2%	49.6%	97.2%	88.1%	49.6%
Term Structure	-1.7%	-6.1%	2.4%	1.6%	2.1%
VWIV	38.9%	28.8%	48.2%	40.9%	28.8%
Skew 25d	6.5%	2.6%	9.8%	9.2%	2.6%
Skew 10d	13.6%	4.7%	21.1%	20.0%	4.7%
Call IV 25d	36.4%	28.1%	45.1%	35.9%	28.6%
Put IV 25d	42.8%	31.2%	52.0%	45.0%	31.2%
Bid-Ask Spread %	3.42	1.54	4.99	3.83	2.11
Gamma HHI	0.12	0.10	0.14	0.12	0.14
Net GEX	-811.0K	-10.9M	12.0M	12.0M	-1.4M
Net DEX	534.7M	-142.1M	1.12B	-142.1M	616.9M
Net VEX	-14.6M	-17.2M	-13.1M	-17.2M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.51	1.94	1.43	0.77
Total Volume	72,693.227	40,680	152,846	107,789	47,636
Total OI	2,053,235.455	1,947,703	2,131,175	1,992,566	2,070,999

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 Vol	Put Vol	Call OI	Put OI
2008-04-01	$40.86	$40.00	40.6%	11.6%	65.1%	63.2%	40.9%	9.2%	1.6%	12.0M	-142.1M	-17.2M	1.43	3.83	44,289	63,500	1,032,754	959,812
2008-04-02	$40.30	$40.00	40.3%	11.6%	65.2%	62.7%	40.0%	8.6%	1.4%	7.4M	14.2M	-16.8M	0.75	3.41	36,006	27,052	1,040,477	978,118
2008-04-03	$40.37	$40.00	39.1%	11.2%	63.9%	60.4%	39.8%	7.5%	2.4%	8.1M	-2.8M	-17.0M	0.63	4.32	29,875	18,693	1,052,065	982,882
2008-04-04	$39.41	$42.50	40.2%	12.1%	63.7%	62.3%	42.7%	9.8%	-3.7%	2.9M	326.5M	-15.9M	1.94	4.62	17,174	33,277	1,061,708	985,153
2008-04-07	$39.50	$42.50	39.1%	11.8%	63.7%	60.2%	39.9%	9.4%	-3.6%	3.2M	274.3M	-16.2M	0.55	4.59	43,799	24,090	1,060,588	1,000,601
2008-04-08	$38.38	$42.50	41.2%	12.5%	62.8%	64.3%	42.6%	9.3%	-4.1%	-1.6M	537.2M	-15.3M	1.28	4.67	25,406	32,463	1,077,333	997,061
2008-04-09	$37.93	$42.50	40.6%	12.8%	58.6%	63.2%	46.5%	7.8%	-5.1%	-1.8M	607.7M	-15.0M	1.32	4.99	21,950	28,970	1,081,292	993,727
2008-04-10	$37.69	$40.00	43.8%	12.6%	58.2%	69.5%	44.3%	7.2%	-4.7%	-3.6M	685.9M	-14.9M	1.18	4.56	34,304	40,462	1,087,065	1,000,371
2008-04-11	$36.94	$40.00	44.0%	12.6%	58.7%	69.7%	43.6%	7.2%	-4.2%	-6.2M	854.2M	-14.3M	1.03	4.17	30,459	31,494	1,100,583	1,005,802
2008-04-14	$35.58	$40.00	48.6%	13.9%	58.5%	78.7%	48.2%	6.9%	-6.1%	-10.9M	1.12B	-13.2M	0.80	4.78	67,241	53,641	1,104,542	1,003,373
2008-04-15	$35.58	$40.00	47.2%	13.5%	58.4%	75.9%	46.5%	6.6%	-5.4%	-10.5M	1.09B	-13.1M	0.90	3.89	45,691	40,966	1,114,180	998,144
2008-04-16	$36.98	$40.00	41.7%	11.9%	52.5%	65.3%	42.7%	7.9%	-4.4%	-6.7M	845.1M	-13.8M	0.73	2.34	37,190	27,307	1,119,167	1,002,817
2008-04-17	$37.47	$40.00	40.3%	11.6%	52.8%	62.6%	41.0%	7.0%	-4.2%	-3.6M	715.1M	-14.1M	0.76	2.86	30,998	23,708	1,123,736	1,007,439
2008-04-18	$38.56	$40.00	42.6%	12.2%	44.3%	67.0%	41.2%	6.9%	-5.7%	4.5M	395.2M	-14.5M	0.66	3.73	92,121	60,725	1,126,665	999,257
2008-04-21	$37.61	$40.00	35.8%	10.3%	44.3%	54.0%	36.4%	5.1%	-0.6%	-2.0M	545.1M	-14.2M	0.79	1.54	61,712	48,467	1,027,445	920,258
2008-04-22	$37.00	$40.00	34.8%	10.0%	43.1%	52.1%	35.7%	3.8%	0.4%	-5.2M	706.6M	-13.4M	0.79	3.24	55,509	44,107	1,027,457	920,246
2008-04-23	$36.86	$40.00	33.4%	9.6%	42.3%	49.3%	34.8%	3.2%	-0.1%	-5.8M	714.5M	-13.6M	1.04	1.97	29,038	30,283	1,053,836	932,810
2008-04-24	$37.87	$40.00	31.1%	8.9%	42.4%	44.8%	31.1%	4.2%	0.9%	-1.5M	514.7M	-14.0M	0.51	2.95	50,476	25,908	1,059,061	942,280
2008-04-25	$38.30	$40.00	29.8%	8.5%	42.3%	42.3%	30.0%	3.6%	2.0%	2.5M	384.8M	-14.2M	0.64	1.92	36,447	23,350	1,072,909	946,666
2008-04-28	$38.18	$40.00	29.7%	8.5%	42.3%	42.1%	29.4%	4.2%	2.0%	1.8M	449.6M	-13.9M	1.32	2.71	18,464	24,323	1,088,392	954,503
2008-04-29	$37.86	$40.00	30.9%	8.8%	31.8%	44.4%	30.8%	4.2%	0.9%	621.3K	516.7M	-13.8M	0.98	1.99	20,499	20,181	1,093,163	964,443
2008-04-30	$37.54	$40.00	28.1%	8.0%	31.7%	39.0%	28.8%	2.6%	2.1%	-1.4M	616.9M	-13.4M	0.77	2.11	26,934	20,702	1,099,563	971,436