BAC Options History — May 2008

In May 2008, BAC traded between $33.87 and $39.79. ATM implied volatility averaged 30.9%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 2.1% (HV 20d: 33.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.86.

Notable Days

2008-05-28: Highest Volume — 145,673 contracts
2008-05-28: Largest IV spike — 19.3% change
2008-05-28: Highest IV Rank — 57.6%
2008-05-28: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.41	$33.87	$39.79	$39.39	$34.01
Max Pain	$38.21	$35.00	$40.00	$40.00	$35.00
ATM IV	30.9%	27.2%	37.7%	28.6%	32.9%
Expected Move	8.9%	7.8%	10.8%	8.2%	9.4%
HV 20d	33.0%	25.0%	37.2%	36.6%	25.0%
HV 60d	45.4%	44.7%	45.8%	45.5%	44.7%
IV Rank	44.5%	37.4%	57.6%	40.0%	48.4%
IV Percentile	56.1%	45.6%	75.4%	50.8%	62.3%
Term Structure	1.8%	-1.4%	5.5%	-0.8%	0.5%
VWIV	31.9%	27.8%	37.9%	29.3%	34.9%
Skew 25d	4.7%	1.7%	7.2%	2.0%	4.2%
Skew 10d	9.1%	2.9%	13.9%	5.5%	7.9%
Call IV 25d	29.6%	26.7%	36.4%	29.1%	32.4%
Put IV 25d	34.3%	29.7%	41.5%	31.1%	36.6%
Bid-Ask Spread %	3.81	2.23	5.46	2.23	3.04
Gamma HHI	0.14	0.11	0.27	0.11	0.13
Net GEX	-2.4M	-11.3M	14.0M	11.4M	-5.1M
Net DEX	756.1M	-18.7M	1.14B	88.9M	1.12B
Net VEX	-12.7M	-15.0M	-11.1M	-14.7M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.37	1.67	0.54	0.89
Total Volume	73,595.048	31,988	145,673	104,963	71,741
Total OI	2,028,858	1,697,419	2,209,758	2,083,039	2,042,137

Daily Data (21 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
2008-05-01	$39.39	$40.00	28.6%	8.2%	36.6%	40.0%	29.3%	2.0%	-0.8%	11.4M	88.9M	-14.7M	0.54	2.23	67,969	36,994	1,107,759	975,280
2008-05-02	$39.79	$40.00	27.2%	7.8%	35.7%	37.4%	27.8%	1.7%	1.3%	14.0M	-18.7M	-15.0M	0.63	2.83	51,587	32,516	1,122,142	994,130
2008-05-05	$38.97	$40.00	29.9%	8.5%	36.5%	42.6%	31.5%	5.9%	1.4%	8.1M	227.5M	-14.4M	0.90	4.47	16,877	15,111	1,127,644	1,000,869
2008-05-06	$39.24	$40.00	29.8%	8.5%	35.1%	42.3%	31.3%	6.5%	1.5%	8.5M	197.6M	-14.7M	0.78	5.46	43,874	34,001	1,123,578	1,008,589
2008-05-07	$38.00	$40.00	32.6%	9.5%	36.7%	47.8%	31.8%	6.4%	0.5%	-825.7K	545.2M	-14.3M	1.03	4.71	25,570	26,359	1,139,282	1,022,426
2008-05-08	$37.33	$40.00	31.7%	9.4%	37.2%	46.0%	33.6%	6.4%	1.2%	-4.9M	700.1M	-13.4M	0.52	3.34	29,394	15,143	1,135,396	1,010,514
2008-05-09	$36.65	$40.00	30.0%	9.3%	37.1%	42.8%	33.3%	5.8%	1.4%	-9.5M	897.2M	-12.9M	0.66	5.00	32,148	21,279	1,141,714	1,009,684
2008-05-12	$37.44	$40.00	31.0%	9.0%	35.1%	44.7%	31.7%	5.6%	1.7%	-2.8M	680.1M	-13.1M	0.55	4.46	30,781	16,946	1,151,133	1,008,812
2008-05-13	$36.61	$37.50	32.6%	8.9%	36.2%	47.7%	31.2%	5.1%	2.2%	-8.9M	914.3M	-12.5M	0.53	3.32	54,843	29,157	1,155,492	1,010,454
2008-05-14	$36.80	$37.50	28.0%	8.4%	33.5%	38.9%	32.1%	5.0%	3.0%	-6.4M	843.9M	-12.7M	0.68	3.27	26,355	17,887	1,181,345	1,013,117
2008-05-15	$36.71	$37.50	29.1%	8.4%	33.2%	41.0%	30.3%	4.6%	3.1%	-7.0M	877.6M	-12.6M	0.78	3.58	34,069	26,705	1,177,756	1,014,107
2008-05-16	$36.17	$37.50	30.4%	8.7%	31.5%	43.4%	29.4%	4.2%	1.8%	-11.3M	994.7M	-12.2M	1.40	4.07	20,206	28,301	1,187,716	1,022,042
2008-05-19	$36.10	$37.50	29.5%	8.5%	30.5%	41.7%	28.5%	3.8%	1.1%	-379.7K	761.0M	-11.7M	0.80	4.50	46,847	37,498	896,686	800,733
2008-05-20	$35.39	$37.50	30.1%	8.6%	30.7%	42.9%	30.7%	3.6%	3.1%	-2.0M	854.0M	-11.5M	1.06	3.37	34,242	36,309	918,088	824,284
2008-05-21	$34.63	$37.50	31.8%	9.1%	31.5%	46.2%	32.5%	3.9%	4.6%	-3.8M	950.9M	-11.5M	1.22	3.27	33,039	40,353	931,798	849,069
2008-05-22	$34.73	$37.50	30.4%	8.7%	29.5%	43.6%	31.2%	4.2%	5.5%	-3.6M	921.9M	-11.8M	1.00	3.88	22,979	23,018	949,140	862,734
2008-05-23	$33.93	$37.50	31.4%	9.0%	29.7%	45.3%	32.2%	4.3%	3.5%	-5.4M	1.05B	-11.4M	1.23	3.39	40,281	49,509	958,184	871,653
2008-05-27	$34.17	$37.50	31.6%	9.1%	30.0%	45.8%	36.7%	7.2%	2.9%	-6.3M	1.08B	-11.1M	1.67	4.95	50,423	84,273	980,322	898,769
2008-05-28	$33.87	$37.50	37.7%	10.8%	30.0%	57.6%	37.9%	5.1%	-1.4%	-8.1M	1.14B	-11.6M	0.73	3.30	84,230	61,443	1,010,232	954,269
2008-05-29	$34.60	$35.00	32.6%	9.3%	31.5%	47.7%	32.5%	2.7%	-0.2%	-5.3M	1.05B	-11.4M	0.37	3.57	69,289	25,950	1,046,272	970,667
2008-05-30	$34.01	$35.00	32.9%	9.4%	25.0%	48.4%	34.9%	4.2%	0.5%	-5.1M	1.12B	-11.6M	0.89	3.04	38,006	33,735	1,060,915	981,222