BAC Options History — June 2008

In June 2008, BAC traded between $23.87 and $33.58. ATM implied volatility averaged 49.4%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 17.7% (HV 20d: 31.7%). Max pain ranged from $27.50 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.15.

Notable Days

2008-06-03: Highest Volume — 284,443 contracts
2008-06-18: Largest IV spike — 22.3% change
2008-06-23: Highest IV Rank — 100.0%
2008-06-23: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.77	$23.87	$33.58	$33.58	$23.87
Max Pain	$31.90	$27.50	$35.00	$35.00	$27.50
ATM IV	49.4%	35.4%	66.0%	35.8%	61.7%
Expected Move	14.1%	10.1%	18.9%	10.3%	17.7%
HV 20d	31.7%	23.7%	41.7%	24.2%	41.7%
HV 60d	39.1%	33.5%	44.5%	44.4%	35.9%
IV Rank	76.0%	53.1%	100.0%	54.0%	91.7%
IV Percentile	91.3%	66.7%	100.0%	69.8%	99.2%
Term Structure	1.6%	-1.2%	5.1%	-0.2%	2.7%
VWIV	50.7%	35.6%	64.5%	35.6%	64.0%
Skew 25d	11.6%	2.6%	21.5%	4.2%	16.1%
Skew 10d	21.4%	6.5%	38.6%	9.4%	26.5%
Call IV 25d	45.9%	34.8%	60.3%	34.8%	60.3%
Put IV 25d	57.5%	38.8%	78.2%	39.0%	76.4%
Bid-Ask Spread %	3.47	1.72	13.18	2.49	2.29
Gamma HHI	0.17	0.14	0.21	0.15	0.18
Net GEX	-9.7M	-13.2M	-4.5M	-5.7M	-13.2M
Net DEX	1.47B	583.5M	1.79B	1.19B	1.79B
Net VEX	-9.4M	-11.5M	-5.5M	-11.5M	-8.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.14	1.77	0.70	1.57
Total Volume	163,912.476	68,154	284,443	68,154	150,845
Total OI	2,261,103.905	1,335,270	2,652,187	2,072,832	2,652,187

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
2008-06-02	$33.58	$35.00	35.8%	10.3%	24.2%	54.0%	35.6%	4.2%	-0.2%	-5.7M	1.19B	-11.5M	0.70	2.49	39,973	28,181	1,078,416	994,416
2008-06-03	$33.31	$35.00	35.6%	10.2%	23.7%	53.5%	56.2%	3.5%	0.8%	-6.9M	1.25B	-11.2M	0.14	2.75	250,181	34,262	1,087,225	1,001,200
2008-06-04	$31.99	$35.00	38.7%	11.1%	25.7%	59.5%	40.4%	3.0%	0.2%	-8.6M	1.34B	-11.2M	0.87	2.96	80,175	69,403	1,096,936	1,009,159
2008-06-05	$31.99	$35.00	35.4%	10.1%	24.5%	53.1%	36.7%	2.6%	0.9%	-9.9M	1.30B	-11.0M	1.04	2.69	40,662	42,445	1,109,568	1,007,863
2008-06-06	$30.50	$35.00	42.3%	12.0%	28.1%	66.5%	40.3%	6.0%	0.7%	-11.8M	1.48B	-10.1M	0.83	3.49	63,997	53,259	1,112,730	1,007,917
2008-06-09	$29.61	$35.00	44.9%	12.7%	28.8%	71.4%	44.1%	5.7%	0.4%	-11.5M	1.56B	-9.4M	1.01	3.68	69,859	70,596	1,130,693	1,016,972
2008-06-10	$29.62	$32.50	44.4%	12.5%	26.6%	70.6%	44.2%	7.1%	1.1%	-9.9M	1.52B	-9.4M	1.29	2.29	80,567	104,106	1,157,884	1,010,388
2008-06-11	$28.85	$32.50	50.0%	13.2%	26.8%	81.3%	46.4%	9.0%	0.9%	-8.4M	1.53B	-9.0M	0.87	2.32	85,778	74,671	1,188,561	1,002,954
2008-06-12	$29.44	$32.50	49.7%	14.2%	28.6%	80.7%	50.3%	11.7%	2.6%	-6.6M	1.40B	-10.1M	1.74	2.36	60,261	105,064	1,205,712	1,029,438
2008-06-13	$29.78	$32.50	47.5%	13.6%	29.5%	73.5%	48.3%	13.1%	3.2%	-8.3M	1.43B	-10.3M	1.70	3.07	60,034	102,142	1,210,711	1,076,308
2008-06-16	$30.32	$32.50	47.1%	13.5%	31.1%	72.6%	47.6%	12.0%	2.8%	-4.5M	583.5M	-5.5M	1.05	13.18	53,239	55,703	718,350	616,920
2008-06-17	$29.24	$32.50	43.5%	12.5%	32.5%	64.8%	44.7%	10.2%	4.4%	-10.3M	1.53B	-9.5M	1.48	3.65	58,978	87,477	1,237,293	1,130,871
2008-06-18	$28.37	$32.50	53.2%	15.3%	33.1%	85.8%	51.4%	12.8%	2.8%	-9.1M	1.58B	-8.8M	1.13	5.98	86,347	97,965	1,256,397	1,111,881
2008-06-19	$28.14	$30.00	54.6%	15.6%	32.9%	88.8%	52.7%	13.4%	1.5%	-9.8M	1.59B	-9.3M	1.04	4.07	122,439	127,306	1,283,191	1,165,081
2008-06-20	$27.10	$30.00	58.7%	16.8%	33.8%	98.0%	63.7%	19.9%	1.7%	-9.2M	1.70B	-9.3M	1.20	4.04	74,985	89,857	1,334,116	1,220,272
2008-06-23	$25.88	$30.00	66.0%	18.9%	35.7%	100.0%	64.5%	21.5%	-1.2%	-10.3M	1.60B	-8.4M	1.77	3.00	80,644	142,631	1,151,496	1,136,797
2008-06-24	$26.62	$30.00	54.1%	15.5%	38.0%	77.0%	57.5%	20.2%	-0.3%	-12.2M	1.59B	-8.8M	1.47	2.46	76,602	112,472	1,183,612	1,216,479
2008-06-25	$26.61	$30.00	51.6%	14.8%	38.3%	72.2%	53.9%	16.9%	3.3%	-12.5M	1.57B	-9.0M	1.25	1.72	98,171	123,114	1,214,101	1,248,269
2008-06-26	$24.81	$27.50	62.8%	18.0%	41.3%	93.8%	62.4%	17.3%	0.2%	-12.1M	1.66B	-8.9M	1.04	2.05	71,469	74,490	1,244,647	1,290,762
2008-06-27	$24.59	$27.50	59.6%	17.1%	41.4%	87.5%	59.8%	17.5%	5.1%	-12.4M	1.69B	-8.3M	1.03	2.41	69,847	71,965	1,244,647	1,290,762
2008-06-30	$23.87	$27.50	61.7%	17.7%	41.7%	91.7%	64.0%	16.1%	2.7%	-13.2M	1.79B	-8.2M	1.57	2.29	58,630	92,215	1,299,289	1,352,898