BAC Options History — July 2008 In July 2008, BAC traded between $18.52 and $33.61. ATM implied volatility averaged 76.6%, placing in the 82.4% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded below realized volatility by 15.9% (HV 20d: 92.6%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.03.
Notable Days 2008-07-24 : Highest Volume — 544,520 contracts2008-07-24 : Largest IV spike — 24.1% change2008-07-02 : Highest IV Rank — 100.0%2008-07-15 : Largest Expected Move — 29.1%Monthly Statistics Metric Avg Min Max Open Close Price $26.21 $18.52 $33.61 $23.81 $32.90 Max Pain $28.52 $27.50 $30.00 $27.50 $30.00 ATM IV 76.6% 61.7% 101.6% 64.7% 71.6% Expected Move 21.9% 17.7% 29.1% 18.5% 20.5% HV 20d 92.6% 41.9% 137.1% 41.9% 135.2% HV 60d 61.1% 35.9% 85.7% 35.9% 85.7% IV Rank 82.4% 53.0% 100.0% 97.4% 64.6% IV Percentile 98.1% 93.7% 100.0% 99.6% 94.4% Term Structure -10.3% -30.6% 4.3% 0.4% -0.3% VWIV 77.7% 65.4% 97.4% 68.2% 73.5% Skew 25d 17.2% 13.7% 21.0% 17.9% 18.5% Skew 10d 34.8% 27.0% 43.1% 32.6% 41.1% Call IV 25d 69.3% 53.7% 92.3% 62.5% 63.0% Put IV 25d 86.5% 73.3% 109.0% 80.4% 81.5% Bid-Ask Spread % 3.23 1.79 4.91 1.79 2.83 Gamma HHI 0.16 0.08 0.54 0.18 0.08 Net GEX -5.2M -13.5M 34.0M -13.5M 1.7M Net DEX 931.2M -688.7M 1.89B 1.77B -429.4M Net VEX -12.2M -19.8M -6.6M -8.1M -19.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.61 1.91 1.11 1.45 Total Volume 285,054.318 110,384 544,520 225,775 188,822 Total OI 3,300,389.591 2,686,833 3,999,461 2,686,833 3,999,461
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 2008-07-01 $23.81 $27.50 64.7% 18.5% 41.9% 97.4% 68.2% 17.9% 0.4% -13.5M 1.77B -8.1M 1.11 1.79 106,888 118,887 1,314,742 1,372,091 2008-07-02 $22.54 $27.50 66.8% 19.2% 43.2% 100.0% 69.7% 14.5% 4.3% -12.5M 1.79B -7.9M 0.67 2.16 92,648 62,312 1,362,376 1,412,209 2008-07-03 $22.40 $27.50 71.3% 20.4% 42.9% 100.0% 72.0% 13.9% -1.6% -12.5M 1.81B -7.7M 0.85 2.26 59,656 50,728 1,388,585 1,420,666 2008-07-07 $21.53 $30.00 73.4% 20.5% 42.3% 100.0% 71.7% 16.8% -16.1% -12.5M 1.89B -7.0M 1.05 2.94 88,848 93,034 1,412,343 1,438,114 2008-07-08 $23.54 $30.00 67.9% 19.6% 56.4% 90.3% 65.4% 13.7% -14.3% -12.8M 1.73B -8.4M 0.91 4.22 138,640 126,272 1,446,259 1,476,066 2008-07-09 $22.06 $30.00 76.1% 20.2% 59.3% 100.0% 68.9% 16.3% -16.2% -11.7M 1.79B -7.7M 0.74 3.23 104,005 77,334 1,506,938 1,491,160 2008-07-10 $22.36 $30.00 75.2% 21.6% 60.0% 98.6% 76.1% 16.5% -18.1% -9.5M 1.71B -8.5M 0.93 2.96 135,470 126,027 1,557,747 1,506,128 2008-07-11 $21.67 $30.00 87.9% 25.2% 59.0% 100.0% 92.2% 16.3% -25.8% -8.3M 1.65B -8.6M 1.28 3.69 92,280 117,684 1,593,776 1,546,044 2008-07-14 $20.15 $27.50 98.8% 28.3% 61.4% 100.0% 97.4% 16.2% -30.6% -9.4M 1.80B -7.8M 1.12 3.70 62,193 69,572 1,617,707 1,591,196 2008-07-15 $18.52 $27.50 101.6% 29.1% 63.8% 100.0% 97.3% 16.8% -29.2% -9.4M 1.86B -6.6M 0.71 2.96 134,404 95,336 1,633,634 1,598,922 2008-07-16 $22.67 $27.50 88.0% 25.2% 102.5% 84.1% 89.9% 19.4% -22.4% -6.8M 1.50B -9.2M 0.82 4.08 147,872 120,743 1,667,589 1,601,692 2008-07-17 $26.50 $27.50 75.3% 21.6% 118.4% 69.3% 80.1% 14.1% -18.7% -3.7M 931.7M -11.6M 0.61 4.34 284,773 172,427 1,689,500 1,641,692 2008-07-18 $27.49 $27.50 79.5% 22.8% 119.2% 74.1% 84.2% 20.9% -19.7% 34.0M 423.3M -13.0M 0.94 4.91 271,737 254,638 1,728,070 1,693,301 2008-07-21 $28.56 $27.50 68.6% 19.7% 119.2% 61.1% 66.9% 19.8% -5.4% -5.9M 546.5M -13.7M 1.36 2.89 218,755 298,262 1,516,059 1,647,153 2008-07-22 $32.35 $27.50 61.7% 17.7% 125.2% 53.0% 68.9% 20.2% -4.3% 33.2K -293.3M -15.9M 1.06 3.33 195,704 206,831 1,557,106 1,759,855 2008-07-23 $33.44 $27.50 65.4% 18.7% 125.3% 57.2% 68.2% 16.0% -1.8% 2.2M -522.0M -17.5M 0.84 2.33 244,411 205,300 1,605,390 1,854,189 2008-07-24 $30.64 $27.50 81.1% 23.2% 130.1% 75.8% 80.1% 16.3% -3.4% -3.2M 28.9M -17.5M 1.91 2.94 187,416 357,104 1,640,570 1,920,490 2008-07-25 $29.58 $30.00 72.7% 20.9% 127.9% 65.9% 74.7% 16.2% 3.3% -8.3M 481.2M -17.7M 1.45 3.94 91,120 131,782 1,713,904 2,075,455 2008-07-28 $28.06 $30.00 88.6% 25.4% 129.6% 84.6% 86.3% 17.5% -1.7% -12.3M 866.7M -16.9M 1.15 2.22 86,912 100,261 1,717,175 2,099,297 2008-07-29 $32.22 $27.50 73.1% 21.0% 136.9% 66.4% 80.2% 21.0% 0.6% -2.5M -161.2M -19.0M 0.81 3.64 131,711 106,856 1,750,870 2,111,489 2008-07-30 $33.61 $30.00 76.8% 22.0% 137.1% 70.8% 77.3% 18.7% -4.9% 3.3M -688.7M -19.8M 1.00 3.75 157,527 158,013 1,785,196 2,146,365 2008-07-31 $32.90 $30.00 71.6% 20.5% 135.2% 64.6% 73.5% 18.5% -0.3% 1.7M -429.4M -19.5M 1.45 2.83 77,034 111,788 1,816,174 2,183,287
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