BAC Options History — August 2008 In August 2008, BAC traded between $28.08 and $33.58. ATM implied volatility averaged 58.9%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 41.9% (HV 20d: 100.8%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.45.
Notable Days 2008-08-13 : Highest Volume — 341,019 contracts2008-08-12 : Largest IV spike — 36.9% change2008-08-12 : Highest IV Rank — 74.4%2008-08-13 : Largest Expected Move — 18.9%Monthly Statistics Metric Avg Min Max Open Close Price $30.82 $28.08 $33.58 $33.33 $31.14 Max Pain $30.83 $30.00 $32.50 $30.00 $30.00 ATM IV 58.9% 46.9% 79.9% 63.2% 53.2% Expected Move 16.6% 13.4% 18.9% 18.1% 15.3% HV 20d 100.8% 62.0% 134.9% 134.9% 65.5% HV 60d 89.0% 85.5% 92.0% 85.5% 92.0% IV Rank 49.6% 35.2% 74.4% 54.7% 42.7% IV Percentile 86.6% 74.2% 97.6% 91.3% 81.3% Term Structure 2.4% -6.6% 9.9% 1.8% 7.4% VWIV 60.2% 52.4% 69.3% 64.1% 52.4% Skew 25d 14.9% 7.8% 21.6% 17.4% 13.4% Skew 10d 28.6% 14.4% 42.1% 36.9% 27.0% Call IV 25d 51.2% 44.5% 59.5% 54.5% 46.3% Put IV 25d 66.1% 59.7% 74.8% 71.9% 59.8% Bid-Ask Spread % 3.66 2.58 5.44 2.58 3.40 Gamma HHI 0.11 0.09 0.16 0.09 0.10 Net GEX -6.6M -22.7M 6.2M 3.6M -4.1M Net DEX 374.9M -661.3M 1.08B -552.6M 489.6M Net VEX -17.1M -19.3M -15.6M -19.3M -17.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 0.53 3.52 1.20 0.53 Total Volume 155,039.429 47,049 341,019 154,925 59,912 Total OI 3,827,478.905 3,200,381 4,397,100 4,043,789 3,518,254
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 2008-08-01 $33.33 $30.00 63.2% 18.1% 134.9% 54.7% 64.1% 17.4% 1.8% 3.6M -552.6M -19.3M 1.20 2.58 70,437 84,488 1,837,920 2,205,869 2008-08-04 $32.62 $30.00 62.1% 18.2% 134.0% 53.4% 68.7% 21.6% -6.6% -346.4K -258.0M -18.4M 1.75 4.81 72,784 127,675 1,839,689 2,237,661 2008-08-05 $33.58 $32.50 60.3% 16.7% 131.6% 51.2% 60.1% 21.1% -4.0% 6.2M -661.3M -18.6M 1.16 3.72 84,206 97,894 1,861,308 2,254,339 2008-08-06 $33.45 $32.50 52.4% 15.6% 128.3% 41.9% 60.7% 17.5% -1.5% 4.4M -563.2M -18.4M 3.52 5.44 48,242 169,854 1,880,775 2,291,836 2008-08-07 $31.52 $32.50 56.6% 16.5% 131.4% 46.9% 62.9% 17.8% -1.2% -4.1M 39.6M -17.7M 2.21 5.07 63,709 140,910 1,887,378 2,332,231 2008-08-08 $32.25 $32.50 51.1% 15.7% 130.2% 40.5% 56.6% 17.8% -0.4% -3.1M -92.1M -18.2M 1.42 4.69 43,772 62,297 1,892,469 2,369,300 2008-08-11 $33.38 $32.50 58.4% 15.4% 125.5% 49.0% 56.6% 17.8% -1.4% 4.1M -475.9M -18.1M 1.18 5.33 71,299 84,057 1,892,284 2,377,039 2008-08-12 $31.13 $32.50 79.9% 18.4% 123.9% 74.4% 61.3% 19.3% -1.6% -10.1M 284.2M -17.7M 1.77 3.64 83,926 148,807 1,909,186 2,388,744 2008-08-13 $28.86 $32.50 76.2% 18.9% 110.0% 70.0% 69.3% 15.1% -1.8% -22.7M 1.08B -16.5M 1.82 3.18 121,111 219,908 1,932,458 2,436,439 2008-08-14 $30.18 $30.00 60.0% 17.2% 97.0% 50.9% 60.0% 15.0% 0.5% -19.0M 578.3M -16.9M 1.12 3.52 89,385 100,540 1,923,402 2,473,698 2008-08-15 $30.70 $30.00 56.5% 16.2% 96.4% 46.8% 56.3% 14.6% 2.8% -13.5M 292.0M -17.0M 0.89 3.45 71,233 63,525 1,941,784 2,437,058 2008-08-18 $29.30 $30.00 56.8% 16.3% 97.3% 47.2% 59.3% 10.6% 4.6% -9.6M 883.2M -15.9M 1.37 2.62 69,446 95,321 1,447,001 1,753,380 2008-08-19 $28.08 $30.00 64.5% 18.5% 86.7% 56.2% 65.4% 11.0% 2.5% -11.5M 1.08B -15.6M 2.01 2.90 47,374 95,334 1,479,088 1,804,474 2008-08-20 $29.29 $30.00 59.5% 17.1% 87.4% 50.3% 61.7% 15.4% 3.0% -9.6M 908.2M -16.1M 1.02 3.00 69,377 70,852 1,480,296 1,800,713 2008-08-21 $29.04 $30.00 57.7% 16.5% 82.0% 48.2% 61.6% 12.4% 6.1% -9.9M 938.1M -16.1M 1.05 3.29 52,159 54,640 1,509,836 1,830,634 2008-08-22 $30.21 $30.00 55.4% 15.9% 82.4% 45.4% 57.2% 12.3% 6.8% -6.9M 712.6M -16.8M 0.85 2.86 63,519 53,835 1,529,869 1,845,377 2008-08-25 $28.96 $30.00 57.7% 16.6% 81.5% 48.2% 60.2% 7.8% 6.3% -10.5M 981.8M -15.8M 1.29 3.38 20,572 26,477 1,548,953 1,856,013 2008-08-26 $29.02 $30.00 55.9% 16.0% 63.6% 45.8% 58.6% 9.5% 8.7% -9.5M 913.8M -15.9M 2.02 3.20 52,880 106,886 1,553,275 1,850,936 2008-08-27 $29.65 $30.00 53.2% 15.2% 62.0% 42.6% 55.7% 11.3% 9.9% -9.5M 844.7M -16.5M 1.03 3.22 33,834 34,810 1,573,034 1,898,829 2008-08-28 $31.43 $30.00 46.9% 13.4% 65.7% 35.2% 56.1% 14.6% 8.9% -3.6M 446.7M -17.3M 1.30 3.48 55,793 72,748 1,581,941 1,912,287 2008-08-29 $31.14 $30.00 53.2% 15.3% 65.5% 42.7% 52.4% 13.4% 7.4% -4.1M 489.6M -17.1M 0.53 3.40 39,215 20,697 1,595,310 1,922,944
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