BAC Options History — September 2008 In September 2008, BAC traded between $26.55 and $37.48. ATM implied volatility averaged 73.8%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded below realized volatility by 37.2% (HV 20d: 111.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.05.
Notable Days 2008-09-02 : Highest Volume — 909,874 contracts2008-09-29 : Largest IV spike — 77.2% change2008-09-29 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 34.1%Monthly Statistics Metric Avg Min Max Open Close Price $32.53 $26.55 $37.48 $32.63 $35.00 Max Pain $31.43 $30.00 $35.00 $30.00 $35.00 ATM IV 73.8% 51.4% 119.1% 52.3% 81.5% Expected Move 21.1% 14.7% 34.1% 15.0% 23.4% HV 20d 111.0% 66.7% 172.2% 67.5% 172.2% HV 60d 108.0% 91.7% 130.4% 91.9% 130.4% IV Rank 65.4% 40.4% 100.0% 41.5% 63.1% IV Percentile 90.7% 77.4% 100.0% 78.2% 95.2% Term Structure -2.8% -18.6% 5.9% 5.9% -8.3% VWIV 76.6% 53.7% 105.9% 87.9% 86.3% Skew 25d 22.8% 14.2% 33.4% 16.2% 24.5% Skew 10d 46.5% 32.8% 72.1% 34.0% 42.2% Call IV 25d 63.0% 45.1% 98.3% 48.9% 71.8% Put IV 25d 85.8% 59.9% 126.2% 65.1% 96.3% Bid-Ask Spread % 6.65 2.57 16.88 2.85 14.88 Gamma HHI 0.09 0.07 0.11 0.10 0.08 Net GEX 6.4M -13.7M 24.6M 3.9M 12.1M Net DEX -241.9M -1.76B 1.24B 45.3M -821.2M Net VEX -18.6M -20.5M -15.8M -17.7M -20.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.07 1.97 0.07 1.32 Total Volume 261,653.238 119,569 909,874 909,874 134,716 Total OI 3,689,936.905 3,422,347 3,921,804 3,519,181 3,676,289
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 2008-09-02 $32.63 $30.00 52.3% 15.0% 67.5% 41.5% 87.9% 16.2% 5.9% 3.9M 45.3M -17.7M 0.07 2.85 846,785 63,089 1,607,122 1,912,059 2008-09-03 $32.96 $30.00 51.4% 14.7% 66.7% 40.4% 53.7% 14.2% 4.5% 8.8M -156.9M -18.0M 0.85 3.14 80,194 67,788 1,586,277 1,917,202 2008-09-04 $30.60 $30.00 64.5% 18.5% 71.6% 56.0% 65.3% 15.2% 0.5% -2.6M 516.7M -17.2M 1.81 2.57 81,463 147,063 1,614,779 1,925,217 2008-09-05 $32.23 $30.00 56.1% 16.6% 71.2% 46.1% 66.5% 18.5% 2.0% 6.3M 3.9M -18.1M 1.01 2.74 66,044 66,926 1,630,393 1,974,282 2008-09-08 $34.73 $30.00 53.6% 14.9% 75.5% 43.1% 57.6% 17.9% 2.1% 17.3M -760.1M -18.9M 1.03 4.63 136,722 140,796 1,642,102 1,985,536 2008-09-09 $32.52 $30.00 72.1% 19.4% 78.4% 65.0% 65.7% 21.5% -1.8% 7.3M -146.0M -18.7M 0.93 4.68 124,285 115,182 1,671,068 2,020,571 2008-09-10 $32.40 $30.00 68.7% 18.8% 74.2% 60.9% 68.7% 23.0% -0.7% 8.3M -116.5M -18.6M 1.44 4.26 73,201 105,100 1,707,315 2,025,318 2008-09-11 $33.06 $30.00 68.0% 19.5% 68.5% 60.1% 68.0% 24.7% -1.0% 8.9M -269.2M -19.1M 1.97 7.00 83,254 163,767 1,693,820 2,042,819 2008-09-12 $33.74 $30.00 69.7% 20.0% 67.2% 62.1% 70.8% 22.5% -1.4% 12.7M -588.4M -19.6M 1.43 3.92 75,114 107,406 1,701,383 2,094,401 2008-09-15 $26.55 $30.00 98.2% 28.1% 109.7% 95.9% 97.7% 25.4% -10.2% -13.2M 1.24B -15.8M 1.55 4.39 241,577 374,612 1,722,543 2,089,261 2008-09-16 $29.55 $30.00 84.0% 24.1% 115.8% 79.1% 90.6% 27.8% -2.6% -6.0M 607.6M -17.8M 1.12 7.19 130,105 145,414 1,771,593 2,107,898 2008-09-17 $27.20 $30.00 99.5% 28.5% 118.6% 97.5% 105.9% 32.3% -9.4% -13.7M 1.10B -16.5M 1.27 10.54 84,229 107,132 1,778,271 2,120,617 2008-09-18 $30.58 $30.00 87.0% 24.9% 125.1% 82.7% 86.2% 33.4% -6.3% 4.1M 128.6M -18.2M 0.73 16.88 173,309 126,800 1,791,173 2,109,323 2008-09-19 $37.48 $30.00 54.9% 15.7% 143.9% 44.7% 59.0% 21.4% 5.3% 24.6M -1.76B -18.3M 0.70 12.01 252,913 176,632 1,805,582 2,116,222 2008-09-22 $34.15 $30.00 68.2% 19.6% 148.3% 60.4% 69.2% 22.3% -1.0% 8.2M -592.4M -19.1M 1.02 5.31 94,391 95,860 1,566,457 1,855,890 2008-09-23 $33.30 $35.00 83.1% 23.8% 147.7% 78.0% 81.7% 21.7% -5.3% 6.7M -428.0M -19.8M 0.74 5.88 79,181 58,311 1,658,271 1,941,192 2008-09-24 $33.07 $35.00 81.8% 23.4% 147.7% 76.5% 81.0% 23.4% -5.6% 7.1M -403.6M -19.5M 0.99 6.94 60,031 59,538 1,670,147 1,952,251 2008-09-25 $34.37 $35.00 69.5% 19.9% 148.1% 61.9% 72.5% 21.2% -2.3% 9.9M -656.3M -20.0M 0.71 4.28 84,968 60,686 1,680,818 1,974,532 2008-09-26 $36.70 $35.00 67.2% 19.3% 148.4% 59.2% 73.6% 24.5% -4.0% 17.1M -1.58B -20.5M 0.62 5.07 116,982 72,986 1,687,419 1,980,147 2008-09-29 $30.25 $35.00 119.1% 34.1% 164.7% 100.0% 100.8% 27.9% -18.6% 5.7M -448.9M -18.4M 0.84 10.54 119,436 100,730 1,712,716 1,968,399 2008-09-30 $35.00 $35.00 81.5% 23.4% 172.2% 63.1% 86.3% 24.5% -8.3% 12.1M -821.2M -20.0M 1.32 14.88 58,112 76,604 1,710,404 1,965,885
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