BAC Options History — October 2008

In October 2008, BAC traded between $19.63 and $38.13. ATM implied volatility averaged 102.0%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded below realized volatility by 79.4% (HV 20d: 181.3%). Max pain ranged from $27.50 to $35.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.93.

Notable Days

2008-10-08: Highest Volume — 588,352 contracts
2008-10-07: Largest IV spike — 34.0% change
2008-10-07: Highest IV Rank — 100.0%
2008-10-10: Largest Expected Move — 38.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.05	$19.63	$38.13	$38.13	$24.17
Max Pain	$29.78	$27.50	$35.00	$35.00	$27.50
ATM IV	102.0%	67.7%	172.1%	79.7%	70.6%
Expected Move	26.4%	19.4%	38.8%	22.8%	20.2%
HV 20d	181.3%	156.2%	207.9%	174.6%	159.1%
HV 60d	138.5%	129.9%	145.0%	130.3%	140.5%
IV Rank	58.9%	29.6%	100.0%	61.3%	30.6%
IV Percentile	94.1%	81.0%	100.0%	94.0%	81.3%
Term Structure	-7.1%	-19.4%	1.0%	-11.9%	1.0%
VWIV	90.3%	71.2%	125.4%	80.7%	73.7%
Skew 25d	26.4%	18.1%	41.8%	22.3%	18.1%
Skew 10d	53.9%	34.3%	87.3%	45.6%	34.3%
Call IV 25d	80.0%	62.4%	113.2%	68.3%	68.0%
Put IV 25d	106.4%	83.8%	150.1%	90.6%	86.1%
Bid-Ask Spread %	6.09	2.44	12.64	5.83	3.83
Gamma HHI	0.11	0.08	0.13	0.08	0.12
Net GEX	-2.6M	-10.2M	21.6M	21.6M	-6.2M
Net DEX	1.02B	-1.92B	1.87B	-1.92B	1.37B
Net VEX	-12.2M	-20.8M	-8.3M	-20.7M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.44	1.63	0.67	0.44
Total Volume	212,319.87	61,298	588,352	323,464	88,575
Total OI	3,615,771.913	3,313,930	3,855,199	3,675,864	3,459,041

Daily Data (23 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
2008-10-01	$38.13	$35.00	79.7%	22.8%	174.6%	61.3%	80.7%	22.3%	-11.9%	21.6M	-1.92B	-20.7M	0.67	5.83	194,196	129,268	1,724,133	1,951,731
2008-10-02	$36.37	$35.00	86.7%	24.8%	173.2%	68.0%	88.2%	23.4%	-14.4%	17.2M	-1.39B	-20.8M	1.45	5.94	111,180	161,540	1,762,428	1,961,685
2008-10-03	$34.48	$35.00	84.5%	24.2%	173.7%	65.9%	81.4%	21.9%	-7.5%	14.0M	-793.7M	-19.6M	0.50	8.50	125,159	62,520	1,775,300	1,936,388
2008-10-06	$32.22	$30.00	107.5%	24.6%	173.3%	88.5%	85.7%	30.5%	-10.6%	9.4M	-306.6M	-18.4M	1.08	7.21	86,025	93,173	1,796,068	1,934,391
2008-10-07	$23.77	$30.00	144.1%	31.7%	202.8%	100.0%	108.3%	27.3%	-14.1%	-7.1M	1.37B	-13.3M	1.29	6.47	230,002	296,343	1,801,357	1,937,126
2008-10-08	$22.10	$30.00	132.1%	30.6%	203.7%	90.5%	101.9%	30.3%	-11.8%	-10.2M	1.87B	-11.2M	1.12	8.87	277,811	310,541	1,824,653	1,959,951
2008-10-09	$19.63	$30.00	169.9%	38.0%	206.1%	100.0%	125.4%	33.6%	-15.5%	-5.8M	1.61B	-10.3M	1.13	12.64	151,142	170,283	1,874,912	1,908,635
2008-10-10	$20.87	$30.00	172.1%	38.8%	207.9%	100.0%	123.2%	41.8%	-19.4%	-5.4M	1.49B	-11.1M	1.01	7.58	148,686	150,325	1,888,633	1,895,260
2008-10-13	$22.79	$30.00	138.3%	31.0%	194.9%	78.0%	100.7%	36.0%	-9.1%	-5.4M	1.45B	-11.8M	0.70	5.97	91,275	64,006	1,910,736	1,898,840
2008-10-14	$26.53	$30.00	91.3%	21.8%	199.0%	46.8%	79.2%	23.9%	-0.1%	-4.1M	1.08B	-13.2M	0.84	6.88	160,828	135,243	1,914,969	1,891,964
2008-10-15	$23.82	$30.00	111.4%	25.1%	200.5%	59.5%	90.7%	25.6%	-3.8%	-8.2M	1.49B	-11.7M	0.84	7.87	94,768	79,618	1,928,682	1,908,833
2008-10-16	$24.25	$30.00	90.5%	25.9%	195.4%	45.6%	91.5%	29.8%	-6.3%	-7.8M	1.46B	-11.7M	1.09	7.57	90,911	98,775	1,944,338	1,900,566
2008-10-17	$23.24	$30.00	86.1%	24.7%	178.2%	42.7%	82.2%	23.8%	-4.8%	-6.5M	1.67B	-10.3M	0.91	6.55	88,158	80,456	1,950,422	1,904,777
2008-10-20	$24.40	$30.00	69.6%	20.0%	178.1%	30.9%	72.3%	21.9%	0.5%	-6.4M	1.37B	-10.4M	0.72	3.79	85,254	61,685	1,659,713	1,654,217
2008-10-21	$23.97	$30.00	67.7%	19.4%	178.0%	29.6%	71.2%	21.4%	-0.2%	-6.5M	1.39B	-10.0M	1.63	3.44	72,749	118,901	1,673,320	1,649,501
2008-10-22	$22.66	$27.50	90.5%	26.0%	178.5%	45.0%	88.9%	25.8%	-3.9%	-6.3M	1.43B	-10.0M	0.84	6.10	74,102	62,419	1,692,544	1,686,877
2008-10-23	$23.00	$27.50	89.6%	25.7%	177.7%	43.6%	88.9%	24.9%	-4.5%	-5.5M	1.39B	-10.1M	0.92	5.47	61,683	56,702	1,716,823	1,682,725
2008-10-24	$21.07	$27.50	105.3%	30.2%	176.2%	54.3%	99.8%	28.2%	-8.4%	-6.0M	1.53B	-9.1M	1.30	4.54	64,142	83,688	1,723,102	1,686,947
2008-10-27	$20.53	$27.50	101.4%	29.1%	165.1%	51.7%	92.0%	26.4%	-7.4%	-6.7M	1.61B	-8.3M	0.83	3.26	51,777	43,161	1,729,406	1,695,159
2008-10-28	$23.02	$27.50	85.5%	24.5%	161.2%	40.8%	83.9%	26.3%	-3.5%	-6.2M	1.45B	-9.6M	0.98	2.44	59,954	58,654	1,744,186	1,704,533
2008-10-29	$22.32	$27.50	85.8%	24.6%	156.2%	41.0%	84.6%	21.0%	-4.9%	-6.9M	1.52B	-9.1M	0.70	5.11	56,661	39,720	1,757,050	1,704,763
2008-10-30	$22.78	$27.50	85.0%	24.4%	156.9%	40.5%	82.0%	22.1%	-1.9%	-5.4M	1.39B	-9.4M	0.48	4.16	41,306	19,992	1,768,088	1,687,981
2008-10-31	$24.17	$27.50	70.6%	20.2%	159.1%	30.6%	73.7%	18.1%	1.0%	-6.2M	1.37B	-9.6M	0.44	3.83	61,657	26,918	1,770,231	1,688,810