BAC Options History — November 2008

In November 2008, BAC traded between $11.25 and $24.53. ATM implied volatility averaged 113.2%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 31.9%. IV traded below realized volatility by 1.8% (HV 20d: 115.0%). Max pain ranged from $15.00 to $27.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.75.

Notable Days

  • 2008-11-21: Highest Volume — 322,639 contracts
  • 2008-11-24: Largest IV drop — 36.9% change
  • 2008-11-20: Highest IV Rank — 100.0%
  • 2008-11-21: Largest Expected Move — 54.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.17$11.25$24.53$23.61$16.25
Max Pain$20.66$15.00$27.50$27.50$15.00
ATM IV113.2%59.7%188.3%78.3%106.3%
Expected Move31.9%17.1%54.0%22.4%30.5%
HV 20d115.0%92.1%158.0%158.0%141.8%
HV 60d145.8%140.4%156.7%140.4%156.7%
IV Rank57.6%23.2%100.0%35.9%49.5%
IV Percentile93.8%71.4%100.0%85.7%92.1%
Term Structure-2.7%-12.4%5.9%-2.0%2.6%
VWIV109.3%63.1%187.9%74.7%104.8%
Skew 25d26.1%13.7%61.0%19.4%24.4%
Skew 10d49.1%24.3%122.7%41.1%47.6%
Call IV 25d99.4%56.6%162.8%66.9%92.4%
Put IV 25d125.5%70.3%223.8%86.3%116.8%
Bid-Ask Spread %3.172.105.552.692.79
Gamma HHI0.150.080.220.120.10
Net GEX-4.4M-7.3M-506.6K-5.7M-506.6K
Net DEX1.50B1.13B1.79B1.37B1.13B
Net VEX-5.9M-9.5M-3.5M-9.4M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.411.470.550.79
Total Volume170,893.05363,823322,63963,82368,502
Total OI3,505,147.6842,933,8693,848,2993,476,4253,076,740

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$23.61$27.5078.3%22.4%158.0%35.9%74.7%19.4%-2.0%-5.7M1.37B-9.4M0.552.6941,24122,5821,785,8991,690,526
2008-11-04$24.53$27.5059.7%17.1%116.3%23.2%63.1%13.7%1.1%-4.7M1.25B-9.5M0.532.6869,71136,7541,795,9481,691,533
2008-11-05$21.75$27.5075.8%21.7%121.5%34.2%77.5%17.0%-2.2%-7.1M1.65B-7.9M0.912.6752,24747,8031,814,1851,692,371
2008-11-06$20.12$27.5096.7%27.7%117.0%48.5%96.1%19.5%-7.4%-7.1M1.66B-7.6M1.112.9886,05395,7701,816,7291,706,474
2008-11-07$20.49$22.5089.8%24.7%115.1%43.8%82.9%21.6%-0.9%-6.7M1.64B-7.7M0.432.3071,30230,8591,835,1861,712,473
2008-11-10$19.48$22.50100.5%26.2%111.3%51.1%93.1%23.8%-0.4%-7.0M1.70B-7.0M1.473.7668,739101,3271,845,5381,708,975
2008-11-11$18.69$22.50113.1%28.6%94.4%59.7%90.9%22.3%-2.3%-7.3M1.79B-6.5M0.412.30112,27045,8811,853,9541,749,698
2008-11-12$17.00$22.50120.2%31.0%92.8%64.6%105.2%19.9%-3.4%-6.1M1.72B-5.9M0.682.5380,50954,7241,890,8111,737,138
2008-11-13$17.10$20.00109.5%31.4%92.3%57.2%105.0%20.6%-5.8%-6.1M1.72B-6.0M0.763.75137,568104,4091,896,4801,745,085
2008-11-14$16.42$20.00110.9%31.8%92.3%58.2%111.2%23.3%-5.2%-5.5M1.70B-5.6M1.153.2167,50777,5211,927,7931,751,022
2008-11-17$15.03$20.00122.8%35.2%92.1%66.3%120.3%23.8%-5.9%-5.6M1.72B-4.7M0.742.10163,861121,6251,939,6411,773,631
2008-11-18$15.19$20.00120.9%34.7%92.9%65.0%119.0%23.9%-4.4%-6.0M1.75B-4.9M0.622.5085,02652,6721,997,5541,816,467
2008-11-19$13.06$17.50139.7%40.0%103.0%77.9%132.8%25.7%-2.8%-3.2M1.57B-3.9M0.673.60134,28290,3021,991,6821,752,547
2008-11-20$11.25$17.50182.4%52.3%110.2%100.0%166.4%38.6%-9.1%-1.6M1.37B-3.5M0.943.22140,189131,9232,029,1111,757,917
2008-11-21$11.47$17.50188.3%54.0%110.1%100.0%187.9%61.0%-12.4%-800.5K1.37B-3.5M0.825.55177,281145,3582,063,0781,785,221
2008-11-24$14.59$15.00118.8%34.0%146.2%57.2%123.2%32.3%1.3%-1.2M1.15B-4.4M0.444.53169,92174,3321,537,9391,395,930
2008-11-25$14.80$15.00108.1%31.0%138.4%50.6%112.1%35.3%5.9%-1.0M1.13B-4.6M0.553.6698,51654,2531,571,0941,423,876
2008-11-26$15.43$15.00109.8%31.5%140.2%51.7%109.8%29.3%1.5%-751.0K1.16B-4.7M0.593.3884,36249,7861,594,8911,442,669
2008-11-28$16.25$15.00106.3%30.5%141.8%49.5%104.8%24.4%2.6%-506.6K1.13B-5.1M0.792.7938,19630,3061,619,2621,457,478