BAC Options History — December 2008

In December 2008, BAC traded between $12.75 and $17.84. ATM implied volatility averaged 99.5%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 28.9%. IV traded below realized volatility by 57.0% (HV 20d: 156.6%). Max pain ranged from $15.00 to $30.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.80.

Notable Days

2008-12-08: Highest Volume — 241,109 contracts
2008-12-02: Largest IV drop — 17.6% change
2008-12-01: Highest IV Rank — 74.3%
2008-12-01: Largest Expected Move — 42.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.46	$12.75	$17.84	$12.85	$14.08
Max Pain	$23.64	$15.00	$30.00	$15.00	$22.50
ATM IV	99.5%	73.6%	146.5%	146.5%	73.6%
Expected Move	28.9%	21.1%	42.0%	42.0%	21.1%
HV 20d	156.6%	98.1%	176.2%	158.3%	98.1%
HV 60d	154.4%	142.0%	168.1%	162.7%	142.5%
IV Rank	45.0%	28.8%	74.3%	74.3%	28.8%
IV Percentile	85.5%	68.3%	98.4%	98.4%	68.3%
Term Structure	4.6%	-8.5%	8.9%	-8.5%	6.8%
VWIV	101.0%	74.1%	140.3%	140.3%	74.1%
Skew 25d	22.4%	8.8%	34.8%	34.8%	8.8%
Skew 10d	47.5%	19.6%	79.1%	70.9%	19.6%
Call IV 25d	90.8%	70.4%	131.3%	131.3%	70.4%
Put IV 25d	113.2%	79.3%	166.1%	166.1%	79.3%
Bid-Ask Spread %	2.37	1.29	3.62	3.22	1.29
Gamma HHI	0.11	0.08	0.14	0.09	0.14
Net GEX	-68.7K	-1.5M	1.4M	-746.2K	497.3K
Net DEX	846.4M	627.6M	1.11B	1.08B	797.8M
Net VEX	-4.3M	-6.0M	-3.1M	-3.8M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.28	1.31	1.10	0.65
Total Volume	127,787.091	47,804	241,109	157,551	148,979
Total OI	3,024,727.273	2,812,837	3,194,710	3,094,949	2,891,789

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
2008-12-01	$12.85	$15.00	146.5%	42.0%	158.3%	74.3%	140.3%	34.8%	-8.5%	-746.2K	1.08B	-3.8M	1.10	3.22	74,995	82,556	1,631,443	1,463,506
2008-12-02	$14.37	$15.00	120.7%	34.6%	166.3%	58.4%	135.6%	32.1%	0.9%	-481.3K	1.09B	-4.5M	0.56	2.61	134,265	74,999	1,645,437	1,487,927
2008-12-03	$15.05	$15.00	114.8%	32.9%	166.7%	54.8%	120.6%	27.9%	1.6%	-483.9K	1.11B	-4.9M	0.85	2.46	61,589	52,102	1,652,922	1,495,721
2008-12-04	$14.34	$15.00	121.8%	34.9%	163.1%	59.1%	121.6%	26.9%	0.2%	-124.5K	929.0M	-4.6M	1.00	3.13	53,139	53,285	1,689,718	1,383,482
2008-12-05	$15.24	$30.00	102.4%	30.9%	164.1%	47.1%	101.6%	34.0%	2.4%	-45.3K	869.0M	-4.9M	0.62	2.39	86,345	53,402	1,697,763	1,344,094
2008-12-08	$17.84	$27.50	94.0%	27.8%	174.8%	42.0%	96.6%	30.8%	2.1%	1.4M	627.6M	-6.0M	0.57	3.62	153,241	87,868	1,719,882	1,314,398
2008-12-09	$16.95	$27.50	94.5%	28.7%	174.9%	42.3%	103.9%	29.1%	6.0%	1.3M	654.5M	-5.7M	0.79	2.69	62,114	48,879	1,741,514	1,322,367
2008-12-10	$16.69	$27.50	92.8%	29.5%	174.4%	40.7%	101.1%	27.0%	5.4%	1.3M	647.2M	-5.6M	0.81	2.17	52,745	42,620	1,745,170	1,317,387
2008-12-11	$14.91	$27.50	108.2%	31.0%	175.8%	50.3%	106.0%	27.3%	6.2%	156.2K	751.2M	-4.8M	1.19	2.09	44,711	53,277	1,754,394	1,317,692
2008-12-12	$14.93	$27.50	103.5%	29.7%	175.7%	47.4%	104.2%	26.7%	8.1%	16.0K	775.3M	-4.8M	0.70	2.33	91,132	63,902	1,759,708	1,321,801
2008-12-15	$14.11	$27.50	109.3%	31.3%	176.2%	50.9%	106.7%	25.5%	5.9%	-355.8K	816.2M	-4.4M	0.96	2.08	56,142	54,065	1,781,765	1,327,048
2008-12-16	$15.10	$27.50	103.6%	29.7%	175.4%	47.4%	102.9%	20.3%	3.7%	788.9K	742.1M	-4.8M	0.61	2.11	125,737	76,141	1,791,161	1,333,075
2008-12-17	$14.62	$25.00	99.9%	28.6%	175.8%	45.1%	100.0%	20.4%	2.7%	182.9K	811.9M	-4.3M	0.77	2.41	78,272	60,017	1,818,771	1,329,927
2008-12-18	$13.96	$25.00	99.8%	28.6%	167.7%	45.1%	100.1%	19.8%	4.3%	-598.0K	870.7M	-4.0M	1.29	2.53	51,579	66,439	1,849,109	1,345,601
2008-12-19	$13.80	$25.00	94.9%	27.2%	157.9%	42.0%	94.3%	18.4%	6.5%	-1.5M	910.0M	-3.7M	0.61	2.83	81,308	49,689	1,848,089	1,340,718
2008-12-22	$13.53	$25.00	91.1%	26.1%	158.2%	39.7%	91.2%	17.8%	5.9%	-633.3K	859.9M	-3.5M	1.31	2.60	47,197	61,834	1,618,738	1,194,099
2008-12-23	$12.75	$25.00	92.0%	26.4%	133.8%	40.2%	92.1%	15.2%	6.6%	-576.2K	873.5M	-3.2M	0.63	1.81	49,737	31,354	1,633,197	1,202,522
2008-12-24	$13.53	$22.50	79.2%	22.7%	135.6%	32.3%	82.6%	12.9%	8.9%	-350.3K	858.0M	-3.4M	0.69	1.90	28,226	19,578	1,646,947	1,209,658
2008-12-26	$13.36	$22.50	76.4%	21.9%	134.6%	30.5%	78.7%	12.4%	8.4%	-300.1K	865.4M	-3.2M	0.68	2.10	46,740	31,606	1,650,796	1,201,801
2008-12-29	$12.94	$22.50	87.5%	25.1%	133.0%	37.4%	85.6%	12.4%	8.4%	-533.6K	851.6M	-3.1M	0.87	1.77	53,806	46,903	1,667,174	1,198,608
2008-12-30	$13.24	$22.50	83.6%	24.0%	103.8%	35.0%	82.9%	12.5%	8.2%	-366.2K	826.1M	-3.2M	0.28	1.93	93,069	25,732	1,675,993	1,181,088
2008-12-31	$14.08	$22.50	73.6%	21.1%	98.1%	28.8%	74.1%	8.8%	6.8%	497.3K	797.8M	-3.3M	0.65	1.29	90,429	58,550	1,702,046	1,189,743