BAC Options History — January 2009

In January 2009, BAC traded between $5.10 and $14.33. ATM implied volatility averaged 132.6%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 38.0%. IV traded below realized volatility by 1.0% (HV 20d: 133.7%). Max pain ranged from $9.00 to $22.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2009-01-15: Highest Volume — 879,612 contracts
2009-01-12: Largest IV spike — 55.7% change
2009-01-20: Highest IV Rank — 100.0%
2009-01-20: Largest Expected Move — 62.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.38	$5.10	$14.33	$14.33	$6.58
Max Pain	$13.72	$9.00	$22.50	$22.50	$9.00
ATM IV	132.6%	72.5%	219.0%	73.0%	157.1%
Expected Move	38.0%	20.9%	62.8%	20.9%	45.0%
HV 20d	133.7%	70.7%	208.2%	96.8%	205.2%
HV 60d	139.8%	119.9%	162.0%	129.1%	161.8%
IV Rank	59.2%	28.1%	100.0%	28.4%	67.7%
IV Percentile	88.5%	65.1%	100.0%	67.1%	95.6%
Term Structure	-11.7%	-45.5%	6.0%	6.0%	-13.9%
VWIV	129.9%	72.3%	207.2%	72.3%	151.3%
Skew 25d	26.5%	11.7%	44.0%	11.7%	22.8%
Skew 10d	57.1%	23.7%	92.3%	23.7%	47.6%
Call IV 25d	118.5%	67.8%	190.4%	67.8%	142.0%
Put IV 25d	145.0%	79.5%	234.4%	79.5%	164.8%
Bid-Ask Spread %	2.00	1.51	2.88	1.60	1.51
Gamma HHI	0.12	0.05	0.22	0.14	0.10
Net GEX	600.6K	-1.8M	1.8M	1.3M	1.4M
Net DEX	412.7M	21.6M	759.8M	697.2M	123.7M
Net VEX	-2.4M	-3.6M	-1.6M	-3.5M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.47	1.43	0.65	0.77
Total Volume	259,702.4	83,679	879,612	91,715	174,990
Total OI	2,736,643.4	2,037,650	3,474,177	2,951,284	2,560,384

Daily Data (20 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
2009-01-02	$14.33	$22.50	73.0%	20.9%	96.8%	28.4%	72.3%	11.7%	6.0%	1.3M	697.2M	-3.5M	0.65	1.60	55,544	36,171	1,745,695	1,205,589
2009-01-05	$13.98	$19.00	80.5%	23.6%	95.7%	33.1%	81.8%	19.7%	-2.9%	1.2M	684.4M	-3.4M	0.69	2.08	56,131	38,787	1,742,389	1,197,754
2009-01-06	$14.28	$19.00	82.5%	24.5%	93.3%	34.3%	82.9%	21.5%	-4.6%	1.6M	670.0M	-3.6M	0.59	2.27	84,454	49,574	1,752,161	1,200,607
2009-01-07	$13.71	$17.50	80.0%	24.9%	72.1%	32.7%	90.0%	21.8%	-5.0%	1.4M	669.6M	-3.5M	0.84	1.98	54,881	45,978	1,768,432	1,201,543
2009-01-08	$13.54	$17.50	72.5%	24.4%	70.7%	28.1%	85.6%	20.3%	-5.4%	1.3M	701.3M	-3.2M	0.72	2.63	63,918	45,711	1,788,912	1,204,243
2009-01-09	$12.99	$17.50	73.2%	25.7%	71.5%	28.5%	86.5%	19.1%	-6.7%	489.0K	732.6M	-3.1M	0.80	1.89	46,548	37,131	1,804,819	1,200,739
2009-01-12	$11.43	$16.00	114.0%	29.0%	74.4%	53.9%	100.7%	22.6%	-8.8%	-1.2M	721.7M	-2.5M	1.37	2.26	116,277	158,760	1,804,741	1,193,995
2009-01-13	$10.65	$16.00	117.0%	29.9%	76.9%	55.7%	104.5%	23.0%	-10.1%	-1.8M	759.8M	-2.2M	0.98	1.72	149,437	145,876	1,838,512	1,236,754
2009-01-14	$10.20	$15.00	129.6%	31.9%	76.1%	63.6%	109.0%	19.6%	-10.3%	-1.6M	678.8M	-2.3M	1.43	2.09	104,904	150,482	1,885,953	1,236,464
2009-01-15	$8.32	$15.00	184.5%	52.9%	95.1%	97.6%	183.5%	32.3%	-45.5%	-654.6K	478.2M	-2.6M	0.88	2.88	468,938	410,674	1,934,053	1,283,340
2009-01-16	$7.18	$12.50	145.2%	41.6%	103.8%	73.3%	143.2%	24.9%	-13.7%	347.5K	525.9M	-1.9M	0.83	1.75	268,122	223,033	2,114,336	1,359,841
2009-01-20	$5.10	$11.00	219.0%	62.8%	150.5%	100.0%	207.2%	44.0%	-27.9%	353.0K	71.4M	-1.6M	0.72	1.81	261,176	189,356	1,201,594	836,056
2009-01-21	$6.68	$10.00	168.4%	48.3%	188.5%	73.6%	160.5%	41.9%	-21.1%	699.8K	140.6M	-1.9M	0.55	2.31	209,843	116,307	1,297,293	848,982
2009-01-22	$5.71	$10.00	176.4%	50.6%	193.1%	77.8%	175.2%	35.4%	-12.4%	765.0K	80.9M	-1.9M	0.62	2.09	162,960	100,703	1,343,137	860,545
2009-01-23	$6.24	$10.00	173.6%	49.8%	198.5%	76.3%	167.6%	33.7%	-14.3%	992.7K	155.3M	-1.9M	0.53	1.96	176,111	94,046	1,413,122	877,605
2009-01-26	$6.00	$9.00	176.3%	50.5%	195.3%	77.7%	171.1%	36.2%	-18.6%	1.1M	21.6M	-2.1M	0.72	1.84	135,954	97,453	1,469,556	918,135
2009-01-27	$6.50	$10.00	158.5%	45.4%	199.8%	68.5%	150.6%	35.2%	-13.2%	1.2M	162.8M	-1.7M	0.79	1.65	106,876	84,766	1,499,339	944,430
2009-01-28	$7.39	$9.00	132.7%	38.0%	208.2%	55.0%	133.3%	25.3%	-3.2%	1.8M	80.9M	-2.1M	0.47	1.95	188,549	88,594	1,501,362	964,337
2009-01-29	$6.78	$9.00	139.0%	39.8%	208.2%	58.3%	140.6%	19.1%	-2.0%	1.5M	97.3M	-1.8M	0.52	1.75	128,392	66,641	1,520,216	975,903
2009-01-30	$6.58	$9.00	157.1%	45.0%	205.2%	67.7%	151.3%	22.8%	-13.9%	1.4M	123.7M	-1.7M	0.77	1.51	98,781	76,209	1,569,903	990,481