BAC Options History — February 2009

In February 2009, BAC traded between $3.79 and $6.89. ATM implied volatility averaged 190.0%, placing in the 73.0% IV rank vs the trailing year. The 30-day expected move averaged 54.2%. IV traded below realized volatility by 23.1% (HV 20d: 213.1%). Max pain ranged from $5.00 to $9.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.65.

Notable Days

2009-02-05: Highest Volume — 983,742 contracts
2009-02-27: Largest IV spike — 35.9% change
2009-02-05: Highest IV Rank — 100.0%
2009-02-20: Largest Expected Move — 75.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.12	$3.79	$6.89	$6.00	$3.95
Max Pain	$6.16	$5.00	$9.00	$9.00	$5.00
ATM IV	190.0%	143.0%	262.1%	166.3%	211.3%
Expected Move	54.2%	43.9%	75.1%	47.7%	60.6%
HV 20d	213.1%	176.3%	248.8%	205.0%	209.9%
HV 60d	173.6%	161.9%	179.7%	161.9%	179.5%
IV Rank	73.0%	51.1%	100.0%	72.5%	78.4%
IV Percentile	96.0%	89.3%	100.0%	96.0%	98.0%
Term Structure	-19.3%	-54.1%	-0.0%	-6.5%	-5.8%
VWIV	189.0%	152.2%	259.1%	166.0%	208.2%
Skew 25d	32.0%	19.7%	56.1%	23.4%	41.3%
Skew 10d	58.5%	28.0%	114.6%	54.2%	40.9%
Call IV 25d	173.0%	142.6%	251.8%	158.6%	190.1%
Put IV 25d	205.0%	165.8%	272.4%	182.0%	231.3%
Bid-Ask Spread %	2.86	1.29	4.84	1.64	2.99
Gamma HHI	0.09	0.05	0.15	0.07	0.06
Net GEX	1.6M	-6.9K	3.7M	1.3M	1.4M
Net DEX	-3.7M	-186.2M	130.2M	42.3M	-99.1M
Net VEX	-1.9M	-2.5M	-1.3M	-2.1M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.30	1.20	0.64	1.20
Total Volume	471,596.421	172,861	983,742	172,861	572,657
Total OI	3,270,863.526	2,589,167	3,994,032	2,589,167	2,914,662

Daily Data (19 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
2009-02-02	$6.00	$9.00	166.3%	47.7%	205.0%	72.5%	166.0%	23.4%	-6.5%	1.3M	42.3M	-2.1M	0.64	1.64	105,659	67,202	1,585,910	1,003,257
2009-02-03	$5.30	$9.00	188.1%	53.9%	206.8%	83.9%	181.5%	28.9%	-13.2%	912.6K	69.7M	-1.8M	0.96	1.50	200,776	193,234	1,622,673	1,027,395
2009-02-04	$4.70	$7.50	202.9%	58.2%	206.5%	91.6%	209.4%	48.4%	-24.4%	674.1K	130.2M	-1.6M	0.66	1.29	247,763	164,453	1,717,092	1,092,699
2009-02-05	$4.84	$7.50	253.7%	72.7%	208.7%	100.0%	259.1%	20.5%	-27.1%	1.1M	82.5M	-1.7M	0.41	1.85	695,342	288,400	1,777,167	1,137,345
2009-02-06	$6.13	$6.00	229.1%	60.1%	232.3%	89.1%	209.3%	56.1%	-42.3%	2.6M	-38.7M	-2.4M	0.61	3.57	579,294	356,116	2,041,951	1,200,428
2009-02-09	$6.89	$6.00	207.5%	54.9%	238.8%	79.6%	203.5%	51.0%	-40.5%	3.7M	-186.2M	-2.5M	0.70	2.24	373,568	261,826	2,175,252	1,335,832
2009-02-10	$5.56	$6.00	178.7%	50.9%	245.3%	66.9%	180.4%	38.1%	-25.8%	2.3M	-79.6M	-2.4M	0.73	3.69	383,135	278,045	2,216,398	1,416,319
2009-02-11	$6.07	$6.00	143.0%	46.6%	248.8%	51.1%	162.8%	32.1%	-19.7%	3.3M	24.3M	-2.4M	0.83	3.98	169,629	140,680	2,295,269	1,486,018
2009-02-12	$5.87	$6.00	160.3%	45.9%	248.8%	58.7%	164.5%	28.1%	-16.5%	2.8M	44.6M	-2.2M	0.89	3.06	189,439	168,199	2,291,498	1,518,766
2009-02-13	$5.57	$6.00	153.1%	43.9%	240.2%	55.6%	154.9%	22.3%	-11.9%	2.0M	82.4M	-2.1M	0.62	3.11	139,716	86,315	2,276,907	1,479,584
2009-02-17	$4.90	$6.00	175.3%	50.3%	238.9%	65.4%	171.2%	19.7%	-20.8%	801.1K	117.1M	-1.7M	0.67	4.39	183,333	123,542	2,294,817	1,496,973
2009-02-18	$4.57	$6.00	170.3%	48.8%	207.6%	63.2%	172.1%	25.0%	-14.3%	26.6K	83.1M	-1.8M	0.56	1.96	208,766	116,262	2,325,470	1,487,331
2009-02-19	$3.93	$6.00	199.9%	57.3%	186.2%	76.2%	197.1%	28.0%	-24.0%	-6.9K	121.9M	-1.4M	0.87	2.62	294,557	257,690	2,355,162	1,483,839
2009-02-20	$3.79	$5.00	262.1%	75.1%	179.8%	100.0%	251.4%	36.7%	-54.1%	272.3K	-3.5M	-1.3M	0.49	4.84	482,172	234,403	2,504,441	1,489,591
2009-02-23	$3.91	$5.00	221.0%	63.3%	176.3%	82.5%	214.4%	34.3%	-15.5%	1.1M	-129.3M	-1.4M	0.41	3.27	226,354	92,394	1,653,344	1,028,334
2009-02-24	$4.73	$5.00	172.2%	49.4%	191.7%	61.7%	175.3%	22.4%	-2.1%	1.6M	-80.5M	-1.9M	0.30	2.29	200,601	59,346	1,704,114	1,032,846
2009-02-25	$5.16	$5.00	160.0%	45.9%	192.2%	56.5%	157.9%	28.2%	-0.0%	2.0M	-155.7M	-2.1M	0.37	2.60	325,553	119,163	1,749,631	1,040,141
2009-02-26	$5.32	$5.00	155.5%	44.6%	185.8%	54.6%	152.2%	23.5%	-1.8%	2.3M	-96.1M	-2.0M	0.52	3.47	245,826	128,922	1,830,137	1,057,814
2009-02-27	$3.95	$5.00	211.3%	60.6%	209.9%	78.4%	208.2%	41.3%	-5.8%	1.4M	-99.1M	-1.5M	1.20	2.99	260,222	312,435	1,826,735	1,087,927