BAC Options History — March 2009

In March 2009, BAC traded between $3.14 and $7.80. ATM implied volatility averaged 164.4%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 47.1%. IV traded below realized volatility by 43.5% (HV 20d: 207.9%). Max pain ranged from $4.00 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2009-03-18: Highest Volume — 892,382 contracts
2009-03-30: Largest IV spike — 23.4% change
2009-03-02: Highest IV Rank — 84.4%
2009-03-02: Largest Expected Move — 64.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.73	$3.14	$7.80	$3.63	$6.82
Max Pain	$5.00	$4.00	$6.00	$5.00	$6.00
ATM IV	164.4%	126.6%	225.5%	225.5%	146.2%
Expected Move	47.1%	36.3%	64.7%	64.7%	41.9%
HV 20d	207.9%	185.2%	223.5%	210.9%	201.1%
HV 60d	191.5%	173.5%	208.2%	177.9%	208.2%
IV Rank	58.4%	42.3%	84.4%	84.4%	50.7%
IV Percentile	87.2%	77.0%	98.8%	98.8%	81.7%
Term Structure	6.1%	-21.6%	24.4%	-21.6%	7.2%
VWIV	163.3%	129.7%	225.5%	225.5%	148.7%
Skew 25d	22.1%	1.1%	36.7%	15.4%	17.2%
Skew 10d	36.8%	-10.0%	52.2%	22.7%	30.8%
Call IV 25d	153.2%	119.5%	216.5%	216.5%	140.4%
Put IV 25d	175.3%	138.5%	231.9%	231.9%	157.6%
Bid-Ask Spread %	3.69	2.05	11.70	2.05	2.62
Gamma HHI	0.13	0.07	0.28	0.07	0.11
Net GEX	2.7M	67.0K	6.6M	990.5K	3.1M
Net DEX	-199.8M	-663.2M	127.7M	-133.1M	-222.4M
Net VEX	-3.1M	-4.5M	-1.2M	-1.2M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.35	0.91	0.81	0.35
Total Volume	458,041.773	206,303	892,382	454,325	283,381
Total OI	3,605,031.545	3,089,653	4,348,936	3,089,653	3,745,690

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
2009-03-02	$3.63	$5.00	225.5%	64.7%	210.9%	84.4%	225.5%	15.4%	-21.6%	990.5K	-133.1M	-1.2M	0.81	2.05	251,529	202,796	1,893,919	1,195,734
2009-03-03	$3.65	$5.00	193.7%	55.5%	209.9%	70.9%	198.2%	21.9%	4.7%	1.0M	-139.0M	-1.3M	0.66	3.44	149,051	99,103	1,985,545	1,231,797
2009-03-04	$3.59	$5.00	171.3%	49.1%	206.6%	61.3%	174.8%	12.8%	6.5%	185.6K	114.9M	-1.7M	0.68	2.06	163,684	110,660	2,013,573	1,259,174
2009-03-05	$3.17	$5.00	200.9%	57.6%	206.9%	73.9%	199.0%	1.1%	4.5%	83.7K	127.7M	-1.6M	0.54	2.84	226,281	122,729	2,059,319	1,310,540
2009-03-06	$3.14	$4.00	186.7%	58.8%	206.2%	67.9%	192.2%	25.8%	4.5%	67.0K	122.7M	-1.6M	0.91	4.65	132,746	120,152	2,121,238	1,309,310
2009-03-09	$3.75	$4.00	194.7%	52.2%	197.3%	71.3%	175.6%	24.9%	4.3%	316.2K	80.5M	-2.0M	0.40	3.62	172,128	69,407	2,144,979	1,372,433
2009-03-10	$4.79	$4.00	174.1%	48.4%	214.0%	62.5%	168.7%	28.5%	9.0%	1.6M	-53.4M	-2.5M	0.46	3.40	330,136	151,460	2,184,759	1,345,277
2009-03-11	$4.93	$4.00	172.5%	49.1%	201.4%	61.8%	166.1%	25.2%	3.5%	1.9M	-82.7M	-2.7M	0.51	3.64	333,810	170,559	2,240,710	1,399,822
2009-03-12	$5.85	$4.00	158.8%	45.5%	208.6%	56.0%	159.4%	23.9%	4.0%	3.7M	-263.8M	-3.0M	0.45	3.52	474,939	212,092	2,265,992	1,366,297
2009-03-13	$5.76	$4.00	159.9%	45.8%	208.3%	56.5%	158.6%	22.7%	2.7%	3.8M	-248.9M	-3.0M	0.52	2.48	379,679	198,692	2,306,694	1,412,791
2009-03-16	$6.18	$4.00	159.1%	45.6%	208.9%	56.2%	153.4%	36.7%	13.8%	4.6M	-305.2M	-3.2M	0.62	8.14	396,736	244,806	2,374,592	1,461,014
2009-03-17	$6.27	$5.00	156.4%	44.8%	202.8%	55.0%	152.6%	23.8%	3.0%	4.5M	-303.4M	-3.3M	0.83	2.82	234,366	194,318	2,392,461	1,538,593
2009-03-18	$7.67	$5.00	143.3%	41.1%	211.0%	49.4%	151.7%	24.3%	24.4%	6.6M	-663.2M	-4.1M	0.66	2.28	536,377	356,005	2,456,447	1,616,907
2009-03-19	$6.93	$5.00	164.3%	47.1%	206.2%	58.3%	162.1%	31.5%	1.6%	5.4M	-476.8M	-4.1M	0.63	11.70	529,694	334,321	2,535,197	1,762,493
2009-03-20	$6.19	$5.00	165.8%	47.5%	211.1%	59.0%	161.7%	23.6%	6.5%	4.0M	-267.4M	-3.6M	0.71	3.77	404,100	288,235	2,559,125	1,789,811
2009-03-23	$7.80	$6.00	141.2%	40.5%	223.5%	48.5%	143.7%	26.3%	8.7%	2.8M	-346.0M	-4.4M	0.36	3.60	317,044	114,438	1,938,378	1,250,851
2009-03-24	$7.24	$6.00	146.1%	41.9%	218.7%	50.6%	143.3%	20.7%	6.7%	2.9M	-278.6M	-4.2M	0.64	2.72	246,889	158,063	2,021,751	1,280,033
2009-03-25	$7.70	$6.00	134.9%	38.7%	217.9%	45.8%	137.6%	22.7%	14.6%	3.5M	-356.0M	-4.5M	0.48	2.39	290,322	138,998	2,075,519	1,345,407
2009-03-26	$7.58	$6.00	126.6%	36.3%	218.2%	42.3%	129.7%	22.9%	12.0%	3.4M	-317.6M	-4.5M	0.62	3.30	173,531	107,308	2,112,096	1,399,691
2009-03-27	$7.34	$6.00	131.9%	37.8%	185.2%	44.6%	130.3%	16.4%	12.3%	3.3M	-287.5M	-4.4M	0.63	3.70	126,591	79,712	2,144,891	1,450,153
2009-03-30	$6.03	$6.00	162.7%	46.6%	198.2%	57.7%	160.3%	18.0%	0.4%	2.0M	-96.7M	-3.7M	0.61	2.42	278,935	171,116	2,176,477	1,463,214
2009-03-31	$6.82	$6.00	146.2%	41.9%	201.1%	50.7%	148.7%	17.2%	7.2%	3.1M	-222.4M	-4.3M	0.35	2.62	209,377	74,004	2,240,564	1,505,126