BAC Options History — April 2009 In April 2009, BAC traded between $7.05 and $11.02. ATM implied volatility averaged 129.0%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 38.5%. IV traded below realized volatility by 58.9% (HV 20d: 187.8%). Max pain ranged from $6.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.64.
Notable Days 2009-04-09 : Highest Volume — 1,175,731 contracts2009-04-09 : Largest IV spike — 18.4% change2009-04-14 : Highest IV Rank — 50.9%2009-04-14 : Largest Expected Move — 42.1%Monthly Statistics Metric Avg Min Max Open Close Price $8.74 $7.05 $11.02 $7.05 $8.93 Max Pain $8.21 $6.00 $9.00 $6.00 $9.00 ATM IV 129.0% 102.9% 146.9% 142.0% 125.0% Expected Move 38.5% 35.2% 42.1% 40.7% 35.8% HV 20d 187.8% 167.9% 206.1% 200.3% 175.3% HV 60d 203.7% 192.4% 218.1% 208.3% 194.4% IV Rank 43.3% 32.2% 50.9% 48.9% 41.6% IV Percentile 74.3% 65.5% 82.1% 79.4% 69.8% Term Structure -6.3% -25.7% 26.4% 11.9% -3.5% VWIV 134.9% 120.4% 147.4% 142.3% 124.9% Skew 25d 22.3% 15.2% 29.4% 15.2% 17.7% Skew 10d 42.5% 29.1% 58.9% 29.1% 33.1% Call IV 25d 124.4% 113.8% 136.7% 134.7% 120.8% Put IV 25d 146.8% 131.4% 157.8% 149.8% 138.5% Bid-Ask Spread % 2.25 1.48 3.04 3.04 2.44 Gamma HHI 0.14 0.11 0.20 0.11 0.15 Net GEX 5.8M 2.7M 9.7M 3.7M 7.2M Net DEX -541.6M -1.36B -167.6M -277.3M -412.9M Net VEX -5.9M -7.6M -4.4M -4.4M -7.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.39 1.03 0.66 0.58 Total Volume 606,175.381 186,205 1,175,731 422,937 491,258 Total OI 4,626,290.238 3,823,159 5,807,522 3,823,159 5,807,522
Daily Data (21 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 2009-04-01 $7.05 $6.00 142.0% 40.7% 200.3% 48.9% 142.3% 15.2% 11.9% 3.7M -277.3M -4.4M 0.66 3.04 254,732 168,205 2,308,017 1,515,142 2009-04-02 $7.24 $6.00 122.8% 35.2% 191.4% 40.7% 120.4% 19.9% 26.4% 4.3M -310.3M -4.6M 0.39 3.00 291,917 114,086 2,383,233 1,588,139 2009-04-03 $7.60 $7.50 102.9% 38.4% 190.5% 32.2% 129.8% 24.1% -8.1% 5.4M -370.7M -4.7M 0.41 2.28 143,924 59,338 2,415,463 1,611,750 2009-04-06 $7.48 $7.50 117.1% 40.5% 184.8% 38.2% 138.9% 26.5% -11.0% 5.1M -339.0M -4.6M 0.74 2.00 138,667 102,759 2,427,042 1,618,506 2009-04-07 $7.36 $7.50 115.0% 39.9% 167.9% 37.4% 138.8% 27.4% -11.0% 5.1M -305.4M -4.5M 0.46 1.79 127,963 58,242 2,453,508 1,647,842 2009-04-08 $7.06 $7.50 109.7% 40.8% 169.3% 35.1% 147.4% 28.3% -13.1% 4.6M -237.3M -4.4M 0.85 1.48 198,480 168,423 2,497,364 1,652,196 2009-04-09 $9.55 $7.50 129.9% 37.2% 190.1% 43.7% 133.5% 27.5% -12.5% 8.3M -945.8M -5.7M 0.44 2.14 819,144 356,587 2,546,815 1,728,152 2009-04-13 $11.02 $7.50 140.0% 40.1% 194.0% 48.0% 144.3% 25.0% -25.7% 8.5M -1.36B -6.3M 0.65 2.38 696,403 450,046 2,645,193 1,840,932 2009-04-14 $10.09 $7.50 146.9% 42.1% 198.0% 50.9% 146.3% 17.8% -25.6% 8.5M -1.05B -6.4M 0.56 2.60 486,727 270,808 2,722,844 1,984,035 2009-04-15 $10.44 $9.00 140.5% 40.3% 198.0% 48.2% 138.8% 18.5% -20.4% 7.9M -1.10B -6.5M 0.59 2.59 342,373 202,296 2,765,450 2,069,509 2009-04-16 $10.34 $9.00 128.8% 36.9% 187.0% 43.3% 126.7% 17.3% -16.2% 9.0M -1.09B -6.4M 0.55 2.61 358,420 196,420 2,790,786 2,088,078 2009-04-17 $10.60 $9.00 123.4% 35.4% 181.9% 41.0% 123.9% 17.2% -15.9% 9.7M -1.18B -6.6M 0.50 2.14 467,281 234,265 2,839,766 2,140,646 2009-04-20 $8.02 $9.00 142.5% 40.8% 206.1% 49.1% 138.0% 21.9% -1.4% 2.7M -167.6M -5.3M 0.63 2.18 663,980 419,619 2,330,663 1,695,703 2009-04-21 $8.76 $9.00 126.8% 36.3% 191.7% 42.4% 132.1% 29.3% 5.7% 3.8M -311.2M -6.0M 0.83 1.74 436,504 362,100 2,467,872 1,817,780 2009-04-22 $8.26 $9.00 125.9% 36.1% 190.9% 42.0% 133.7% 29.1% 6.1% 3.0M -191.4M -5.8M 1.03 2.04 357,359 369,736 2,574,756 1,954,210 2009-04-23 $8.82 $9.00 135.6% 38.9% 191.1% 46.1% 135.4% 29.4% -4.7% 3.9M -340.2M -6.4M 0.55 2.54 606,814 333,542 2,682,707 2,044,607 2009-04-24 $9.10 $9.00 133.0% 38.1% 191.1% 45.0% 133.9% 22.3% -2.9% 5.7M -474.6M -7.2M 0.68 2.34 326,226 220,427 3,033,565 2,216,680 2009-04-27 $8.92 $9.00 128.8% 36.9% 190.8% 43.2% 133.0% 20.3% -1.8% 5.9M -406.8M -7.1M 1.00 1.64 126,973 126,490 3,070,621 2,258,161 2009-04-28 $8.15 $9.00 143.2% 41.0% 178.9% 49.4% 137.9% 19.0% -7.3% 4.0M -175.2M -6.5M 0.60 1.98 369,126 220,934 3,084,513 2,285,498 2009-04-29 $8.68 $9.00 128.8% 36.9% 175.3% 43.3% 132.7% 15.2% -2.1% 5.7M -323.2M -6.9M 0.74 2.35 339,958 251,131 3,199,459 2,347,370 2009-04-30 $8.93 $9.00 125.0% 35.8% 175.3% 41.6% 124.9% 17.7% -3.5% 7.2M -412.9M -7.6M 0.58 2.44 310,309 180,949 3,343,519 2,464,003
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