BAC Options History — May 2009

In May 2009, BAC traded between $8.70 and $14.17. ATM implied volatility averaged 97.8%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded below realized volatility by 51.4% (HV 20d: 149.2%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2009-05-07: Highest Volume — 2,175,352 contracts
  • 2009-05-08: Largest IV drop — 27.5% change
  • 2009-05-04: Highest IV Rank — 50.4%
  • 2009-05-01: Largest Expected Move — 35.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.49$8.70$14.17$8.70$11.27
Max Pain$10.55$9.00$11.00$9.00$11.00
ATM IV97.8%66.8%145.6%122.9%66.8%
Expected Move26.8%19.2%35.2%35.2%19.2%
HV 20d149.2%116.5%190.8%175.7%116.5%
HV 60d181.7%165.7%195.6%192.7%165.7%
IV Rank29.4%14.9%50.4%40.7%14.9%
IV Percentile49.4%20.6%80.6%69.0%20.6%
Term Structure1.6%-10.2%9.1%-0.0%6.9%
VWIV94.4%67.4%125.6%125.6%67.4%
Skew 25d9.3%1.9%21.7%18.4%3.4%
Skew 10d18.9%1.1%40.3%33.4%6.0%
Call IV 25d89.8%66.3%120.8%120.8%66.3%
Put IV 25d99.1%69.7%139.2%139.2%69.7%
Bid-Ask Spread %3.301.787.221.784.12
Gamma HHI0.130.100.190.140.13
Net GEX11.7M6.5M16.3M6.5M15.7M
Net DEX-1.18B-2.80B-319.1M-319.1M-884.7M
Net VEX-9.8M-11.0M-7.5M-7.5M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.321.010.560.68
Total Volume796,315.2286,2832,175,352286,283464,971
Total OI6,246,059.24,999,9367,000,5415,961,1446,493,106

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$8.70$9.00122.9%35.2%175.7%40.7%125.6%18.4%-0.0%6.5M-319.1M-7.5M0.561.78182,952103,3313,409,1062,552,038
2009-05-04$10.38$9.00145.6%34.3%185.1%50.4%122.7%21.7%-4.2%10.9M-1.05B-8.7M0.562.87481,948270,6313,431,1492,561,206
2009-05-05$10.84$10.00133.9%34.1%184.9%45.2%121.4%19.6%-6.7%12.8M-1.25B-9.0M0.483.11575,803275,0953,491,3312,633,377
2009-05-06$12.69$10.00121.6%31.1%190.8%40.0%112.7%11.8%-6.3%15.2M-2.08B-9.8M0.583.661,058,076613,7653,581,0002,739,623
2009-05-07$13.51$10.00130.4%33.2%189.4%43.7%118.3%13.4%-10.2%16.3M-2.57B-10.8M0.597.221,368,309807,0433,762,5232,897,863
2009-05-08$14.17$10.0094.6%28.5%160.7%28.4%100.9%14.5%-2.5%15.9M-2.80B-11.0M1.012.75534,347539,3703,787,7923,139,237
2009-05-11$12.94$10.00110.5%27.5%158.3%35.2%95.4%9.4%-1.3%13.4M-2.03B-10.3M0.673.21478,614322,5513,701,9653,207,255
2009-05-12$12.26$11.0095.8%26.6%156.0%29.0%92.2%9.6%2.5%10.7M-1.58B-10.0M0.823.60379,465309,8503,714,7753,235,538
2009-05-13$11.01$11.00112.9%29.8%161.1%36.3%101.8%10.3%-1.1%9.8M-914.5M-9.5M0.793.06401,883317,8693,725,6273,221,193
2009-05-14$11.31$11.00101.3%29.0%161.3%31.3%102.0%10.0%2.9%11.3M-1.10B-9.5M0.923.34279,711257,6643,770,7953,219,516
2009-05-15$10.67$11.0095.4%27.3%162.6%28.4%97.4%10.1%4.9%10.7M-749.6M-9.0M0.512.83590,023298,4103,785,1363,215,405
2009-05-18$11.73$11.0087.2%25.0%127.8%24.8%87.8%7.1%2.6%8.2M-895.6M-9.7M0.522.51335,485173,9592,903,5422,096,394
2009-05-19$11.25$11.0086.3%24.7%126.8%24.4%85.8%6.9%4.9%8.1M-792.3M-9.6M0.442.82360,171157,0233,015,2882,116,561
2009-05-20$11.49$11.0077.8%22.3%124.0%20.5%77.1%4.8%5.6%10.2M-837.6M-9.9M0.603.78627,537375,8983,178,1732,184,237
2009-05-21$11.41$11.0076.9%22.1%122.9%20.1%76.7%4.5%5.8%11.1M-803.9M-10.3M0.622.92280,825175,2333,416,4412,314,435
2009-05-22$11.07$11.0078.1%22.4%123.6%20.6%79.6%2.0%5.5%10.1M-690.2M-10.3M0.602.81405,074244,2523,482,7582,358,758
2009-05-26$10.98$11.0075.3%21.6%123.3%19.0%77.3%2.0%7.3%10.9M-676.2M-10.2M0.323.50403,650128,1183,644,1312,421,621
2009-05-27$10.91$11.0073.9%21.2%117.6%18.3%74.9%1.9%5.8%11.7M-699.4M-10.2M0.562.99351,508196,2253,758,9302,432,725
2009-05-28$11.30$11.0069.7%20.0%116.5%16.2%70.5%4.4%9.1%13.9M-841.7M-10.7M0.363.06587,110212,5553,833,1452,487,489
2009-05-29$11.27$11.0066.8%19.2%116.5%14.9%67.4%3.4%6.9%15.7M-884.7M-10.7M0.684.12277,525187,4463,980,2782,512,828