BAC Options History — June 2009 In June 2009, BAC traded between $11.21 and $13.72. ATM implied volatility averaged 63.7%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded below realized volatility by 5.9% (HV 20d: 69.6%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.59.
Notable Days 2009-06-11 : Highest Volume — 1,130,494 contracts2009-06-22 : Largest IV spike — 14.1% change2009-06-02 : Highest IV Rank — 14.2%2009-06-22 : Largest Expected Move — 21.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.40 $11.21 $13.72 $11.21 $13.20 Max Pain $11.68 $11.00 $12.00 $11.00 $12.00 ATM IV 63.7% 55.0% 75.4% 63.8% 57.2% Expected Move 18.7% 16.4% 21.6% 18.3% 16.4% HV 20d 69.6% 51.8% 115.9% 115.9% 65.7% HV 60d 141.5% 124.9% 163.1% 163.1% 124.9% IV Rank 9.5% 4.8% 14.2% 13.5% 4.8% IV Percentile 16.8% 6.3% 31.3% 18.3% 6.3% Term Structure 1.9% -1.6% 9.0% 7.2% 1.4% VWIV 65.9% 58.1% 75.8% 64.2% 58.4% Skew 25d 5.2% -0.5% 7.7% 6.0% 2.6% Skew 10d 9.8% -0.1% 14.9% 9.7% 6.6% Call IV 25d 64.2% 57.9% 73.3% 62.6% 58.1% Put IV 25d 69.4% 60.4% 80.3% 68.5% 60.7% Bid-Ask Spread % 2.79 2.09 3.39 2.82 2.82 Gamma HHI 0.17 0.13 0.28 0.20 0.18 Net GEX 27.2M 15.5M 48.0M 19.8M 30.9M Net DEX -1.44B -2.59B -811.3M -1.03B -1.63B Net VEX -11.3M -12.0M -10.7M -11.0M -11.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.27 0.80 0.54 0.72 Total Volume 475,696.227 257,499 1,130,494 360,128 305,616 Total OI 6,758,083.409 5,790,354 7,538,818 6,989,060 6,351,943
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 2009-06-01 $11.21 $11.00 63.8% 18.3% 115.9% 13.5% 64.2% 6.0% 7.2% 19.8M -1.03B -11.0M 0.54 2.82 234,093 126,035 4,380,107 2,608,953 2009-06-02 $11.41 $11.00 67.7% 19.4% 98.5% 14.2% 69.3% -0.5% 3.2% 16.9M -941.9M -10.7M 0.63 3.37 207,913 131,841 4,077,632 2,626,956 2009-06-03 $11.21 $11.00 64.7% 18.5% 97.7% 12.9% 65.7% 1.9% 7.5% 15.5M -811.3M -10.7M 0.75 2.67 156,846 117,635 4,099,250 2,653,610 2009-06-04 $11.87 $11.00 60.1% 17.2% 81.6% 10.9% 61.7% 2.3% 9.0% 21.6M -1.17B -11.2M 0.76 2.78 246,765 188,597 4,133,432 2,684,541 2009-06-05 $11.86 $11.00 61.0% 19.5% 77.8% 11.3% 68.2% 7.7% 1.3% 22.8M -1.22B -11.2M 0.69 3.25 313,837 214,987 4,162,888 2,721,496 2009-06-08 $12.06 $12.00 60.2% 19.1% 75.7% 8.1% 68.4% 7.3% 1.2% 24.6M -1.29B -10.8M 0.75 2.63 166,554 124,774 4,160,860 2,714,984 2009-06-09 $12.06 $11.00 55.0% 18.7% 69.1% 5.3% 67.4% 7.5% 1.1% 24.4M -1.23B -10.7M 0.72 2.74 171,967 123,824 4,161,617 2,709,942 2009-06-10 $11.98 $11.00 58.0% 19.2% 66.5% 6.6% 66.6% 5.8% 2.6% 26.2M -1.27B -10.9M 0.58 2.86 318,199 185,536 4,206,839 2,704,967 2009-06-11 $12.97 $12.00 61.0% 17.5% 59.6% 8.0% 62.8% 4.9% 1.2% 40.8M -1.98B -11.3M 0.38 3.39 816,673 313,821 4,249,900 2,727,942 2009-06-12 $13.72 $12.00 62.0% 17.8% 61.7% 8.5% 63.7% 4.0% -0.4% 48.0M -2.59B -12.0M 0.52 2.67 647,113 335,509 4,341,082 2,796,463 2009-06-15 $13.33 $12.00 68.8% 19.7% 58.2% 11.6% 69.0% 4.9% -0.6% 38.0M -2.20B -11.8M 0.45 3.00 401,577 180,636 4,351,466 2,871,460 2009-06-16 $12.73 $12.00 64.2% 18.4% 52.6% 9.5% 64.7% 5.8% 1.9% 33.2M -1.71B -11.3M 0.35 2.12 468,364 165,067 4,410,138 2,859,741 2009-06-17 $12.30 $12.00 68.8% 19.7% 51.8% 11.6% 67.9% 6.7% 0.1% 29.9M -1.36B -11.4M 0.80 3.11 330,724 265,290 4,566,407 2,873,923 2009-06-18 $12.90 $12.00 66.8% 19.2% 53.7% 9.2% 67.8% 7.7% -0.7% 42.2M -1.85B -11.7M 0.46 2.09 318,887 145,439 4,552,156 2,913,358 2009-06-19 $13.22 $12.00 66.1% 18.9% 53.9% 8.9% 66.9% 6.6% 3.5% 35.1M -2.29B -11.9M 0.27 2.95 504,426 137,589 4,605,939 2,932,879 2009-06-22 $11.94 $12.00 75.4% 21.6% 65.3% 13.2% 75.8% 7.1% 0.1% 16.7M -978.7M -11.2M 0.67 2.62 323,212 216,913 3,617,206 2,173,148 2009-06-23 $12.23 $12.00 72.9% 20.9% 65.5% 12.1% 73.2% 7.7% -1.6% 18.1M -1.05B -11.3M 0.74 3.10 224,656 166,019 3,665,837 2,249,765 2009-06-24 $12.35 $12.00 67.6% 19.4% 65.4% 9.6% 66.4% 7.1% 0.2% 19.8M -1.11B -11.4M 0.64 2.32 193,330 123,128 3,753,051 2,314,572 2009-06-25 $12.35 $12.00 64.9% 18.6% 64.5% 8.3% 64.2% 5.0% 0.7% 20.3M -1.08B -11.5M 0.54 3.04 191,402 104,178 3,798,870 2,349,904 2009-06-26 $12.75 $12.00 58.4% 16.7% 65.2% 5.3% 59.9% 4.4% 2.1% 24.4M -1.33B -11.7M 0.42 2.70 181,872 75,627 3,842,040 2,385,609 2009-06-29 $13.19 $12.00 57.4% 16.5% 65.7% 4.9% 58.1% 2.4% 1.6% 29.5M -1.62B -11.8M 0.57 2.44 190,086 108,760 3,907,520 2,407,442 2009-06-30 $13.20 $12.00 57.2% 16.4% 65.7% 4.8% 58.4% 2.6% 1.4% 30.9M -1.63B -11.7M 0.72 2.82 177,188 128,428 3,944,127 2,407,816
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