BAC Options History — July 2009 In July 2009, BAC traded between $11.84 and $14.79. ATM implied volatility averaged 63.7%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 4.6% (HV 20d: 59.1%). 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 11 of 22 days. Put/call ratio averaged 0.53.
Notable Days 2009-07-17 : Highest Volume — 1,010,161 contracts2009-07-16 : Largest IV drop — 35.5% change2009-07-15 : Highest IV Rank — 23.5%2009-07-08 : Largest Expected Move — 22.1%Monthly Statistics Metric Avg Min Max Open Close Price $12.80 $11.84 $14.79 $13.05 $14.79 Max Pain $11.55 $11.00 $12.00 $12.00 $12.00 ATM IV 63.7% 43.5% 97.6% 60.8% 43.5% Expected Move 16.8% 12.5% 22.1% 17.4% 12.5% HV 20d 59.1% 50.0% 66.3% 65.4% 54.9% HV 60d 93.6% 67.0% 125.0% 124.9% 67.0% IV Rank 8.2% 0.0% 23.5% 6.4% 0.0% IV Percentile 17.5% 0.0% 51.6% 11.5% 0.0% Term Structure 1.0% -5.9% 6.6% -1.2% 2.8% VWIV 59.0% 44.7% 76.9% 62.1% 44.7% Skew 25d 5.9% 2.5% 10.7% 4.4% 2.5% Skew 10d 12.6% 5.6% 22.8% 8.0% 5.6% Call IV 25d 56.8% 44.3% 73.4% 61.2% 44.3% Put IV 25d 62.7% 46.8% 83.6% 65.7% 46.8% Bid-Ask Spread % 2.76 1.96 3.55 2.62 2.21 Gamma HHI 0.18 0.14 0.41 0.17 0.18 Net GEX 28.0M 15.5M 51.6M 29.8M 44.0M Net DEX -1.34B -2.56B -817.8M -1.57B -2.56B Net VEX -11.0M -11.6M -9.9M -11.6M -11.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.32 0.95 0.64 0.42 Total Volume 415,877.591 198,036 1,010,161 250,057 503,878 Total OI 6,491,293.727 5,873,307 7,101,099 6,413,078 6,340,029
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 2009-07-01 $13.05 $12.00 60.8% 17.4% 65.4% 6.4% 62.1% 4.4% -1.2% 29.8M -1.57B -11.6M 0.64 2.62 152,903 97,154 3,973,694 2,439,384 2009-07-02 $12.64 $12.00 63.2% 18.1% 64.1% 7.6% 64.0% 3.4% -1.1% 25.3M -1.29B -11.5M 0.60 3.54 128,803 77,403 4,016,896 2,479,895 2009-07-06 $12.15 $11.00 76.5% 20.2% 65.8% 13.7% 69.9% 7.7% -3.4% 20.5M -979.9M -11.1M 0.61 2.75 202,679 124,487 4,046,066 2,486,900 2009-07-07 $12.15 $11.00 82.2% 20.8% 65.6% 16.4% 72.0% 7.7% -3.9% 20.6M -1.00B -11.3M 0.38 3.12 199,286 75,559 4,090,797 2,517,484 2009-07-08 $11.84 $11.00 89.3% 22.1% 66.2% 19.7% 76.9% 10.2% -5.9% 17.9M -817.8M -11.1M 0.43 3.55 369,631 159,754 4,118,293 2,537,562 2009-07-09 $11.97 $11.00 80.5% 21.6% 66.3% 15.6% 76.8% 10.7% -3.4% 20.5M -897.6M -11.2M 0.95 2.76 158,895 150,411 4,192,699 2,552,839 2009-07-10 $11.88 $11.00 80.4% 21.1% 59.3% 15.6% 74.7% 7.4% -2.6% 17.8M -838.1M -11.1M 0.85 3.14 133,999 113,669 4,185,085 2,617,899 2009-07-13 $12.99 $11.00 96.7% 20.4% 64.7% 23.1% 71.6% 7.6% -3.8% 31.3M -1.62B -11.6M 0.43 3.10 340,751 146,279 4,219,122 2,636,318 2009-07-14 $12.91 $11.00 87.8% 19.5% 64.0% 19.0% 67.8% 8.5% -2.9% 35.0M -1.56B -11.3M 0.33 3.18 371,573 122,771 4,258,064 2,651,267 2009-07-15 $13.42 $11.00 97.6% 19.4% 63.3% 23.5% 66.5% 8.8% -2.5% 40.8M -1.96B -11.6M 0.32 3.12 513,242 162,750 4,246,477 2,672,629 2009-07-16 $13.17 $11.00 62.9% 18.0% 62.3% 7.4% 63.0% 6.1% -1.5% 39.0M -1.72B -11.2M 0.51 2.48 419,959 213,074 4,337,070 2,713,437 2009-07-17 $12.89 $11.00 53.4% 15.3% 60.6% 3.0% 53.9% 7.1% 3.7% 51.6M -1.32B -10.6M 0.47 3.04 687,535 322,626 4,365,756 2,735,343 2009-07-20 $12.24 $12.00 53.9% 15.5% 62.5% 3.2% 53.5% 5.4% 2.4% 15.6M -869.5M -10.0M 0.50 2.46 448,769 224,818 3,619,979 2,253,328 2009-07-21 $12.19 $12.00 51.2% 14.7% 50.7% 2.0% 51.1% 4.4% 3.5% 15.8M -856.1M -10.1M 0.45 3.28 185,535 84,397 3,700,111 2,298,693 2009-07-22 $12.23 $12.00 48.4% 13.9% 50.0% 0.7% 48.8% 4.0% 5.0% 15.5M -841.3M -9.9M 0.71 2.75 156,488 110,828 3,728,335 2,323,679 2009-07-23 $12.69 $12.00 44.6% 12.8% 51.6% 0.0% 45.7% 4.8% 6.6% 21.1M -1.12B -10.4M 0.42 2.28 238,963 101,206 3,741,165 2,343,322 2009-07-24 $12.51 $12.00 47.2% 13.5% 51.9% 1.2% 48.8% 4.4% 5.6% 21.8M -1.08B -10.5M 0.77 1.96 111,659 86,377 3,833,280 2,356,167 2009-07-27 $13.09 $12.00 45.4% 13.0% 53.2% 0.4% 46.4% 2.9% 6.4% 28.3M -1.38B -10.8M 0.59 2.43 185,052 108,268 3,843,036 2,371,523 2009-07-28 $13.34 $12.00 46.1% 13.2% 52.2% 0.7% 47.5% 3.4% 6.4% 31.7M -1.58B -10.8M 0.34 2.07 283,067 95,737 3,871,603 2,388,329 2009-07-29 $13.52 $12.00 45.0% 12.9% 52.4% 0.2% 47.3% 5.2% 5.9% 35.3M -1.69B -11.0M 0.33 2.06 254,095 83,391 3,997,350 2,395,361 2009-07-30 $13.97 $12.00 44.4% 12.7% 53.4% 0.0% 46.0% 3.5% 5.7% 37.6M -1.95B -11.1M 0.52 2.81 289,610 151,976 3,906,683 2,405,513 2009-07-31 $14.79 $12.00 43.5% 12.5% 54.9% 0.0% 44.7% 2.5% 2.8% 44.0M -2.56B -11.1M 0.42 2.21 355,115 148,763 3,903,342 2,436,687
« Jun 2009 | All History | Aug 2009 » Home BAC History July 2009