BAC Options History — August 2009

In August 2009, BAC traded between $15.32 and $17.98. ATM implied volatility averaged 48.5%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 2.2% (HV 20d: 50.7%). Max pain ranged from $12.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2009-08-05: Highest Volume — 1,333,090 contracts
  • 2009-08-05: Largest IV spike — 21.0% change
  • 2009-08-17: Highest IV Rank — 6.2%
  • 2009-08-17: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.89$15.32$17.98$15.32$17.59
Max Pain$14.81$12.00$16.00$12.00$16.00
ATM IV48.5%43.6%57.1%47.0%45.0%
Expected Move14.1%12.5%16.4%13.5%12.9%
HV 20d50.7%46.1%54.3%52.7%46.4%
HV 60d57.8%54.7%66.2%66.2%55.0%
IV Rank2.3%0.0%6.2%1.6%0.7%
IV Percentile4.6%0.4%13.5%2.8%3.2%
Term Structure4.0%-0.1%7.5%1.9%7.5%
VWIV50.1%44.8%58.5%48.1%46.6%
Skew 25d4.0%-0.9%6.3%6.2%3.2%
Skew 10d8.2%-3.0%14.5%14.5%6.4%
Call IV 25d48.4%42.9%56.0%45.1%45.5%
Put IV 25d52.4%47.1%60.5%51.3%48.7%
Bid-Ask Spread %2.671.953.562.232.20
Gamma HHI0.130.100.220.190.12
Net GEX33.8M25.8M45.7M44.4M27.7M
Net DEX-3.31B-4.23B-2.40B-2.88B-2.48B
Net VEX-12.6M-13.3M-11.3M-11.3M-13.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.281.090.480.83
Total Volume562,715.429222,7021,333,0901,067,540253,363
Total OI6,541,171.9054,981,6657,537,5306,379,6915,327,043

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$15.32$12.0047.0%13.5%52.7%1.6%48.1%6.2%1.9%44.4M-2.88B-11.3M0.482.23722,188345,3523,919,6372,460,054
2009-08-04$15.64$12.0043.9%12.6%52.6%0.2%46.5%4.2%3.2%45.7M-3.10B-11.5M0.451.95590,984263,7163,986,0442,539,555
2009-08-05$16.66$12.0053.1%15.2%53.4%4.4%53.1%-0.1%-0.1%40.1M-3.86B-12.2M0.452.33921,160411,9304,081,0742,591,254
2009-08-06$16.70$13.0051.2%14.7%53.6%3.5%52.4%-0.9%0.6%36.5M-3.80B-12.6M0.572.06621,113354,7084,135,8852,748,408
2009-08-07$16.42$15.0046.5%14.6%54.3%1.4%50.9%4.2%2.7%37.2M-3.53B-12.6M0.612.89416,095253,7534,185,0542,832,951
2009-08-10$16.68$15.0050.0%14.4%46.9%3.0%51.4%3.1%3.2%34.6M-3.67B-12.3M0.623.26216,014134,1534,161,6802,878,773
2009-08-11$15.85$15.0048.4%14.9%51.8%2.3%52.6%5.3%4.0%30.8M-3.00B-12.6M1.093.30303,021329,7034,161,8502,898,079
2009-08-12$15.93$15.0047.2%14.7%50.7%1.7%52.0%4.9%3.3%31.9M-3.02B-12.4M0.753.19232,793174,6904,199,6242,941,260
2009-08-13$17.00$15.0050.6%14.5%53.3%3.3%51.6%4.3%3.1%35.3M-3.87B-12.5M0.492.70458,827223,0154,190,5962,966,311
2009-08-14$17.39$15.0052.2%15.0%51.9%4.0%53.0%3.9%1.7%36.9M-4.22B-12.6M0.632.87385,621244,8184,248,5943,019,199
2009-08-17$16.56$15.0057.1%16.4%51.4%6.2%58.5%4.5%3.0%27.5M-3.42B-13.1M0.773.31283,306218,9414,252,4103,092,428
2009-08-18$16.90$15.0052.0%14.9%50.9%3.9%53.1%6.3%3.6%31.3M-3.76B-12.7M0.893.09205,224182,1184,281,9013,119,586
2009-08-19$16.75$16.0049.1%14.1%51.5%2.6%50.7%5.8%7.1%28.7M-3.62B-12.9M1.093.56169,409185,0644,287,4073,161,860
2009-08-20$17.14$15.0048.3%13.9%51.0%2.2%49.1%3.9%3.9%40.1M-4.00B-12.4M0.412.10303,970123,5324,291,5753,150,522
2009-08-21$17.46$15.0047.6%13.7%49.8%1.9%47.8%4.3%4.1%40.2M-4.23B-12.8M0.282.82454,794129,0984,358,8463,178,684
2009-08-24$17.35$16.0050.9%14.6%49.2%3.4%50.9%4.5%4.7%25.8M-2.40B-12.8M0.562.20393,252220,5133,068,9401,912,725
2009-08-25$17.75$16.0046.1%13.2%49.3%1.2%47.8%4.2%5.9%28.6M-2.61B-13.2M0.712.30194,613138,1053,163,1471,982,339
2009-08-26$17.79$16.0044.9%12.9%49.5%0.7%46.4%4.4%6.3%28.4M-2.59B-13.0M0.942.25114,584108,1183,145,0071,988,421
2009-08-27$17.92$16.0043.6%12.5%49.0%0.0%44.9%4.3%6.9%29.4M-2.67B-13.0M0.683.29151,903103,9733,177,5832,027,554
2009-08-28$17.98$16.0044.1%12.6%46.1%0.3%44.8%3.5%6.5%29.6M-2.72B-13.1M0.642.25170,199109,2913,191,6132,059,137
2009-08-31$17.59$16.0045.0%12.9%46.4%0.7%46.6%3.2%7.5%27.7M-2.48B-13.3M0.832.20138,422114,9413,226,0712,100,972