BAC Options History — September 2009 In September 2009, BAC traded between $16.27 and $17.63. ATM implied volatility averaged 48.1%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 8.0% (HV 20d: 40.1%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2009-09-01 : Highest Volume — 656,304 contracts2009-09-10 : Largest IV spike — 23.0% change2009-09-14 : Highest IV Rank — 4.6%2009-09-08 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $17.07 $16.27 $17.63 $16.46 $16.92 Max Pain $16.86 $16.00 $17.00 $16.00 $17.00 ATM IV 48.1% 42.1% 52.3% 50.5% 48.1% Expected Move 14.2% 13.1% 15.8% 14.5% 13.8% HV 20d 40.1% 30.6% 52.8% 52.8% 30.6% HV 60d 50.4% 46.3% 57.3% 57.0% 46.4% IV Rank 2.6% 0.0% 4.6% 3.2% 2.7% IV Percentile 8.3% 0.0% 14.3% 8.7% 10.3% Term Structure 1.5% -1.2% 8.7% 7.1% -1.1% VWIV 50.5% 46.7% 56.2% 51.3% 48.9% Skew 25d 5.2% 2.9% 8.9% 2.9% 4.3% Skew 10d 10.9% 6.1% 18.0% 9.0% 8.4% Call IV 25d 48.3% 45.6% 51.3% 50.7% 47.9% Put IV 25d 53.4% 48.8% 60.2% 53.6% 52.2% Bid-Ask Spread % 3.04 2.01 4.36 3.47 2.75 Gamma HHI 0.13 0.11 0.21 0.11 0.14 Net GEX 28.2M 19.0M 47.0M 19.0M 24.9M Net DEX -2.21B -2.73B -1.74B -1.78B -1.98B Net VEX -13.0M -13.9M -12.5M -13.2M -12.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.39 0.99 0.73 0.67 Total Volume 290,993.238 163,273 656,304 656,304 346,138 Total OI 5,684,027.143 5,285,875 6,029,184 5,411,094 5,767,322
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 2009-09-01 $16.46 $16.00 50.5% 14.5% 52.8% 3.2% 51.3% 2.9% 7.1% 19.0M -1.78B -13.2M 0.73 3.47 379,372 276,932 3,267,198 2,143,896 2009-09-02 $16.27 $16.00 50.3% 14.4% 47.9% 3.1% 51.0% 4.2% 8.1% 19.9M -1.74B -13.4M 0.64 2.32 272,017 173,690 3,353,272 2,174,687 2009-09-03 $16.84 $16.00 46.5% 13.3% 49.5% 1.4% 49.4% 5.3% 8.7% 24.8M -2.05B -13.9M 0.64 2.01 141,237 90,159 3,402,965 2,214,295 2009-09-04 $17.09 $17.00 43.4% 15.4% 49.3% 0.0% 54.8% 8.2% 0.7% 27.5M -2.25B -13.6M 0.79 3.75 118,373 93,946 3,429,602 2,237,516 2009-09-08 $17.02 $17.00 45.6% 15.8% 49.1% 1.0% 56.2% 8.9% -0.1% 26.9M -2.20B -13.4M 0.79 3.37 91,274 71,999 3,431,046 2,262,710 2009-09-09 $17.04 $17.00 42.1% 15.4% 45.1% 0.0% 54.1% 7.7% -0.3% 27.1M -2.26B -12.8M 0.68 2.43 131,896 89,489 3,445,447 2,280,960 2009-09-10 $17.22 $17.00 51.8% 14.9% 45.2% 4.4% 52.6% 7.2% 0.1% 30.2M -2.39B -12.9M 0.72 3.88 146,433 105,223 3,480,862 2,306,484 2009-09-11 $16.97 $17.00 51.2% 14.7% 39.3% 4.1% 51.4% 7.2% 0.0% 27.6M -2.20B -13.0M 0.75 3.78 126,136 95,017 3,518,532 2,336,879 2009-09-14 $16.99 $17.00 52.3% 15.0% 38.4% 4.6% 53.0% 6.8% 0.3% 28.4M -2.22B -12.7M 0.52 4.36 180,686 94,580 3,519,613 2,331,184 2009-09-15 $16.79 $17.00 51.0% 14.6% 34.3% 4.0% 51.6% 6.4% 1.9% 25.4M -2.11B -12.7M 0.52 2.76 139,822 72,560 3,548,468 2,332,420 2009-09-16 $17.25 $17.00 49.9% 14.3% 34.9% 3.5% 49.9% 4.1% 2.2% 33.4M -2.43B -12.5M 0.55 3.80 176,404 97,677 3,565,749 2,348,917 2009-09-17 $17.61 $17.00 49.6% 14.2% 35.4% 3.4% 52.0% 4.6% 1.9% 45.2M -2.73B -12.8M 0.39 3.25 328,387 129,599 3,583,408 2,360,350 2009-09-18 $17.63 $17.00 45.8% 13.1% 34.6% 1.7% 48.2% 3.3% 2.3% 47.0M -2.73B -12.6M 0.52 2.85 255,807 133,784 3,642,282 2,386,902 2009-09-21 $17.25 $17.00 47.5% 13.6% 34.9% 2.4% 47.6% 3.9% 0.4% 25.3M -2.22B -12.5M 0.84 2.78 137,660 116,058 3,219,958 2,065,917 2009-09-22 $17.61 $17.00 45.9% 13.2% 35.6% 1.7% 46.8% 3.2% 0.9% 27.8M -2.41B -12.7M 0.46 3.17 169,851 77,392 3,265,643 2,119,419 2009-09-23 $17.50 $17.00 47.2% 13.5% 34.7% 2.3% 46.7% 3.5% -0.3% 28.3M -2.39B -12.7M 0.71 3.01 167,742 119,415 3,315,515 2,157,743 2009-09-24 $16.98 $17.00 48.8% 14.0% 36.2% 3.0% 49.9% 4.4% -0.2% 25.7M -2.09B -12.8M 0.61 2.85 194,034 119,132 3,356,387 2,180,976 2009-09-25 $16.60 $17.00 48.9% 14.0% 36.7% 3.1% 50.1% 4.6% 1.3% 22.8M -1.90B -12.8M 0.72 2.91 134,572 96,702 3,396,396 2,209,452 2009-09-28 $17.22 $17.00 48.1% 13.8% 39.4% 2.7% 48.8% 4.2% -0.8% 27.9M -2.16B -13.1M 0.99 2.19 93,701 92,484 3,422,518 2,254,986 2009-09-29 $17.16 $17.00 46.4% 13.3% 38.7% 1.9% 47.2% 3.5% -1.2% 27.6M -2.12B -13.1M 0.80 2.21 130,052 103,426 3,441,267 2,285,427 2009-09-30 $16.92 $17.00 48.1% 13.8% 30.6% 2.7% 48.9% 4.3% -1.1% 24.9M -1.98B -12.9M 0.67 2.75 207,251 138,887 3,457,283 2,310,039
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