BAC Options History — October 2009

In October 2009, BAC traded between $14.58 and $18.59. ATM implied volatility averaged 49.6%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 10.5% (HV 20d: 39.0%). Max pain ranged from $13.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.61.

Notable Days

2009-10-27: Highest Volume — 783,199 contracts
2009-10-30: Largest IV spike — 35.4% change
2009-10-13: Highest IV Rank — 12.8%
2009-10-30: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.73	$14.58	$18.59	$16.21	$14.58
Max Pain	$14.55	$13.00	$17.00	$17.00	$15.00
ATM IV	49.6%	35.1%	70.3%	56.4%	61.1%
Expected Move	13.3%	10.1%	17.5%	16.2%	17.5%
HV 20d	39.0%	31.8%	51.4%	34.2%	51.4%
HV 60d	43.8%	41.8%	47.4%	47.1%	44.5%
IV Rank	4.8%	0.0%	12.8%	6.5%	11.4%
IV Percentile	14.8%	0.0%	35.3%	21.0%	32.5%
Term Structure	0.0%	-4.9%	4.5%	-4.0%	-4.9%
VWIV	47.0%	36.1%	62.3%	55.8%	62.3%
Skew 25d	5.0%	2.1%	11.6%	4.8%	11.6%
Skew 10d	11.3%	5.5%	26.7%	9.8%	26.7%
Call IV 25d	45.2%	35.2%	58.4%	54.7%	58.4%
Put IV 25d	50.2%	38.6%	70.0%	59.5%	70.0%
Bid-Ask Spread %	2.41	1.67	3.22	2.84	2.58
Gamma HHI	0.15	0.12	0.19	0.12	0.13
Net GEX	28.1M	12.8M	55.2M	19.2M	16.8M
Net DEX	-1.87B	-3.27B	-596.9M	-1.52B	-596.9M
Net VEX	-12.9M	-13.5M	-12.0M	-12.9M	-13.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.34	1.10	0.47	0.87
Total Volume	418,670.045	131,517	783,199	347,119	536,040
Total OI	6,290,638.364	5,770,125	7,028,220	5,770,125	7,028,220

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
2009-10-01	$16.21	$17.00	56.4%	16.2%	34.2%	6.5%	55.8%	4.8%	-4.0%	19.2M	-1.52B	-12.9M	0.47	2.84	236,746	110,373	3,459,240	2,310,885
2009-10-02	$16.34	$17.00	54.5%	15.6%	31.8%	5.6%	54.2%	4.3%	-3.1%	20.2M	-1.62B	-13.0M	1.10	3.22	217,373	239,575	3,492,662	2,355,487
2009-10-05	$16.96	$13.00	52.6%	14.2%	34.3%	4.8%	50.6%	6.1%	1.1%	26.0M	-2.00B	-13.2M	0.44	2.66	161,581	71,336	3,520,341	2,420,278
2009-10-06	$17.00	$13.00	51.4%	14.1%	34.2%	4.2%	50.2%	4.8%	1.2%	27.2M	-2.04B	-13.1M	0.75	2.97	202,227	151,025	3,579,493	2,435,857
2009-10-07	$17.35	$13.00	49.0%	13.6%	35.0%	3.1%	48.4%	5.4%	1.4%	31.9M	-2.23B	-13.4M	0.58	2.07	200,164	115,320	3,595,921	2,509,669
2009-10-08	$17.33	$14.00	48.3%	13.4%	34.8%	2.8%	47.2%	4.0%	1.8%	33.4M	-2.26B	-13.1M	0.61	2.50	167,129	101,421	3,638,125	2,551,611
2009-10-09	$17.50	$14.00	49.3%	13.3%	34.5%	3.2%	46.8%	4.0%	2.4%	37.7M	-2.38B	-13.4M	0.40	2.44	93,864	37,653	3,638,288	2,531,001
2009-10-12	$18.03	$14.00	62.9%	13.8%	35.9%	9.4%	48.9%	4.7%	-0.3%	43.8M	-2.76B	-13.2M	0.56	2.36	311,704	173,968	3,665,368	2,546,598
2009-10-13	$17.81	$14.00	70.3%	13.9%	36.0%	12.8%	49.4%	4.3%	-0.2%	42.2M	-2.64B	-13.1M	0.46	2.60	198,819	91,325	3,764,116	2,612,195
2009-10-14	$18.59	$14.00	66.3%	13.1%	37.8%	11.0%	48.6%	5.5%	-0.1%	55.2M	-3.27B	-13.4M	0.43	2.02	440,855	188,856	3,772,522	2,624,876
2009-10-15	$18.10	$14.00	46.7%	13.4%	38.7%	2.1%	46.3%	4.1%	-0.3%	54.3M	-2.88B	-13.1M	0.52	2.68	345,977	178,804	3,817,527	2,655,859
2009-10-16	$17.26	$14.00	39.5%	11.3%	42.4%	0.0%	40.3%	4.5%	4.5%	18.6M	-2.12B	-12.6M	0.58	1.67	391,435	225,621	3,867,167	2,707,006
2009-10-19	$17.16	$14.00	35.8%	10.3%	41.7%	0.0%	37.0%	4.3%	1.8%	27.0M	-2.04B	-12.1M	0.84	2.20	194,935	163,618	3,498,129	2,387,893
2009-10-20	$17.01	$15.00	35.1%	10.1%	41.1%	0.0%	36.1%	3.3%	2.7%	25.3M	-1.95B	-12.3M	0.50	1.83	164,019	82,568	3,547,311	2,444,293
2009-10-21	$16.51	$15.00	37.0%	10.6%	42.3%	0.8%	36.7%	3.2%	0.2%	22.0M	-1.65B	-12.0M	0.90	2.35	207,113	186,931	3,597,503	2,484,034
2009-10-22	$16.52	$15.00	37.0%	10.6%	41.0%	0.9%	36.9%	2.2%	1.2%	20.6M	-1.59B	-12.5M	0.59	2.13	279,461	165,473	3,634,995	2,547,300
2009-10-23	$16.22	$15.00	39.4%	11.3%	40.8%	1.9%	40.0%	2.1%	2.1%	18.1M	-1.45B	-12.6M	0.77	2.36	136,500	105,754	3,687,767	2,610,182
2009-10-26	$15.40	$15.00	48.6%	13.9%	42.0%	6.0%	48.5%	3.8%	-1.2%	12.8M	-949.4M	-12.6M	0.77	2.88	422,512	323,780	3,747,203	2,633,045
2009-10-27	$15.45	$15.00	50.6%	14.5%	42.1%	6.8%	49.1%	6.2%	-1.7%	14.6M	-1.00B	-13.2M	0.34	1.98	585,921	197,278	3,879,844	2,719,098
2009-10-28	$15.01	$15.00	54.1%	15.5%	42.8%	8.4%	53.7%	9.2%	-3.6%	21.8M	-868.5M	-13.2M	0.42	2.26	364,300	151,486	4,197,164	2,700,188
2009-10-29	$15.73	$15.00	45.1%	12.9%	44.4%	4.4%	47.0%	7.5%	-0.1%	29.9M	-1.36B	-13.5M	0.64	2.44	176,683	113,218	4,218,889	2,758,894
2009-10-30	$14.58	$15.00	61.1%	17.5%	51.4%	11.4%	62.3%	11.6%	-4.9%	16.8M	-596.9M	-13.3M	0.87	2.58	286,683	249,357	4,238,672	2,789,548