BAC Options History — November 2009

In November 2009, BAC traded between $14.63 and $16.43. ATM implied volatility averaged 42.8%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 4.6% (HV 20d: 47.4%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2009-11-02: Highest Volume — 648,588 contracts
2009-11-27: Largest IV spike — 15.2% change
2009-11-02: Highest IV Rank — 9.3%
2009-11-02: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.72	$14.63	$16.43	$14.63	$15.85
Max Pain	$15.80	$15.00	$16.00	$15.00	$16.00
ATM IV	42.8%	35.3%	56.1%	56.1%	37.5%
Expected Move	12.4%	10.1%	16.1%	16.1%	10.8%
HV 20d	47.4%	32.3%	52.3%	49.0%	32.3%
HV 60d	41.7%	39.4%	44.5%	44.5%	39.4%
IV Rank	3.4%	0.1%	9.3%	9.3%	1.1%
IV Percentile	6.8%	0.4%	27.8%	27.8%	2.8%
Term Structure	3.6%	-0.6%	7.3%	-0.4%	5.5%
VWIV	43.9%	36.1%	57.6%	57.6%	38.4%
Skew 25d	5.9%	1.5%	9.3%	8.6%	3.5%
Skew 10d	13.1%	4.8%	21.1%	16.1%	10.6%
Call IV 25d	41.7%	35.1%	55.1%	55.1%	36.8%
Put IV 25d	47.6%	37.4%	63.7%	63.7%	40.3%
Bid-Ask Spread %	2.72	1.71	3.69	3.58	2.59
Gamma HHI	0.17	0.10	0.44	0.13	0.11
Net GEX	26.2M	13.1M	63.8M	15.8M	17.8M
Net DEX	-1.23B	-2.04B	-597.4M	-597.4M	-1.01B
Net VEX	-13.3M	-14.3M	-12.8M	-13.2M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.17	1.22	1.05	0.66
Total Volume	336,067.25	139,796	648,588	648,588	206,680
Total OI	7,002,911.4	5,676,059	7,619,287	7,146,811	6,153,363

Daily Data (20 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
2009-11-02	$14.63	$15.00	56.1%	16.1%	49.0%	9.3%	57.6%	8.6%	-0.4%	15.8M	-597.4M	-13.2M	1.05	3.58	316,826	331,762	4,266,644	2,880,167
2009-11-03	$14.80	$15.00	54.6%	15.6%	49.4%	8.6%	56.2%	6.7%	-0.6%	16.0M	-668.2M	-13.3M	0.58	2.17	192,089	111,897	4,194,969	2,914,029
2009-11-04	$14.70	$15.00	52.0%	14.9%	48.3%	7.5%	53.1%	8.0%	-0.5%	15.1M	-603.8M	-12.9M	0.60	3.25	263,840	158,269	4,242,072	2,906,909
2009-11-05	$15.13	$15.00	48.0%	13.8%	50.0%	5.7%	47.4%	5.5%	0.3%	18.4M	-844.2M	-13.3M	0.29	1.71	399,409	117,116	4,313,670	2,980,399
2009-11-06	$15.05	$16.00	42.1%	13.2%	49.7%	3.1%	47.2%	9.3%	4.1%	13.5M	-734.1M	-13.0M	0.57	3.14	140,961	80,286	4,254,367	2,998,178
2009-11-09	$15.77	$16.00	42.9%	12.5%	51.7%	3.5%	45.0%	7.9%	2.8%	28.6M	-1.41B	-13.0M	0.56	2.83	267,858	150,496	4,261,091	2,994,503
2009-11-10	$16.03	$16.00	41.4%	12.3%	52.3%	2.8%	42.8%	7.0%	2.9%	33.5M	-1.63B	-13.3M	0.44	3.69	213,384	94,110	4,291,747	3,039,087
2009-11-11	$16.43	$16.00	42.8%	12.5%	50.4%	3.4%	44.1%	6.5%	2.8%	41.4M	-2.04B	-13.7M	0.63	3.21	209,781	131,783	4,304,579	3,033,767
2009-11-12	$16.06	$16.00	44.0%	12.6%	50.2%	4.0%	44.2%	6.0%	3.5%	30.9M	-1.68B	-13.5M	0.71	3.12	156,694	111,062	4,302,137	3,074,432
2009-11-13	$15.98	$16.00	42.9%	12.3%	47.7%	3.5%	43.1%	7.2%	3.5%	28.9M	-1.53B	-13.3M	0.76	2.57	148,130	112,881	4,302,459	3,091,467
2009-11-16	$15.87	$16.00	42.3%	12.1%	47.8%	3.2%	44.8%	7.7%	3.6%	27.1M	-1.40B	-12.8M	0.98	3.09	131,150	128,003	4,310,022	3,112,218
2009-11-17	$15.77	$16.00	41.3%	11.8%	47.7%	2.7%	41.9%	5.9%	4.8%	26.6M	-1.25B	-12.9M	1.20	2.74	101,192	121,468	4,329,425	3,149,122
2009-11-18	$16.35	$16.00	40.6%	11.7%	48.7%	2.5%	41.0%	4.2%	4.2%	36.1M	-1.93B	-12.9M	0.78	2.52	197,453	153,481	4,331,000	3,152,437
2009-11-19	$16.08	$16.00	41.3%	11.9%	49.0%	2.8%	42.4%	6.7%	4.0%	42.1M	-1.62B	-13.0M	1.22	2.20	123,119	150,213	4,351,359	3,216,275
2009-11-20	$16.09	$16.00	37.6%	10.8%	48.6%	1.1%	38.1%	6.0%	4.2%	63.8M	-1.68B	-12.8M	0.38	2.70	433,536	162,661	4,357,228	3,262,059
2009-11-23	$16.29	$16.00	37.1%	10.6%	44.8%	0.9%	37.2%	4.3%	7.2%	17.5M	-1.13B	-13.3M	0.51	2.75	236,417	120,735	3,314,277	2,361,782
2009-11-24	$16.10	$16.00	35.9%	10.3%	45.1%	0.3%	36.3%	1.5%	7.3%	19.0M	-1.07B	-13.6M	0.17	2.08	366,294	63,307	3,436,815	2,405,421
2009-11-25	$15.95	$16.00	35.3%	10.1%	43.8%	0.1%	36.1%	3.2%	7.1%	19.2M	-1.05B	-14.3M	0.58	2.11	88,209	51,587	3,664,302	2,408,365
2009-11-27	$15.47	$16.00	40.6%	11.6%	42.1%	2.4%	40.7%	2.4%	5.1%	13.1M	-758.6M	-14.0M	0.64	2.28	108,234	68,972	3,662,277	2,433,808
2009-11-30	$15.85	$16.00	37.5%	10.8%	32.3%	1.1%	38.4%	3.5%	5.5%	17.8M	-1.01B	-14.1M	0.66	2.59	124,429	82,251	3,698,723	2,454,640