BAC Options History — December 2009

In December 2009, BAC traded between $14.86 and $16.28. ATM implied volatility averaged 34.6%, placing in the 0.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.4% (HV 20d: 31.2%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2009-12-03: Highest Volume — 919,611 contracts
2009-12-03: Largest IV spike — 15.2% change
2009-12-03: Highest IV Rank — 2.7%
2009-12-03: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.40	$14.86	$16.28	$15.90	$15.06
Max Pain	$15.14	$15.00	$16.00	$16.00	$15.00
ATM IV	34.6%	28.8%	40.8%	34.7%	32.0%
Expected Move	10.1%	8.3%	11.7%	10.0%	9.2%
HV 20d	31.2%	27.5%	34.5%	32.3%	27.5%
HV 60d	39.7%	37.7%	40.6%	39.3%	37.7%
IV Rank	0.7%	0.0%	2.7%	0.0%	1.4%
IV Percentile	2.2%	0.0%	7.5%	0.0%	2.4%
Term Structure	4.5%	2.2%	7.3%	7.3%	6.9%
VWIV	35.6%	29.4%	41.4%	35.7%	32.5%
Skew 25d	3.2%	1.0%	4.9%	3.6%	1.4%
Skew 10d	8.3%	-1.6%	13.1%	11.7%	-1.6%
Call IV 25d	34.9%	29.2%	41.3%	34.8%	32.9%
Put IV 25d	38.0%	31.2%	43.4%	38.4%	34.2%
Bid-Ask Spread %	1.69	0.95	3.18	2.62	1.72
Gamma HHI	0.16	0.10	0.27	0.11	0.17
Net GEX	17.1M	-6.6M	27.5M	18.5M	23.3M
Net DEX	-656.0M	-1.23B	-29.3M	-997.9M	-693.3M
Net VEX	-14.6M	-15.5M	-13.8M	-14.0M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.12	0.75	0.72	0.74
Total Volume	344,235.864	85,935	919,611	273,268	193,022
Total OI	7,097,583.409	6,195,751	7,981,902	6,195,751	7,147,583

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
2009-12-01	$15.90	$16.00	34.7%	10.0%	32.3%	0.0%	35.7%	3.6%	7.3%	18.5M	-997.9M	-14.0M	0.72	2.62	158,902	114,366	3,715,268	2,480,483
2009-12-02	$15.65	$16.00	35.4%	10.2%	32.9%	0.3%	36.4%	4.3%	5.6%	14.9M	-825.9M	-14.0M	0.52	2.30	115,280	60,193	3,795,353	2,523,340
2009-12-03	$15.76	$16.00	40.8%	11.7%	32.8%	2.7%	41.4%	2.1%	2.2%	19.2M	-979.9M	-14.1M	0.71	3.18	537,763	381,848	3,821,154	2,532,242
2009-12-04	$16.28	$15.00	35.0%	10.8%	33.2%	0.1%	38.3%	1.2%	3.1%	23.4M	-1.23B	-14.9M	0.63	2.31	533,406	334,138	3,954,761	2,736,173
2009-12-07	$15.89	$15.00	36.0%	11.2%	34.5%	0.6%	39.8%	2.7%	2.9%	23.3M	-997.7M	-15.3M	0.50	2.04	233,666	115,971	4,137,981	2,804,550
2009-12-08	$15.41	$15.00	38.3%	11.6%	32.3%	1.6%	40.4%	3.2%	4.0%	12.5M	-530.6M	-14.7M	0.72	1.49	314,418	226,314	4,208,743	2,847,655
2009-12-09	$15.39	$15.00	35.0%	11.4%	31.6%	0.1%	39.5%	4.0%	3.5%	12.8M	-540.9M	-15.1M	0.53	1.60	169,791	89,929	4,311,359	2,882,708
2009-12-10	$15.21	$15.00	39.6%	11.4%	30.1%	2.2%	39.6%	4.0%	3.5%	7.8M	-315.9M	-14.5M	0.34	1.91	302,738	101,768	4,347,732	2,913,066
2009-12-11	$15.63	$15.00	36.6%	10.5%	31.2%	0.8%	38.4%	4.7%	3.5%	21.2M	-772.7M	-15.5M	0.30	1.61	265,603	79,968	4,453,425	2,933,034
2009-12-14	$15.63	$15.00	35.7%	10.2%	31.2%	0.4%	36.5%	3.1%	3.5%	27.5M	-815.6M	-14.8M	0.53	1.87	116,012	61,013	4,508,524	2,943,419
2009-12-15	$15.19	$15.00	37.4%	10.7%	32.6%	1.2%	37.4%	3.9%	4.1%	7.1M	-316.1M	-14.3M	0.75	1.34	275,667	207,224	4,525,802	2,934,414
2009-12-16	$15.28	$15.00	35.6%	10.2%	32.7%	0.4%	35.2%	3.5%	4.2%	8.4M	-419.6M	-14.4M	0.33	1.47	225,890	74,159	4,579,936	3,010,500
2009-12-17	$14.86	$15.00	38.7%	11.1%	30.7%	1.7%	38.7%	4.9%	2.9%	-4.9M	-29.3M	-14.7M	0.25	1.23	461,437	115,370	4,692,666	3,024,160
2009-12-18	$15.03	$15.00	35.0%	10.0%	30.9%	0.1%	36.1%	4.5%	4.9%	-6.6M	-305.6M	-14.9M	0.72	1.38	203,348	146,185	4,950,190	3,031,712
2009-12-21	$15.28	$15.00	33.2%	9.5%	31.7%	0.0%	32.8%	3.8%	4.3%	26.6M	-734.5M	-15.0M	0.73	1.39	130,841	95,301	4,389,584	2,558,861
2009-12-22	$15.33	$15.00	31.6%	9.1%	31.3%	0.0%	31.3%	2.5%	4.7%	26.2M	-748.7M	-14.8M	0.49	1.49	136,865	67,288	4,402,406	2,595,459
2009-12-23	$15.19	$15.00	30.8%	8.8%	31.2%	0.0%	31.2%	2.9%	5.3%	23.6M	-614.8M	-14.6M	0.60	1.32	116,447	70,090	4,451,145	2,606,757
2009-12-24	$15.25	$15.00	30.0%	8.6%	31.2%	0.0%	30.0%	3.7%	5.7%	23.4M	-656.3M	-14.6M	0.48	1.47	58,060	27,875	4,463,370	2,634,663
2009-12-28	$15.29	$15.00	31.5%	9.0%	29.4%	0.7%	31.7%	3.5%	3.6%	24.8M	-692.8M	-14.2M	0.12	1.21	302,204	34,996	4,484,667	2,643,114
2009-12-29	$15.12	$15.00	29.8%	8.5%	28.1%	0.0%	30.3%	1.0%	6.6%	22.6M	-639.4M	-13.8M	0.60	1.36	79,252	47,224	4,429,631	2,645,208
2009-12-30	$15.07	$15.00	28.8%	8.3%	28.0%	0.0%	29.4%	1.8%	6.9%	21.1M	-577.9M	-13.8M	0.54	0.95	123,894	67,463	4,441,079	2,652,958
2009-12-31	$15.06	$15.00	32.0%	9.2%	27.5%	1.4%	32.5%	1.4%	6.9%	23.3M	-693.3M	-14.2M	0.74	1.72	110,952	82,070	4,476,876	2,670,707