BAC Options History — January 2010

In January 2010, BAC traded between $14.77 and $16.93. ATM implied volatility averaged 36.5%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 1.9% (HV 20d: 34.5%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.59.

Notable Days

2010-01-21: Highest Volume — 958,470 contracts
2010-01-21: Largest IV spike — 28.8% change
2010-01-13: Highest IV Rank — 6.0%
2010-01-22: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.98	$14.77	$16.93	$15.69	$15.18
Max Pain	$15.68	$15.00	$16.00	$15.00	$15.00
ATM IV	36.5%	30.9%	42.7%	33.3%	35.9%
Expected Move	10.4%	8.9%	11.7%	10.4%	10.3%
HV 20d	34.5%	29.4%	42.6%	31.4%	42.6%
HV 60d	38.0%	34.4%	39.6%	38.4%	34.5%
IV Rank	3.3%	0.9%	6.0%	1.9%	3.0%
IV Percentile	9.9%	1.6%	19.0%	3.2%	11.1%
Term Structure	0.8%	-1.3%	3.7%	1.3%	3.7%
VWIV	36.9%	30.7%	42.2%	37.5%	36.6%
Skew 25d	3.4%	1.0%	6.6%	3.8%	4.2%
Skew 10d	8.1%	3.2%	14.7%	7.7%	8.9%
Call IV 25d	35.7%	30.0%	40.0%	35.9%	34.8%
Put IV 25d	39.1%	31.8%	46.0%	39.7%	39.0%
Bid-Ask Spread %	2.43	1.93	3.27	2.25	2.20
Gamma HHI	0.15	0.12	0.21	0.21	0.12
Net GEX	35.0M	8.1M	61.9M	37.5M	12.6M
Net DEX	-1.27B	-2.49B	-14.1M	-1.25B	-305.4M
Net VEX	-16.5M	-18.1M	-14.5M	-14.5M	-17.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.36	1.07	0.56	0.89
Total Volume	439,758.737	222,542	958,470	411,245	222,542
Total OI	6,868,642.105	5,224,152	8,057,905	7,192,243	6,455,767

Daily Data (19 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
2010-01-04	$15.69	$15.00	33.3%	10.4%	31.4%	1.9%	37.5%	3.8%	1.3%	37.5M	-1.25B	-14.5M	0.56	2.25	263,403	147,842	4,500,693	2,691,550
2010-01-05	$16.20	$15.00	32.9%	10.4%	31.3%	1.8%	36.8%	3.8%	0.9%	49.0M	-1.75B	-15.0M	0.50	2.33	285,097	142,690	4,563,301	2,743,682
2010-01-06	$16.39	$15.00	32.3%	10.1%	30.2%	1.5%	35.3%	3.5%	0.1%	53.5M	-1.91B	-15.1M	0.47	3.01	261,511	122,363	4,589,365	2,768,441
2010-01-07	$16.93	$15.00	36.5%	10.2%	29.6%	3.3%	36.4%	2.4%	-0.0%	60.6M	-2.49B	-15.9M	0.44	3.11	574,154	250,987	4,629,160	2,807,909
2010-01-08	$16.78	$16.00	33.7%	10.1%	29.9%	2.1%	35.9%	1.8%	0.6%	60.4M	-2.32B	-16.5M	0.61	2.46	233,945	142,973	4,801,870	2,901,246
2010-01-11	$16.93	$16.00	35.6%	10.0%	29.4%	2.9%	35.9%	2.0%	0.7%	61.9M	-2.43B	-16.5M	0.36	3.27	237,625	85,452	4,810,705	2,950,233
2010-01-12	$16.36	$16.00	40.6%	10.6%	31.3%	5.1%	37.3%	2.2%	0.7%	47.7M	-1.82B	-16.4M	0.50	2.80	263,791	130,689	4,843,706	2,953,705
2010-01-13	$16.62	$16.00	42.7%	10.1%	31.7%	6.0%	35.8%	1.9%	0.2%	50.4M	-2.07B	-16.5M	0.65	2.60	207,535	134,717	4,885,264	2,999,993
2010-01-14	$16.82	$16.00	35.1%	10.1%	29.5%	2.7%	36.4%	2.2%	-0.3%	55.9M	-2.28B	-16.7M	0.60	2.07	195,699	116,454	4,930,932	3,049,463
2010-01-15	$16.26	$16.00	34.9%	10.0%	32.6%	2.6%	35.1%	2.4%	0.6%	34.3M	-1.82B	-16.3M	0.36	1.97	304,293	108,234	4,970,917	3,086,988
2010-01-19	$16.32	$16.00	34.2%	9.8%	30.4%	2.3%	34.8%	1.0%	-1.3%	27.7M	-962.1M	-16.0M	0.41	2.21	328,070	134,972	3,241,284	1,982,868
2010-01-20	$16.49	$16.00	30.9%	8.9%	30.4%	0.9%	30.7%	1.8%	0.5%	33.9M	-1.18B	-17.0M	0.44	2.24	335,264	147,994	3,410,689	2,051,462
2010-01-21	$15.47	$16.00	39.8%	11.4%	38.5%	4.7%	39.4%	4.4%	-1.3%	19.6M	-475.2M	-16.6M	0.77	1.93	540,620	417,850	3,521,641	2,088,130
2010-01-22	$14.90	$16.00	40.8%	11.7%	40.8%	5.1%	42.2%	5.0%	1.0%	10.1M	-71.8M	-16.8M	1.07	2.65	309,937	330,727	3,713,744	2,287,059
2010-01-25	$14.98	$16.00	39.9%	11.4%	40.8%	4.8%	40.2%	4.9%	0.8%	10.8M	-150.4M	-17.1M	0.44	2.17	299,069	131,577	3,777,306	2,369,951
2010-01-26	$14.77	$16.00	40.2%	11.5%	41.0%	4.9%	41.5%	6.6%	2.5%	8.1M	-14.1M	-17.2M	0.66	2.15	214,924	142,905	3,893,946	2,410,249
2010-01-27	$15.19	$16.00	37.2%	10.7%	42.3%	3.6%	37.7%	5.4%	2.9%	12.6M	-285.9M	-17.8M	0.63	2.45	198,181	124,477	3,940,821	2,464,533
2010-01-28	$15.37	$15.00	36.5%	10.5%	42.3%	3.3%	36.0%	4.5%	2.1%	18.1M	-496.7M	-18.1M	0.82	2.31	146,228	120,625	3,940,374	2,475,253
2010-01-29	$15.18	$15.00	35.9%	10.3%	42.6%	3.0%	36.6%	4.2%	3.7%	12.6M	-305.4M	-17.9M	0.89	2.20	118,040	104,502	3,960,125	2,495,642