BAC Options History — February 2010

In February 2010, BAC traded between $14.45 and $16.66. ATM implied volatility averaged 35.3%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 4.8% (HV 20d: 40.1%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.75.

Notable Days

2010-02-18: Highest Volume — 591,665 contracts
2010-02-04: Largest IV spike — 25.7% change
2010-02-08: Highest IV Rank — 6.8%
2010-02-08: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.44	$14.45	$16.66	$15.42	$16.66
Max Pain	$15.05	$15.00	$16.00	$15.00	$16.00
ATM IV	35.3%	28.3%	44.7%	34.5%	28.3%
Expected Move	10.2%	8.1%	13.0%	9.9%	8.1%
HV 20d	40.1%	36.1%	44.9%	42.9%	36.1%
HV 60d	35.3%	34.2%	36.4%	34.6%	35.6%
IV Rank	2.8%	0.0%	6.8%	2.4%	0.0%
IV Percentile	10.6%	0.0%	30.2%	5.6%	0.0%
Term Structure	2.4%	0.0%	4.2%	3.9%	4.2%
VWIV	36.8%	31.1%	44.4%	34.0%	31.1%
Skew 25d	7.0%	2.8%	11.9%	4.5%	4.4%
Skew 10d	14.9%	5.0%	25.0%	9.9%	11.1%
Call IV 25d	33.5%	28.5%	39.3%	32.5%	28.5%
Put IV 25d	40.4%	32.9%	49.7%	37.0%	32.9%
Bid-Ask Spread %	2.97	1.86	6.81	2.41	4.49
Gamma HHI	0.16	0.12	0.38	0.12	0.15
Net GEX	17.9M	-8.3M	64.6M	13.5M	34.3M
Net DEX	-521.6M	-1.50B	343.8M	-406.9M	-1.50B
Net VEX	-18.3M	-20.1M	-16.5M	-17.8M	-20.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.42	1.25	0.79	0.77
Total Volume	353,864.842	201,643	591,665	228,777	315,123
Total OI	6,659,243.579	5,611,583	7,447,176	6,493,623	5,966,690

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
2010-02-01	$15.42	$15.00	34.5%	9.9%	42.9%	2.4%	34.0%	4.5%	3.9%	13.5M	-406.9M	-17.8M	0.79	2.41	127,582	101,195	3,969,289	2,524,334
2010-02-02	$15.60	$15.00	32.5%	9.3%	40.5%	1.6%	34.3%	3.8%	0.7%	20.9M	-584.1M	-18.0M	0.58	1.86	164,608	95,503	4,023,716	2,559,538
2010-02-03	$15.53	$15.00	30.9%	8.9%	38.7%	0.9%	32.3%	2.8%	2.3%	21.9M	-581.9M	-18.1M	0.79	2.00	114,545	90,815	4,052,460	2,574,354
2010-02-04	$14.75	$15.00	38.9%	11.1%	42.1%	4.3%	39.9%	6.5%	2.6%	1.5M	107.4M	-17.3M	0.75	2.05	256,112	191,812	4,085,100	2,616,831
2010-02-05	$15.00	$15.00	36.9%	11.2%	40.5%	3.4%	40.7%	9.0%	2.0%	3.8M	-88.5M	-17.9M	1.02	6.81	222,018	227,247	4,124,740	2,647,230
2010-02-08	$14.48	$15.00	44.7%	13.0%	41.8%	6.8%	44.4%	10.4%	0.0%	-5.3M	343.8M	-16.9M	1.25	3.18	131,086	163,521	4,147,860	2,687,834
2010-02-09	$14.47	$15.00	42.2%	12.4%	41.5%	5.7%	41.2%	11.9%	3.5%	-8.3M	295.0M	-16.5M	0.82	3.20	212,115	173,101	4,182,873	2,757,187
2010-02-10	$14.67	$15.00	35.1%	11.1%	40.9%	2.7%	38.7%	8.3%	2.5%	-4.0M	173.2M	-17.5M	0.42	3.31	180,868	75,661	4,240,107	2,801,404
2010-02-11	$14.63	$15.00	37.0%	10.6%	40.2%	3.5%	37.1%	8.4%	3.7%	-1.0M	147.5M	-17.7M	1.20	2.47	113,067	135,848	4,303,996	2,773,976
2010-02-12	$14.45	$15.00	40.1%	11.5%	39.6%	4.8%	38.7%	7.9%	2.6%	-4.6M	261.6M	-16.9M	0.72	3.47	158,139	113,656	4,311,380	2,768,343
2010-02-16	$15.16	$15.00	37.2%	10.7%	42.9%	3.6%	37.4%	6.3%	2.0%	12.2M	-363.4M	-18.0M	0.50	2.62	295,544	147,999	4,371,366	2,819,294
2010-02-17	$15.66	$15.00	34.6%	9.9%	44.8%	2.5%	37.7%	7.3%	3.1%	34.6M	-907.4M	-18.8M	0.69	3.19	307,472	212,371	4,433,322	2,833,224
2010-02-18	$15.88	$15.00	35.5%	10.2%	44.9%	2.9%	41.3%	8.8%	2.0%	52.3M	-1.19B	-19.2M	0.84	2.08	322,012	269,653	4,462,356	2,938,110
2010-02-19	$15.88	$15.00	33.2%	9.5%	38.5%	1.9%	34.8%	4.9%	3.1%	64.6M	-1.04B	-18.8M	0.51	2.12	379,959	193,362	4,456,659	2,990,517
2010-02-22	$16.21	$15.00	33.6%	9.6%	36.2%	2.0%	33.6%	6.3%	1.0%	23.3M	-1.10B	-19.3M	0.52	2.86	296,361	155,196	3,326,713	2,284,870
2010-02-23	$15.94	$15.00	34.3%	9.8%	36.9%	2.8%	35.9%	7.2%	1.3%	22.5M	-925.5M	-19.3M	0.84	3.48	174,819	147,526	3,419,433	2,342,256
2010-02-24	$16.33	$15.00	32.5%	9.3%	37.0%	1.8%	33.0%	6.9%	2.2%	26.6M	-1.18B	-19.6M	0.55	2.74	165,398	90,495	3,448,232	2,386,263
2010-02-25	$16.55	$15.00	29.0%	8.3%	36.2%	0.1%	32.9%	6.7%	2.3%	31.6M	-1.36B	-19.8M	0.73	2.15	116,313	85,330	3,478,077	2,415,694
2010-02-26	$16.66	$16.00	28.3%	8.1%	36.1%	0.0%	31.1%	4.4%	4.2%	34.3M	-1.50B	-20.1M	0.77	4.49	177,864	137,259	3,519,995	2,446,695