BAC Options History — March 2010

In March 2010, BAC traded between $16.37 and $18.04. ATM implied volatility averaged 29.8%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.3% (HV 20d: 24.5%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.71.

Notable Days

2010-03-25: Highest Volume — 664,023 contracts
2010-03-11: Largest IV spike — 21.0% change
2010-03-11: Highest IV Rank — 6.2%
2010-03-10: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.10	$16.37	$18.04	$16.71	$17.85
Max Pain	$16.57	$16.00	$17.00	$16.00	$17.00
ATM IV	29.8%	24.7%	34.1%	29.5%	29.0%
Expected Move	8.9%	8.1%	9.8%	8.4%	8.3%
HV 20d	24.5%	18.4%	36.0%	35.6%	18.4%
HV 60d	33.9%	32.6%	35.6%	35.6%	32.6%
IV Rank	3.1%	0.0%	6.2%	0.6%	3.6%
IV Percentile	4.4%	0.0%	10.7%	1.2%	4.0%
Term Structure	1.1%	-1.3%	4.8%	3.8%	0.0%
VWIV	32.1%	28.7%	34.9%	33.1%	30.0%
Skew 25d	5.3%	3.7%	7.7%	5.7%	4.1%
Skew 10d	12.9%	9.7%	17.0%	14.1%	13.8%
Call IV 25d	29.7%	27.3%	32.4%	28.8%	28.6%
Put IV 25d	35.0%	31.9%	38.0%	34.5%	32.8%
Bid-Ask Spread %	2.89	2.21	3.83	2.77	2.44
Gamma HHI	0.19	0.14	0.31	0.16	0.18
Net GEX	46.6M	28.5M	73.3M	35.1M	57.7M
Net DEX	-1.81B	-2.54B	-1.16B	-1.49B	-2.26B
Net VEX	-20.0M	-21.7M	-19.2M	-19.7M	-21.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.35	1.30	1.06	0.69
Total Volume	295,044.435	145,494	664,023	208,211	145,494
Total OI	6,312,495.522	5,748,533	6,758,283	6,040,088	6,434,701

Daily Data (23 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
2010-03-01	$16.71	$16.00	29.5%	8.4%	35.6%	0.6%	33.1%	5.7%	3.8%	35.1M	-1.49B	-19.7M	1.06	2.77	101,240	106,971	3,554,486	2,485,602
2010-03-02	$16.46	$16.00	31.8%	9.1%	36.0%	1.8%	31.5%	5.4%	3.8%	30.4M	-1.23B	-19.2M	0.82	2.21	164,602	134,912	3,569,765	2,506,759
2010-03-03	$16.37	$16.00	34.1%	9.8%	36.0%	3.4%	33.4%	6.3%	1.5%	30.0M	-1.16B	-19.2M	1.30	3.00	132,393	171,989	3,605,869	2,522,091
2010-03-04	$16.40	$16.00	29.9%	8.6%	35.9%	0.9%	29.7%	5.0%	4.8%	28.5M	-1.22B	-19.6M	0.89	2.60	140,653	124,681	3,649,315	2,598,359
2010-03-05	$16.70	$16.00	24.7%	9.1%	30.0%	0.0%	33.0%	6.6%	0.7%	39.1M	-1.56B	-20.0M	0.52	2.39	137,883	72,287	3,692,005	2,615,350
2010-03-08	$16.74	$16.00	24.7%	9.1%	29.7%	0.0%	32.7%	5.3%	0.9%	41.2M	-1.64B	-19.5M	0.59	3.83	116,434	69,080	3,736,455	2,628,929
2010-03-09	$16.80	$16.00	25.7%	9.4%	25.6%	0.6%	33.4%	5.8%	0.4%	44.4M	-1.68B	-19.7M	0.68	2.57	177,971	121,268	3,720,599	2,622,817
2010-03-10	$17.11	$16.00	28.0%	9.8%	25.6%	2.2%	34.9%	5.5%	-0.1%	48.5M	-1.98B	-19.9M	0.68	3.45	278,671	189,574	3,751,775	2,644,748
2010-03-11	$17.12	$17.00	33.8%	9.7%	25.7%	6.2%	34.2%	5.8%	0.6%	49.4M	-2.02B	-20.4M	0.63	2.89	156,357	97,988	3,805,428	2,689,151
2010-03-12	$16.85	$17.00	32.9%	9.4%	26.8%	5.8%	33.8%	6.0%	0.4%	45.9M	-1.71B	-20.1M	0.77	2.66	142,758	110,534	3,821,187	2,721,715
2010-03-15	$16.85	$17.00	33.3%	9.5%	26.0%	6.1%	34.5%	5.8%	0.6%	49.3M	-1.72B	-19.9M	0.79	2.62	94,007	74,019	3,850,304	2,753,861
2010-03-16	$17.03	$17.00	32.1%	9.2%	21.2%	5.2%	32.2%	5.6%	0.7%	62.1M	-1.93B	-19.9M	0.63	2.75	119,389	75,248	3,867,562	2,751,143
2010-03-17	$17.27	$17.00	30.8%	8.8%	19.1%	4.3%	33.2%	6.0%	1.2%	62.1M	-2.19B	-20.1M	0.62	2.80	170,646	106,628	3,887,600	2,774,510
2010-03-18	$17.08	$17.00	28.7%	8.2%	19.6%	2.8%	29.4%	5.5%	1.7%	73.3M	-1.95B	-19.8M	0.59	2.63	144,458	84,669	3,890,641	2,825,881
2010-03-19	$16.82	$17.00	29.1%	8.3%	20.7%	3.1%	34.1%	7.7%	1.8%	32.3M	-1.47B	-19.4M	0.70	2.71	233,014	164,236	3,902,637	2,855,646
2010-03-22	$16.96	$17.00	28.2%	8.1%	19.7%	2.5%	29.3%	6.1%	1.1%	34.3M	-1.37B	-19.3M	0.61	3.18	148,922	90,597	3,482,484	2,266,049
2010-03-23	$17.13	$17.00	28.6%	8.2%	18.5%	2.8%	28.7%	4.2%	0.2%	40.3M	-1.55B	-19.6M	0.40	3.04	196,671	78,278	3,542,600	2,302,622
2010-03-24	$17.57	$17.00	30.0%	8.6%	18.7%	3.9%	31.4%	3.8%	0.2%	46.2M	-1.95B	-20.3M	0.61	3.77	342,678	209,323	3,594,940	2,330,887
2010-03-25	$17.74	$17.00	29.4%	8.4%	18.5%	3.4%	31.5%	3.8%	0.8%	51.5M	-2.22B	-20.4M	0.35	3.19	493,023	171,000	3,671,696	2,382,033
2010-03-26	$17.90	$16.00	29.5%	8.4%	18.6%	3.5%	30.7%	3.9%	1.0%	56.2M	-2.43B	-20.7M	0.78	3.09	252,411	197,959	3,778,516	2,414,564
2010-03-29	$18.04	$16.00	31.2%	8.9%	18.6%	4.7%	32.3%	3.7%	-1.3%	58.6M	-2.54B	-21.2M	1.00	3.13	106,432	106,745	3,838,618	2,468,091
2010-03-30	$17.76	$17.00	29.8%	8.6%	18.7%	3.7%	31.5%	4.2%	-0.1%	54.7M	-2.24B	-21.6M	0.73	2.78	134,236	97,693	3,860,147	2,517,259
2010-03-31	$17.85	$17.00	29.0%	8.3%	18.4%	3.6%	30.0%	4.1%	0.0%	57.7M	-2.26B	-21.7M	0.69	2.44	86,319	59,175	3,893,470	2,541,231