BAC Options History — May 2010

In May 2010, BAC traded between $15.30 and $18.06. ATM implied volatility averaged 45.4%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 2.0% (HV 20d: 47.4%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2010-05-06: Highest Volume — 811,532 contracts
2010-05-06: Largest IV spike — 66.2% change
2010-05-20: Highest IV Rank — 46.8%
2010-05-06: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.43	$15.30	$18.06	$18.06	$15.74
Max Pain	$16.90	$16.00	$18.00	$17.00	$16.00
ATM IV	45.4%	33.3%	60.6%	33.3%	40.4%
Expected Move	13.1%	9.5%	17.4%	9.5%	11.6%
HV 20d	47.4%	35.2%	55.0%	35.2%	55.0%
HV 60d	34.1%	27.9%	39.1%	28.4%	39.1%
IV Rank	25.4%	7.1%	46.8%	7.1%	21.6%
IV Percentile	55.4%	21.0%	83.7%	21.0%	45.2%
Term Structure	1.2%	-3.2%	3.8%	2.2%	3.8%
VWIV	45.7%	34.1%	60.1%	34.1%	41.4%
Skew 25d	11.9%	5.0%	21.7%	5.0%	7.7%
Skew 10d	25.2%	11.1%	46.9%	11.1%	16.2%
Call IV 25d	40.7%	31.8%	52.7%	31.8%	39.2%
Put IV 25d	52.6%	36.7%	71.3%	36.7%	46.9%
Bid-Ask Spread %	3.40	1.83	5.38	1.83	2.29
Gamma HHI	0.12	0.10	0.16	0.16	0.10
Net GEX	13.6M	-6.0M	41.5M	41.5M	12.2M
Net DEX	-567.1M	-2.04B	404.3M	-2.04B	-353.5M
Net VEX	-22.2M	-24.5M	-20.1M	-24.4M	-20.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.33	1.64	0.64	0.56
Total Volume	398,144.95	159,034	811,532	257,847	165,625
Total OI	7,314,879.55	6,056,636	7,946,450	7,381,951	6,471,331

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
2010-05-03	$18.06	$17.00	33.3%	9.5%	35.2%	7.1%	34.1%	5.0%	2.2%	41.5M	-2.04B	-24.4M	0.64	1.83	157,032	100,815	4,327,658	3,054,293
2010-05-04	$17.56	$17.00	36.2%	10.4%	35.7%	9.5%	38.4%	6.1%	1.8%	25.0M	-1.42B	-24.0M	0.94	2.57	149,635	140,892	4,342,708	3,056,324
2010-05-05	$17.53	$17.00	36.4%	10.4%	35.5%	10.8%	38.7%	8.4%	2.9%	30.5M	-1.51B	-24.5M	0.60	3.06	205,665	123,492	4,365,094	3,058,494
2010-05-06	$16.28	$17.00	60.6%	17.4%	43.4%	33.9%	57.9%	15.1%	-3.2%	12.3M	-469.8M	-23.4M	1.02	5.38	401,104	410,428	4,388,473	3,061,622
2010-05-07	$16.18	$18.00	60.3%	17.2%	43.4%	33.6%	60.1%	21.7%	-1.7%	9.2M	-357.9M	-23.8M	0.89	3.98	315,945	281,266	4,455,215	3,170,220
2010-05-10	$17.30	$17.00	43.3%	12.7%	50.7%	21.0%	44.7%	14.8%	1.7%	24.2M	-1.18B	-24.1M	0.61	3.75	309,055	189,155	4,512,400	3,189,324
2010-05-11	$17.16	$17.00	39.8%	12.0%	50.7%	17.1%	45.1%	11.0%	3.0%	21.1M	-1.02B	-23.4M	1.64	3.36	113,213	185,346	4,506,350	3,202,327
2010-05-12	$17.07	$17.00	33.7%	11.2%	48.1%	10.2%	38.9%	9.9%	3.2%	19.6M	-877.3M	-22.9M	0.79	3.21	113,064	89,855	4,504,946	3,205,785
2010-05-13	$16.87	$17.00	38.6%	11.1%	48.0%	15.8%	40.0%	9.7%	3.3%	16.6M	-718.8M	-22.3M	0.88	4.24	84,657	74,377	4,475,995	3,173,971
2010-05-14	$16.34	$17.00	47.4%	13.6%	45.3%	29.6%	46.6%	12.6%	1.3%	4.3M	-201.8M	-21.9M	0.88	3.33	301,263	266,358	4,483,168	3,193,297
2010-05-17	$16.35	$17.00	44.4%	12.7%	45.4%	27.1%	43.4%	11.8%	3.3%	6.6M	-221.5M	-21.6M	0.88	3.90	187,098	163,878	4,513,679	3,192,732
2010-05-18	$15.95	$17.00	48.3%	13.9%	45.3%	32.4%	49.1%	11.6%	1.4%	-1.2M	34.6M	-21.1M	1.22	2.96	209,790	255,634	4,533,611	3,198,980
2010-05-19	$16.31	$17.00	48.3%	13.8%	46.4%	32.4%	47.1%	12.0%	1.0%	10.9M	-373.9M	-22.1M	0.72	4.16	312,640	225,917	4,581,753	3,274,648
2010-05-20	$15.30	$17.00	58.8%	16.9%	50.1%	46.8%	56.0%	17.8%	-2.8%	-6.0M	404.3M	-20.6M	0.80	5.03	245,565	196,282	4,649,077	3,269,903
2010-05-21	$15.99	$17.00	46.2%	13.2%	53.6%	29.4%	47.6%	16.6%	1.6%	18.4M	-41.6M	-21.3M	1.06	3.99	257,384	271,869	4,664,357	3,282,093
2010-05-24	$15.40	$17.00	52.4%	15.0%	54.5%	38.0%	49.8%	13.3%	-0.4%	1.7M	-112.8M	-20.1M	0.54	2.30	145,581	79,146	3,523,131	2,533,505
2010-05-25	$15.49	$17.00	51.1%	14.7%	53.9%	36.3%	47.7%	14.0%	-1.0%	2.6M	-110.0M	-20.4M	0.33	3.14	365,125	120,790	3,573,765	2,567,902
2010-05-26	$15.47	$16.00	49.7%	14.3%	53.2%	34.3%	47.1%	10.4%	-0.2%	6.9M	-165.7M	-20.4M	0.71	3.08	287,576	203,825	3,706,945	2,592,022
2010-05-27	$16.18	$16.00	39.5%	11.3%	54.9%	20.3%	41.2%	8.5%	2.4%	15.5M	-609.3M	-21.4M	0.52	2.43	168,863	87,694	3,808,230	2,632,263
2010-05-28	$15.74	$16.00	40.4%	11.6%	55.0%	21.6%	41.4%	7.7%	3.8%	12.2M	-353.5M	-20.8M	0.56	2.29	106,085	59,540	3,845,578	2,625,753