BAC Options History — June 2010

In June 2010, BAC traded between $14.37 and $15.89. ATM implied volatility averaged 41.0%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 3.3% (HV 20d: 44.3%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.72.

Notable Days

2010-06-29: Highest Volume — 362,876 contracts
2010-06-30: Largest IV spike — 28.0% change
2010-06-30: Highest IV Rank — 40.8%
2010-06-01: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.40	$14.37	$15.89	$15.44	$14.37
Max Pain	$15.68	$15.00	$16.00	$16.00	$15.00
ATM IV	41.0%	34.0%	54.4%	49.7%	54.4%
Expected Move	11.9%	9.8%	14.2%	14.2%	13.8%
HV 20d	44.3%	33.3%	55.6%	54.7%	34.4%
HV 60d	41.1%	39.1%	42.5%	39.1%	42.3%
IV Rank	22.3%	12.8%	40.8%	34.3%	40.8%
IV Percentile	48.2%	23.8%	90.5%	71.8%	90.5%
Term Structure	-0.2%	-3.5%	3.5%	0.1%	-3.4%
VWIV	41.7%	35.6%	47.7%	47.7%	45.4%
Skew 25d	8.2%	4.4%	12.1%	10.0%	10.1%
Skew 10d	16.9%	11.2%	26.9%	19.0%	18.7%
Call IV 25d	38.5%	33.0%	44.4%	44.4%	43.5%
Put IV 25d	46.7%	39.3%	55.3%	54.5%	53.5%
Bid-Ask Spread %	3.03	2.29	3.73	3.57	2.88
Gamma HHI	0.12	0.10	0.24	0.11	0.10
Net GEX	11.8M	-250.6K	44.5M	7.8M	1.4M
Net DEX	-148.3M	-437.8M	328.2M	-134.5M	328.2M
Net VEX	-18.9M	-20.4M	-17.2M	-20.1M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.26	1.30	0.77	0.59
Total Volume	227,565.864	136,306	362,876	176,779	179,889
Total OI	6,549,887.455	6,017,070	6,973,988	6,484,389	6,495,651

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
2010-06-01	$15.44	$16.00	49.7%	14.2%	54.7%	34.3%	47.7%	10.0%	0.1%	7.8M	-134.5M	-20.1M	0.77	3.57	99,900	76,879	3,843,644	2,640,745
2010-06-02	$15.89	$16.00	39.4%	11.3%	55.6%	20.1%	42.2%	8.7%	2.0%	13.5M	-437.8M	-20.4M	1.01	2.67	89,206	89,724	3,854,152	2,657,863
2010-06-03	$15.81	$16.00	39.0%	11.2%	55.6%	19.7%	40.2%	7.8%	3.5%	12.3M	-401.6M	-20.4M	0.56	3.34	114,676	64,051	3,867,761	2,679,001
2010-06-04	$15.35	$16.00	44.9%	13.8%	50.3%	27.7%	46.7%	12.1%	-0.4%	7.1M	-60.4M	-19.9M	0.26	3.03	266,715	70,279	3,897,720	2,666,357
2010-06-07	$14.83	$16.00	46.1%	13.5%	51.5%	29.3%	47.0%	11.0%	0.1%	-250.6K	269.4M	-18.6M	0.44	3.45	216,978	95,151	3,907,779	2,671,578
2010-06-08	$15.33	$16.00	41.0%	13.1%	46.5%	22.3%	44.4%	10.5%	-0.1%	7.7M	-25.0M	-19.5M	0.60	3.73	157,378	94,161	3,991,272	2,684,571
2010-06-09	$15.01	$15.00	42.3%	13.4%	46.8%	24.2%	47.4%	10.8%	-0.1%	3.8M	129.3M	-19.1M	0.94	3.25	104,675	98,351	4,006,294	2,693,859
2010-06-10	$15.46	$15.00	43.2%	12.4%	48.5%	25.4%	43.1%	8.9%	0.7%	9.6M	-127.7M	-19.5M	0.64	3.30	139,149	88,947	4,032,204	2,712,809
2010-06-11	$15.60	$15.00	38.6%	11.1%	48.7%	19.1%	40.4%	8.6%	1.5%	16.1M	-287.7M	-19.6M	1.12	2.76	92,432	103,362	4,076,780	2,731,853
2010-06-14	$15.41	$16.00	44.3%	12.7%	47.7%	26.8%	41.9%	8.2%	-1.3%	9.3M	-106.1M	-19.0M	0.93	2.70	85,491	79,378	4,079,601	2,760,155
2010-06-15	$15.80	$16.00	38.8%	11.1%	48.7%	19.3%	39.6%	7.1%	-0.0%	18.8M	-361.8M	-19.3M	0.49	3.62	91,362	44,944	4,087,068	2,775,727
2010-06-16	$15.87	$16.00	37.5%	10.8%	47.9%	17.6%	38.4%	6.3%	0.1%	26.4M	-428.0M	-19.2M	0.35	2.70	188,270	66,165	4,103,023	2,769,731
2010-06-17	$15.82	$16.00	38.0%	10.9%	47.2%	18.2%	39.3%	6.5%	-1.4%	44.5M	-382.6M	-19.1M	1.30	3.24	121,192	158,051	4,188,373	2,785,615
2010-06-18	$15.82	$16.00	34.0%	9.8%	41.0%	12.8%	35.6%	6.3%	0.1%	18.7M	-220.9M	-18.6M	0.76	2.87	125,001	95,109	4,091,319	2,829,368
2010-06-21	$15.79	$16.00	35.8%	10.3%	37.9%	15.3%	37.0%	5.9%	0.6%	13.2M	-387.2M	-18.5M	0.66	2.47	189,229	125,808	3,596,029	2,421,041
2010-06-22	$15.58	$16.00	34.6%	9.9%	35.6%	13.7%	35.7%	5.3%	1.1%	10.4M	-273.5M	-18.3M	0.63	3.21	89,858	56,267	3,625,950	2,488,951
2010-06-23	$15.43	$16.00	37.6%	10.8%	35.7%	17.8%	37.1%	7.0%	0.3%	9.8M	-209.0M	-18.0M	0.97	2.62	74,553	72,539	3,666,479	2,480,342
2010-06-24	$15.02	$16.00	40.7%	11.7%	37.0%	22.0%	42.2%	6.9%	-1.2%	5.5M	9.5M	-17.7M	0.83	2.65	177,418	147,993	3,691,309	2,508,586
2010-06-25	$15.42	$15.00	39.3%	11.6%	34.4%	20.0%	39.7%	7.7%	-1.5%	11.6M	-278.8M	-18.4M	0.56	3.07	145,657	81,632	3,727,419	2,545,800
2010-06-28	$15.24	$15.00	39.5%	10.9%	33.3%	20.4%	37.9%	4.4%	-1.1%	9.1M	-107.2M	-17.9M	0.52	2.29	122,135	63,618	3,781,989	2,568,829
2010-06-29	$14.57	$15.00	42.5%	12.9%	36.2%	24.5%	47.6%	10.5%	-3.5%	2.8M	231.7M	-17.3M	0.95	3.17	186,425	176,451	3,816,289	2,596,638
2010-06-30	$14.37	$15.00	54.4%	13.8%	34.4%	40.8%	45.4%	10.1%	-3.4%	1.4M	328.2M	-17.2M	0.59	2.88	113,034	66,855	3,856,172	2,639,479