BAC Options History — July 2010 In July 2010, BAC traded between $13.36 and $15.67. ATM implied volatility averaged 39.8%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 2.0% (HV 20d: 41.8%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.66.
Notable Days 2010-07-16 : Highest Volume — 759,004 contracts2010-07-15 : Largest IV drop — 34.9% change2010-07-14 : Highest IV Rank — 48.7%2010-07-01 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $14.34 $13.36 $15.67 $14.02 $14.04 Max Pain $15.71 $15.00 $16.00 $15.00 $15.00 ATM IV 39.8% 27.9% 60.2% 46.5% 27.9% Expected Move 10.6% 8.2% 13.7% 13.7% 8.2% HV 20d 41.8% 33.0% 50.5% 35.1% 47.1% HV 60d 44.8% 42.4% 46.8% 42.4% 46.1% IV Rank 24.8% 7.1% 48.7% 29.9% 7.1% IV Percentile 45.2% 1.2% 96.4% 69.8% 1.2% Term Structure 1.4% -2.5% 3.9% -2.3% 3.9% VWIV 38.5% 29.9% 49.6% 49.6% 29.9% Skew 25d 6.1% 2.1% 10.1% 10.1% 2.1% Skew 10d 12.8% 4.8% 21.3% 21.3% 4.8% Call IV 25d 36.0% 29.4% 45.4% 45.4% 30.3% Put IV 25d 42.0% 32.3% 55.5% 55.5% 32.3% Bid-Ask Spread % 2.41 1.98 3.90 2.77 2.90 Gamma HHI 0.14 0.10 0.59 0.11 0.12 Net GEX 1.5M -73.7M 24.4M -1.5M 3.8M Net DEX 288.8M -677.3M 786.3M 493.4M 471.2M Net VEX -16.3M -18.6M -14.6M -16.6M -15.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.35 1.27 0.76 0.60 Total Volume 288,280.524 134,235 759,004 457,989 134,235 Total OI 6,845,215.952 6,452,685 7,185,145 6,515,237 7,185,145
Daily Data (21 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 2010-07-01 $14.02 $15.00 46.5% 13.7% 35.1% 29.9% 49.6% 10.1% -2.3% -1.5M 493.4M -16.6M 0.76 2.77 260,967 197,022 3,867,957 2,647,280 2010-07-02 $13.84 $15.00 40.5% 12.6% 34.1% 21.7% 47.0% 8.1% -2.5% -3.4M 629.4M -16.2M 0.67 3.90 123,595 82,690 3,949,393 2,703,534 2010-07-06 $14.06 $16.00 47.0% 12.0% 33.0% 30.6% 42.2% 8.5% 1.6% -2.2M 542.0M -16.2M 0.78 1.98 108,789 84,578 3,958,890 2,713,272 2010-07-07 $14.71 $16.00 41.5% 10.8% 35.0% 23.1% 39.9% 6.1% 2.3% 3.2M 162.7M -17.2M 0.73 2.32 169,381 123,229 3,986,732 2,740,005 2010-07-08 $14.86 $16.00 43.9% 10.8% 34.5% 26.3% 40.0% 6.9% 1.7% 8.3M 55.0M -17.6M 0.65 2.64 139,837 91,080 4,033,826 2,762,750 2010-07-09 $15.11 $16.00 41.3% 10.7% 33.3% 22.8% 38.7% 5.8% 2.1% 13.1M -168.3M -17.8M 0.43 2.03 129,593 55,252 4,079,480 2,761,168 2010-07-12 $15.21 $16.00 50.6% 11.0% 33.2% 35.5% 38.5% 4.6% 1.4% 16.1M -295.0M -17.7M 0.49 2.22 120,910 59,576 4,079,680 2,758,468 2010-07-13 $15.67 $16.00 50.2% 10.7% 34.7% 35.0% 40.3% 6.3% 0.1% 24.4M -677.3M -18.3M 0.73 2.46 206,832 150,187 4,100,717 2,788,059 2010-07-14 $15.67 $16.00 60.2% 10.9% 33.5% 48.7% 40.1% 7.3% 0.4% 23.8M -672.7M -18.6M 0.35 2.33 193,934 68,513 4,135,236 2,799,078 2010-07-15 $15.39 $16.00 39.2% 11.2% 34.0% 19.9% 40.8% 7.0% 0.6% 20.7M -417.4M -18.4M 0.59 2.13 200,711 118,106 4,200,312 2,814,159 2010-07-16 $13.98 $16.00 40.2% 11.5% 47.8% 34.0% 41.1% 7.5% 2.9% -73.7M 742.8M -15.8M 0.81 2.70 419,943 339,061 4,231,713 2,852,695 2010-07-19 $13.61 $16.00 39.8% 11.4% 48.3% 33.2% 42.1% 8.4% -0.2% -2.9M 683.9M -14.7M 0.69 2.04 279,488 192,870 3,868,248 2,584,437 2010-07-20 $13.77 $16.00 35.4% 10.1% 48.7% 23.5% 37.4% 5.3% 1.1% -2.3M 610.2M -15.1M 0.42 2.60 210,072 88,711 3,970,806 2,667,136 2010-07-21 $13.36 $16.00 39.9% 11.4% 49.4% 33.3% 39.8% 6.3% 1.2% -4.2M 786.3M -14.6M 0.76 2.03 159,777 121,934 4,033,503 2,695,150 2010-07-22 $13.66 $16.00 34.8% 10.0% 50.5% 22.1% 37.1% 5.2% 1.0% -1.4M 693.2M -14.8M 0.37 2.10 189,202 69,219 4,081,719 2,749,688 2010-07-23 $13.74 $16.00 33.3% 9.5% 50.0% 18.8% 37.6% 4.6% 1.6% -1.6M 663.4M -14.8M 1.27 2.74 115,524 146,436 4,113,633 2,747,671 2010-07-26 $14.15 $16.00 32.3% 9.3% 50.3% 16.7% 33.8% 5.6% 2.2% 2.1M 396.0M -15.7M 0.77 2.14 165,321 127,786 4,140,676 2,780,137 2010-07-27 $14.19 $15.00 31.7% 9.1% 50.3% 15.3% 32.0% 3.6% 3.0% 4.3M 346.7M -15.9M 0.53 2.08 152,323 81,172 4,193,075 2,809,136 2010-07-28 $13.99 $15.00 30.3% 8.7% 48.1% 12.4% 31.2% 3.9% 3.2% 1.9M 527.1M -15.4M 0.69 2.24 100,607 69,914 4,215,623 2,841,562 2010-07-29 $14.03 $15.00 29.5% 8.5% 47.9% 10.6% 30.1% 4.0% 3.6% 3.3M 493.2M -15.4M 0.78 2.18 115,768 89,746 4,241,378 2,866,408 2010-07-30 $14.04 $15.00 27.9% 8.2% 47.1% 7.1% 29.9% 2.1% 3.9% 3.8M 471.2M -15.5M 0.60 2.90 83,964 50,271 4,276,268 2,908,877
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