BAC Options History — August 2010

In August 2010, BAC traded between $12.32 and $14.44. ATM implied volatility averaged 34.5%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.4% (HV 20d: 32.1%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.76.

Notable Days

2010-08-11: Highest Volume — 381,176 contracts
2010-08-30: Largest IV spike — 35.9% change
2010-08-31: Highest IV Rank — 47.8%
2010-08-31: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.26	$12.32	$14.44	$14.44	$12.46
Max Pain	$13.73	$13.00	$15.00	$15.00	$13.00
ATM IV	34.5%	26.7%	46.5%	36.3%	46.5%
Expected Move	9.5%	8.1%	10.4%	8.7%	10.4%
HV 20d	32.1%	19.8%	47.8%	47.8%	21.0%
HV 60d	39.4%	35.4%	44.1%	44.1%	35.4%
IV Rank	21.5%	4.4%	47.8%	25.5%	47.8%
IV Percentile	31.5%	1.2%	80.2%	38.1%	80.2%
Term Structure	4.3%	2.9%	5.9%	2.9%	4.4%
VWIV	33.7%	28.8%	36.3%	29.9%	36.0%
Skew 25d	4.6%	2.1%	6.2%	2.1%	5.9%
Skew 10d	9.6%	2.1%	12.9%	3.8%	11.0%
Call IV 25d	32.4%	28.0%	34.5%	29.9%	34.2%
Put IV 25d	37.0%	31.6%	40.7%	32.1%	40.0%
Bid-Ask Spread %	2.56	1.44	3.35	1.84	3.35
Gamma HHI	0.14	0.10	0.24	0.11	0.14
Net GEX	-3.8M	-14.1M	6.3M	6.3M	-3.5M
Net DEX	768.0M	206.1M	1.22B	206.1M	762.5M
Net VEX	-14.0M	-16.1M	-12.6M	-16.1M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.35	1.56	0.35	1.09
Total Volume	212,554.5	132,789	381,176	170,177	275,887
Total OI	7,219,034.5	6,312,900	7,843,256	7,194,484	6,842,995

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
2010-08-02	$14.44	$15.00	36.3%	8.7%	47.8%	25.5%	29.9%	2.1%	2.9%	6.3M	206.1M	-16.1M	0.35	1.84	126,297	43,880	4,290,205	2,904,279
2010-08-03	$14.34	$15.00	33.7%	8.3%	47.6%	19.7%	29.1%	4.6%	3.6%	4.4M	360.6M	-15.7M	0.94	2.32	68,836	64,968	4,316,004	2,911,254
2010-08-04	$14.19	$15.00	33.3%	8.2%	44.8%	18.8%	28.8%	2.7%	3.9%	2.9M	428.9M	-15.3M	0.58	1.44	122,383	70,600	4,328,942	2,937,151
2010-08-05	$14.02	$15.00	28.9%	8.1%	44.7%	9.2%	29.3%	3.8%	3.0%	351.6K	548.7M	-15.3M	0.96	1.80	83,489	80,546	4,367,289	2,941,996
2010-08-06	$13.96	$14.00	26.7%	8.9%	44.1%	4.4%	33.0%	6.0%	4.9%	-18.3K	561.8M	-15.1M	0.84	3.09	98,632	82,713	4,391,410	2,973,358
2010-08-09	$13.91	$14.00	31.4%	8.9%	43.9%	14.8%	32.4%	5.4%	4.4%	862.1K	613.2M	-15.0M	0.54	2.71	88,314	47,344	4,404,396	2,976,306
2010-08-10	$13.63	$14.00	35.6%	9.0%	42.3%	23.8%	32.5%	5.2%	4.7%	-1.7M	778.3M	-14.5M	0.80	3.11	126,769	101,468	4,437,040	2,989,908
2010-08-11	$13.19	$14.00	35.6%	10.4%	43.2%	24.0%	36.3%	6.2%	3.7%	-11.9M	1.07B	-13.8M	1.00	2.55	190,459	190,717	4,481,960	3,044,975
2010-08-12	$13.06	$14.00	35.9%	10.3%	43.1%	24.5%	35.7%	5.3%	4.1%	-12.2M	1.06B	-13.9M	0.58	2.71	110,785	63,923	4,544,482	3,050,994
2010-08-13	$13.23	$14.00	36.0%	10.3%	28.5%	24.8%	35.9%	5.5%	3.7%	-5.8M	930.6M	-14.0M	0.78	2.44	116,875	91,545	4,591,124	3,051,537
2010-08-16	$13.19	$14.00	35.7%	10.2%	27.0%	24.2%	35.3%	5.4%	4.2%	-7.6M	1.02B	-13.7M	0.63	2.45	81,631	51,158	4,596,669	3,060,522
2010-08-17	$13.21	$14.00	35.9%	10.3%	26.6%	24.6%	35.6%	5.8%	3.2%	-8.6M	1.01B	-13.8M	0.47	2.42	141,375	66,372	4,602,698	3,072,733
2010-08-18	$13.32	$13.00	34.2%	9.8%	24.6%	20.9%	34.2%	4.6%	4.0%	-5.1M	903.3M	-14.1M	0.92	2.56	92,939	85,118	4,656,935	3,087,172
2010-08-19	$13.02	$13.00	34.9%	10.0%	24.4%	22.4%	36.1%	5.2%	4.0%	-14.1M	1.09B	-13.6M	1.56	1.98	88,569	137,765	4,682,113	3,088,660
2010-08-20	$12.87	$13.00	33.7%	9.6%	24.4%	19.7%	35.0%	3.6%	4.7%	-10.3M	1.22B	-13.2M	0.99	2.87	157,140	156,152	4,718,324	3,124,932
2010-08-23	$12.87	$13.00	31.9%	9.1%	21.2%	15.8%	33.1%	3.9%	5.6%	-323.1K	583.9M	-13.2M	0.53	2.94	160,240	85,105	3,803,358	2,509,542
2010-08-24	$12.64	$13.00	33.8%	9.7%	21.5%	20.0%	35.6%	3.3%	4.2%	-1.5M	685.7M	-12.9M	0.68	2.71	191,039	130,021	3,883,319	2,550,819
2010-08-25	$12.66	$13.00	32.6%	9.3%	21.4%	17.3%	35.0%	4.1%	4.3%	-2.1M	697.9M	-13.2M	0.68	3.04	139,716	95,280	3,933,339	2,618,489
2010-08-26	$12.47	$13.00	35.1%	10.1%	21.5%	22.8%	34.2%	4.1%	5.9%	-4.3M	775.9M	-13.0M	0.75	2.31	113,152	84,924	3,960,317	2,650,692
2010-08-27	$12.64	$13.00	30.0%	8.7%	22.5%	11.7%	34.0%	4.4%	5.8%	-4.2M	733.6M	-13.1M	0.39	2.61	144,440	57,007	3,997,696	2,685,282
2010-08-30	$12.32	$13.00	40.8%	10.0%	19.8%	35.3%	34.8%	4.5%	5.1%	-5.7M	855.9M	-12.6M	0.63	2.98	104,625	66,001	4,048,392	2,709,151
2010-08-31	$12.46	$13.00	46.5%	10.4%	21.0%	47.8%	36.0%	5.9%	4.4%	-3.5M	762.5M	-13.0M	1.09	3.35	132,300	143,587	4,098,469	2,744,526