BAC Options History — September 2010

In September 2010, BAC traded between $13.10 and $13.95. ATM implied volatility averaged 33.7%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 1.5% (HV 20d: 32.2%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2010-09-21: Highest Volume — 571,089 contracts
2010-09-27: Largest IV spike — 32.2% change
2010-09-27: Highest IV Rank — 36.5%
2010-09-23: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.44	$13.10	$13.95	$13.21	$13.10
Max Pain	$13.00	$13.00	$13.00	$13.00	$13.00
ATM IV	33.7%	28.8%	41.3%	40.1%	33.8%
Expected Move	9.5%	8.3%	10.5%	8.9%	9.2%
HV 20d	32.2%	27.6%	35.8%	31.2%	27.6%
HV 60d	36.4%	34.8%	36.9%	36.8%	34.8%
IV Rank	19.8%	9.1%	36.5%	33.9%	20.0%
IV Percentile	31.8%	4.8%	73.8%	61.9%	34.1%
Term Structure	3.4%	1.6%	5.1%	4.7%	5.1%
VWIV	33.8%	30.1%	37.5%	31.9%	33.4%
Skew 25d	5.2%	2.6%	6.9%	4.9%	4.2%
Skew 10d	11.3%	6.4%	15.4%	11.9%	6.4%
Call IV 25d	31.8%	29.0%	34.0%	30.4%	32.5%
Put IV 25d	37.0%	31.6%	40.8%	35.3%	36.7%
Bid-Ask Spread %	2.83	2.18	4.13	2.47	2.18
Gamma HHI	0.17	0.11	0.35	0.11	0.12
Net GEX	18.5M	5.6M	45.5M	6.6M	10.4M
Net DEX	117.4M	-394.8M	389.3M	284.0M	389.3M
Net VEX	-14.6M	-15.8M	-13.9M	-14.3M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.26	0.95	0.39	0.66
Total Volume	271,194.714	81,465	571,089	310,841	146,896
Total OI	7,390,070.81	6,903,410	8,040,343	6,955,042	8,040,343

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
2010-09-01	$13.21	$13.00	40.1%	8.9%	31.2%	33.9%	31.9%	4.9%	4.7%	6.6M	284.0M	-14.3M	0.39	2.47	224,325	86,516	4,157,691	2,797,351
2010-09-02	$13.28	$13.00	30.3%	9.0%	31.2%	12.3%	31.8%	5.0%	4.3%	8.5M	218.8M	-14.1M	0.54	2.46	139,105	74,880	4,169,450	2,790,916
2010-09-03	$13.50	$13.00	29.6%	10.1%	31.9%	10.8%	34.4%	6.3%	1.6%	11.9M	77.6M	-14.6M	0.74	2.90	142,322	105,082	4,210,009	2,799,183
2010-09-07	$13.21	$13.00	34.0%	10.0%	32.7%	20.5%	35.2%	4.9%	2.6%	5.6M	312.5M	-14.0M	0.71	2.68	47,631	33,834	4,221,777	2,849,200
2010-09-08	$13.37	$13.00	34.1%	10.2%	32.4%	20.6%	37.5%	5.5%	2.1%	9.8M	197.8M	-14.1M	0.33	3.09	248,776	83,127	4,225,517	2,830,375
2010-09-09	$13.50	$13.00	36.1%	10.4%	30.3%	25.0%	34.8%	5.2%	2.0%	22.0M	75.1M	-13.9M	0.40	2.72	213,741	84,927	4,363,027	2,848,032
2010-09-10	$13.55	$13.00	32.2%	9.2%	30.0%	16.4%	33.3%	5.4%	3.2%	26.8M	35.1M	-14.5M	0.43	3.02	75,986	32,947	4,394,568	2,843,022
2010-09-13	$13.95	$13.00	32.5%	9.3%	31.3%	17.0%	32.6%	4.7%	2.8%	45.5M	-394.8M	-14.8M	0.40	2.78	190,150	75,398	4,408,878	2,849,992
2010-09-14	$13.68	$13.00	31.7%	9.1%	32.3%	15.4%	32.7%	4.3%	3.6%	35.5M	-55.0M	-14.2M	0.26	2.68	281,260	71,884	4,428,108	2,872,887
2010-09-15	$13.71	$13.00	32.2%	9.2%	32.3%	16.4%	33.0%	5.4%	4.0%	34.9M	-99.7M	-14.6M	0.26	4.13	280,338	71,987	4,497,223	2,894,450
2010-09-16	$13.55	$13.00	32.4%	9.3%	32.5%	16.9%	33.9%	5.9%	3.9%	27.9M	-53.5M	-14.8M	0.95	3.14	81,150	76,801	4,625,746	2,907,553
2010-09-17	$13.40	$13.00	31.9%	9.2%	31.6%	15.8%	31.5%	4.0%	4.4%	13.3M	104.5M	-14.4M	0.38	2.21	175,000	65,768	4,663,210	2,938,838
2010-09-20	$13.74	$13.00	28.8%	8.3%	32.3%	9.1%	30.1%	2.6%	5.0%	18.2M	-55.9M	-14.6M	0.42	3.33	188,026	79,328	4,284,264	2,619,146
2010-09-21	$13.65	$13.00	29.7%	8.5%	32.5%	11.0%	32.2%	4.3%	4.2%	19.9M	23.7M	-14.4M	0.44	2.55	395,506	175,583	4,383,841	2,660,203
2010-09-22	$13.42	$13.00	35.3%	10.1%	32.4%	23.4%	35.1%	5.9%	2.8%	16.9M	131.8M	-14.8M	0.79	2.98	229,373	181,800	4,671,503	2,746,829
2010-09-23	$13.17	$13.00	36.5%	10.5%	33.3%	25.8%	37.3%	6.9%	2.8%	10.9M	369.9M	-14.4M	0.44	2.70	313,611	138,105	4,765,209	2,826,731
2010-09-24	$13.60	$13.00	31.2%	9.4%	34.3%	14.4%	36.7%	6.2%	3.4%	22.6M	12.2M	-15.8M	0.56	2.74	204,741	115,376	4,920,811	2,881,704
2010-09-27	$13.24	$13.00	41.3%	10.4%	35.8%	36.5%	35.2%	6.6%	2.0%	15.2M	255.9M	-14.8M	0.49	3.26	143,055	69,668	4,978,346	2,919,497
2010-09-28	$13.27	$13.00	36.9%	9.9%	34.3%	26.7%	34.6%	5.5%	3.8%	14.4M	252.5M	-14.9M	0.56	2.80	94,512	53,391	4,961,850	2,955,148
2010-09-29	$13.11	$13.00	37.6%	9.7%	34.6%	28.3%	33.7%	5.7%	3.5%	10.7M	384.4M	-14.9M	0.73	2.56	117,222	85,961	5,000,230	2,988,829
2010-09-30	$13.10	$13.00	33.8%	9.2%	27.6%	20.0%	33.4%	4.2%	5.1%	10.4M	389.3M	-14.8M	0.66	2.18	88,613	58,283	5,009,534	3,030,809