BAC Options History — October 2010

In October 2010, BAC traded between $11.16 and $13.56. ATM implied volatility averaged 37.4%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 2.9% (HV 20d: 34.5%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2010-10-14: Highest Volume — 1,488,991 contracts
2010-10-04: Largest IV spike — 15.9% change
2010-10-25: Highest IV Rank — 54.6%
2010-10-25: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.39	$11.16	$13.56	$13.30	$11.45
Max Pain	$13.76	$13.00	$15.00	$13.00	$13.00
ATM IV	37.4%	30.0%	44.6%	31.0%	42.6%
Expected Move	10.9%	9.5%	12.8%	9.5%	11.6%
HV 20d	34.5%	26.5%	41.4%	28.1%	40.0%
HV 60d	32.7%	28.6%	35.3%	34.9%	33.3%
IV Rank	32.9%	11.6%	54.6%	13.8%	49.2%
IV Percentile	56.0%	11.5%	87.7%	15.9%	84.5%
Term Structure	0.8%	-2.7%	4.3%	4.3%	-0.2%
VWIV	39.0%	33.7%	44.5%	33.7%	40.1%
Skew 25d	4.6%	1.4%	7.1%	5.8%	6.6%
Skew 10d	9.7%	4.3%	15.1%	8.7%	13.6%
Call IV 25d	37.2%	31.6%	42.4%	31.6%	37.1%
Put IV 25d	41.7%	36.5%	48.0%	37.4%	43.6%
Bid-Ask Spread %	3.82	1.95	6.49	3.37	3.66
Gamma HHI	0.16	0.12	0.30	0.13	0.17
Net GEX	-2.1M	-45.5M	27.2M	15.3M	-15.6M
Net DEX	905.9M	-50.5M	1.67B	249.7M	1.36B
Net VEX	-14.8M	-17.3M	-13.2M	-14.9M	-17.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.36	1.36	0.40	0.72
Total Volume	628,545.095	108,873	1,488,991	201,825	338,225
Total OI	9,379,747.476	8,082,362	11,469,928	8,085,672	11,469,928

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
2010-10-01	$13.30	$13.00	31.0%	9.5%	28.1%	13.8%	33.7%	5.8%	4.3%	15.3M	249.7M	-14.9M	0.40	3.37	144,491	57,334	5,044,062	3,041,610
2010-10-04	$13.15	$15.00	35.9%	10.5%	27.6%	24.6%	36.7%	3.7%	2.4%	13.1M	359.0M	-14.7M	0.67	3.31	109,584	73,875	5,044,881	3,037,481
2010-10-05	$13.56	$15.00	36.0%	9.7%	28.7%	24.9%	35.0%	3.2%	1.1%	27.2M	-50.5M	-15.4M	0.64	2.13	209,520	134,599	5,101,050	3,076,382
2010-10-06	$13.39	$15.00	30.7%	10.0%	28.9%	13.2%	35.5%	2.2%	0.9%	21.8M	148.7M	-15.1M	0.50	2.77	128,018	63,904	5,163,196	3,098,683
2010-10-07	$13.31	$15.00	31.4%	10.0%	28.7%	14.8%	34.7%	1.4%	0.9%	18.5M	224.4M	-14.6M	0.67	1.97	65,205	43,668	5,184,663	3,125,091
2010-10-08	$13.18	$15.00	30.0%	10.0%	28.8%	11.6%	36.4%	2.0%	3.0%	13.5M	351.7M	-14.5M	0.95	2.66	319,065	304,194	5,207,286	3,137,973
2010-10-11	$13.15	$14.00	32.2%	9.9%	26.5%	16.5%	36.2%	2.5%	2.6%	6.5M	517.3M	-14.0M	0.88	1.95	163,271	144,475	5,342,209	3,351,879
2010-10-12	$13.52	$14.00	35.1%	9.8%	27.8%	22.8%	35.0%	1.7%	0.6%	24.9M	162.7M	-14.6M	0.36	2.81	204,171	73,981	5,329,332	3,424,555
2010-10-13	$13.29	$14.00	34.1%	10.0%	28.4%	20.7%	35.0%	2.6%	0.1%	8.4M	368.7M	-14.4M	0.56	5.01	158,214	88,672	5,358,618	3,442,215
2010-10-14	$12.60	$14.00	37.0%	10.6%	33.7%	29.6%	38.6%	7.1%	2.3%	-10.1M	1.04B	-13.3M	1.36	4.97	629,925	859,066	5,362,579	3,459,317
2010-10-15	$11.98	$14.00	41.4%	11.9%	37.6%	46.0%	42.7%	5.4%	0.4%	-45.5M	1.57B	-13.2M	0.94	3.62	649,133	612,157	5,473,013	3,821,974
2010-10-18	$12.34	$14.00	42.5%	12.2%	38.1%	48.9%	43.1%	4.0%	-2.7%	-9.3M	1.05B	-14.2M	0.71	3.64	636,271	452,072	5,231,481	3,663,159
2010-10-19	$11.80	$13.00	40.5%	11.6%	40.6%	43.4%	41.6%	6.8%	-0.1%	-10.9M	1.41B	-13.6M	0.98	5.33	541,644	532,382	5,513,369	3,816,569
2010-10-20	$11.75	$13.00	39.0%	11.2%	40.4%	39.3%	40.9%	4.5%	1.9%	-15.3M	1.44B	-13.9M	0.58	4.77	916,490	529,528	5,638,942	3,946,217
2010-10-21	$11.36	$13.00	41.7%	12.0%	41.4%	46.7%	41.4%	5.3%	1.8%	-13.6M	1.53B	-14.6M	0.84	4.07	409,786	344,751	6,033,129	4,059,294
2010-10-22	$11.44	$13.00	41.6%	11.9%	39.1%	46.6%	44.2%	6.4%	-0.4%	-15.4M	1.55B	-14.6M	1.32	4.15	254,981	336,197	6,126,873	4,204,464
2010-10-25	$11.16	$13.00	44.6%	12.8%	39.0%	54.6%	44.5%	5.6%	-0.4%	-18.5M	1.67B	-14.8M	0.83	6.49	496,629	411,413	6,113,034	4,319,024
2010-10-26	$11.30	$13.00	42.4%	12.2%	39.5%	48.8%	42.8%	6.7%	-0.9%	-17.3M	1.56B	-15.2M	0.45	5.88	582,603	263,549	6,313,835	4,455,101
2010-10-27	$11.54	$13.00	38.3%	11.0%	40.8%	37.5%	40.7%	6.7%	-0.3%	-10.8M	1.27B	-17.0M	0.52	4.30	353,404	184,241	6,614,883	4,533,302
2010-10-28	$11.53	$13.00	38.1%	10.9%	40.8%	36.9%	40.8%	5.9%	0.3%	-11.6M	1.26B	-17.3M	0.84	3.36	205,674	173,085	6,713,755	4,580,289
2010-10-29	$11.45	$13.00	42.6%	11.6%	40.0%	49.2%	40.1%	6.6%	-0.2%	-15.6M	1.36B	-17.1M	0.72	3.66	196,777	141,448	6,818,151	4,651,777