BAC Options History — December 2010

In December 2010, BAC traded between $11.29 and $13.38. ATM implied volatility averaged 35.7%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 1.0% (HV 20d: 36.7%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.46.

Notable Days

2010-12-09: Highest Volume — 898,373 contracts
2010-12-13: Largest IV spike — 24.5% change
2010-12-01: Highest IV Rank — 57.4%
2010-12-07: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.56	$11.29	$13.38	$11.29	$13.34
Max Pain	$12.43	$12.00	$12.50	$12.00	$12.50
ATM IV	35.7%	28.3%	45.3%	45.3%	31.4%
Expected Move	10.1%	9.1%	11.5%	11.1%	9.9%
HV 20d	36.7%	31.8%	39.3%	37.4%	31.8%
HV 60d	37.0%	34.9%	37.9%	34.9%	37.1%
IV Rank	30.7%	10.2%	57.4%	57.4%	18.6%
IV Percentile	48.0%	3.2%	89.7%	89.7%	17.5%
Term Structure	0.8%	-2.4%	5.3%	3.5%	2.1%
VWIV	36.5%	31.6%	41.0%	41.0%	37.0%
Skew 25d	4.3%	2.6%	5.8%	5.0%	4.9%
Skew 10d	11.2%	6.3%	15.3%	12.3%	14.4%
Call IV 25d	35.2%	30.3%	38.8%	38.8%	34.6%
Put IV 25d	39.5%	35.0%	43.8%	43.8%	39.4%
Bid-Ask Spread %	2.38	1.16	4.91	2.79	1.73
Gamma HHI	0.15	0.12	0.21	0.16	0.21
Net GEX	34.7M	-2.0M	51.8M	-2.0M	43.2M
Net DEX	-629.3M	-1.38B	737.0M	737.0M	-1.30B
Net VEX	-19.3M	-20.6M	-17.0M	-17.3M	-20.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.28	0.82	0.40	0.62
Total Volume	413,657.273	185,969	898,373	826,837	200,857
Total OI	10,542,099.727	9,922,255	10,973,205	10,377,310	10,308,289

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
2010-12-01	$11.29	$12.00	45.3%	11.1%	37.4%	57.4%	41.0%	5.0%	3.5%	-2.0M	737.0M	-17.3M	0.40	2.79	590,765	236,072	6,378,604	3,998,706
2010-12-02	$11.68	$12.00	38.1%	10.3%	39.2%	37.3%	37.0%	3.2%	5.3%	13.0M	335.9M	-18.3M	0.31	2.71	450,017	139,986	6,625,507	4,034,008
2010-12-03	$11.86	$12.00	33.3%	9.3%	34.8%	24.0%	33.8%	2.6%	4.3%	20.6M	141.6M	-18.6M	0.38	4.91	202,929	77,284	6,747,571	4,019,993
2010-12-06	$11.64	$12.50	38.9%	11.4%	34.5%	39.7%	40.1%	4.6%	-2.4%	16.9M	349.9M	-17.7M	0.82	1.55	154,314	125,984	6,755,417	3,988,957
2010-12-07	$11.57	$12.50	36.9%	11.5%	33.5%	34.0%	39.7%	4.7%	-2.3%	22.5M	489.8M	-17.0M	0.71	1.60	289,154	204,280	6,759,720	3,818,219
2010-12-08	$12.00	$12.50	33.5%	10.4%	35.3%	24.6%	38.1%	4.8%	1.0%	31.9M	-93.2M	-19.0M	0.46	2.63	355,212	163,942	6,908,729	4,053,630
2010-12-09	$12.65	$12.50	36.6%	10.5%	39.3%	33.1%	38.2%	5.0%	-0.0%	51.8M	-1.13B	-20.6M	0.41	2.75	638,236	260,137	6,935,978	4,037,227
2010-12-10	$12.80	$12.50	35.9%	10.4%	39.0%	31.3%	36.6%	3.0%	-0.3%	49.7M	-1.22B	-20.3M	0.28	3.75	414,315	115,481	6,855,903	4,039,867
2010-12-13	$12.54	$12.50	44.7%	10.5%	39.0%	55.8%	37.4%	3.8%	-0.2%	45.1M	-803.4M	-19.8M	0.41	2.02	261,747	107,154	6,833,797	4,005,441
2010-12-14	$12.40	$12.50	41.1%	10.4%	39.2%	45.8%	36.8%	4.5%	1.2%	40.8M	-599.9M	-19.2M	0.43	3.14	221,622	95,555	6,830,965	4,002,685
2010-12-15	$12.29	$12.50	36.0%	10.3%	39.1%	31.6%	36.9%	4.9%	1.6%	35.8M	-477.1M	-19.1M	0.37	2.57	193,293	71,396	6,869,550	4,026,793
2010-12-16	$12.52	$12.50	35.4%	10.2%	38.0%	29.8%	35.8%	5.8%	-0.4%	45.8M	-690.7M	-19.4M	0.30	3.01	410,482	123,512	6,887,284	4,035,199
2010-12-17	$12.57	$12.50	33.5%	9.6%	38.0%	24.6%	34.1%	4.5%	0.1%	29.6M	-710.9M	-19.2M	0.53	1.79	164,868	86,644	6,860,571	4,051,881
2010-12-20	$12.62	$12.50	31.7%	9.1%	37.9%	19.4%	32.5%	5.1%	0.4%	32.1M	-505.3M	-18.9M	0.62	1.16	150,972	93,291	6,374,306	3,585,997
2010-12-21	$12.98	$12.50	31.6%	9.1%	36.4%	19.3%	31.6%	4.7%	0.2%	37.7M	-856.7M	-18.8M	0.49	1.51	217,349	105,725	6,331,435	3,590,820
2010-12-22	$13.38	$12.50	32.8%	9.4%	35.9%	22.5%	34.7%	3.6%	1.0%	45.0M	-1.37B	-20.1M	0.35	1.83	511,579	181,061	6,488,854	3,640,245
2010-12-23	$13.06	$12.50	36.8%	10.5%	37.7%	33.7%	36.2%	4.6%	-1.8%	36.4M	-1.02B	-19.6M	0.43	2.11	343,362	149,144	6,480,511	3,683,909
2010-12-27	$13.27	$12.50	35.0%	10.0%	36.9%	28.6%	37.0%	4.4%	0.4%	40.6M	-1.26B	-20.2M	0.42	2.33	188,979	79,269	6,531,731	3,695,469
2010-12-28	$13.34	$12.50	34.6%	9.9%	36.8%	27.6%	36.0%	2.6%	1.2%	43.6M	-1.38B	-20.2M	0.30	2.67	268,048	79,393	6,551,408	3,728,644
2010-12-29	$13.31	$12.50	34.1%	9.8%	33.9%	26.2%	35.6%	4.3%	1.0%	41.8M	-1.28B	-20.1M	0.44	1.98	129,071	56,898	6,565,659	3,708,929
2010-12-30	$13.28	$12.50	28.3%	9.7%	33.2%	10.2%	36.3%	4.9%	1.6%	41.1M	-1.22B	-20.3M	0.55	1.86	123,041	68,040	6,572,671	3,725,115
2010-12-31	$13.34	$12.50	31.4%	9.9%	31.8%	18.6%	37.0%	4.9%	2.1%	43.2M	-1.30B	-20.1M	0.62	1.73	123,619	77,238	6,584,822	3,723,467