BAC Options History — February 2011

In February 2011, BAC traded between $13.97 and $14.89. ATM implied volatility averaged 30.4%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.5% (HV 20d: 29.9%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.58.

Notable Days

2011-02-01: Highest Volume — 607,934 contracts
2011-02-22: Largest IV spike — 26.4% change
2011-02-08: Highest IV Rank — 31.2%
2011-02-22: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.49	$13.97	$14.89	$14.31	$14.29
Max Pain	$13.84	$13.00	$14.00	$13.00	$14.00
ATM IV	30.4%	26.3%	35.9%	35.8%	32.6%
Expected Move	8.3%	7.5%	9.5%	8.2%	8.2%
HV 20d	29.9%	24.5%	34.0%	33.1%	26.7%
HV 60d	33.9%	32.4%	35.2%	35.2%	32.4%
IV Rank	15.9%	4.5%	31.2%	31.0%	22.2%
IV Percentile	19.6%	1.2%	56.0%	54.0%	33.7%
Term Structure	2.3%	1.4%	3.4%	1.7%	2.9%
VWIV	29.7%	27.6%	34.1%	29.2%	28.1%
Skew 25d	2.9%	1.5%	5.3%	3.3%	4.7%
Skew 10d	7.2%	4.0%	14.5%	7.4%	9.6%
Call IV 25d	28.7%	26.1%	32.3%	28.2%	26.9%
Put IV 25d	31.5%	28.8%	37.0%	31.5%	31.6%
Bid-Ask Spread %	2.91	1.68	4.30	2.47	2.46
Gamma HHI	0.27	0.18	0.46	0.19	0.24
Net GEX	57.1M	23.4M	93.7M	50.9M	36.2M
Net DEX	-2.03B	-2.77B	-1.06B	-1.92B	-1.39B
Net VEX	-21.3M	-21.9M	-20.7M	-21.6M	-21.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.31	1.00	0.39	0.51
Total Volume	364,518.789	183,783	607,934	607,934	260,638
Total OI	7,995,862.105	7,004,620	8,552,476	7,824,911	7,341,227

Daily Data (19 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
2011-02-01	$14.31	$13.00	35.8%	8.2%	33.1%	31.0%	29.2%	3.3%	1.7%	50.9M	-1.92B	-21.6M	0.39	2.47	438,345	169,589	4,709,678	3,115,233
2011-02-02	$14.24	$13.00	33.7%	7.9%	33.2%	25.0%	28.3%	3.3%	2.3%	50.9M	-1.92B	-21.9M	0.45	1.68	127,115	56,668	4,826,034	3,163,355
2011-02-03	$14.43	$13.00	29.4%	8.2%	32.9%	13.1%	28.7%	2.5%	1.4%	54.7M	-2.16B	-21.8M	0.68	2.53	218,091	148,247	4,835,754	3,178,407
2011-02-04	$14.29	$14.00	26.7%	8.3%	33.0%	5.5%	29.5%	2.3%	2.0%	50.5M	-1.95B	-21.3M	0.60	1.95	243,632	145,720	4,887,808	3,202,211
2011-02-07	$14.67	$14.00	32.6%	8.4%	34.0%	22.1%	30.1%	1.6%	1.6%	60.7M	-2.44B	-21.9M	0.38	2.49	343,719	131,472	4,921,270	3,207,271
2011-02-08	$14.61	$14.00	35.9%	8.1%	33.8%	31.2%	29.2%	2.1%	2.2%	62.9M	-2.37B	-21.6M	0.31	2.36	245,922	75,928	4,987,873	3,262,644
2011-02-09	$14.64	$14.00	30.2%	8.3%	33.1%	15.3%	29.5%	2.0%	2.6%	64.9M	-2.38B	-21.5M	0.47	3.75	231,521	109,647	5,011,381	3,282,151
2011-02-10	$14.49	$14.00	29.5%	8.5%	32.3%	13.4%	29.3%	1.8%	2.4%	61.4M	-2.14B	-21.3M	0.77	2.66	118,214	91,012	5,071,667	3,315,761
2011-02-11	$14.77	$14.00	28.1%	8.1%	32.8%	9.5%	29.2%	1.8%	3.4%	68.7M	-2.51B	-21.4M	0.37	3.80	326,734	121,742	5,086,126	3,320,787
2011-02-14	$14.89	$14.00	28.6%	8.2%	30.7%	10.9%	29.9%	1.5%	2.2%	78.1M	-2.77B	-21.6M	0.72	2.41	149,765	108,210	5,072,017	3,320,572
2011-02-15	$14.77	$14.00	26.7%	7.7%	30.3%	5.7%	28.4%	2.1%	3.2%	77.8M	-2.49B	-21.3M	0.43	4.30	219,501	94,011	5,085,675	3,356,998
2011-02-16	$14.84	$14.00	27.5%	7.9%	25.9%	7.8%	28.9%	2.3%	2.4%	90.8M	-2.58B	-21.3M	1.00	2.60	196,664	197,333	5,102,210	3,370,897
2011-02-17	$14.81	$14.00	26.7%	7.7%	25.6%	5.6%	28.9%	3.0%	2.9%	93.7M	-2.41B	-21.2M	0.74	2.76	165,607	121,746	5,099,562	3,431,665
2011-02-18	$14.75	$14.00	26.3%	7.5%	24.5%	4.5%	27.6%	2.7%	3.2%	62.7M	-2.28B	-21.1M	0.72	3.63	215,201	154,066	5,095,516	3,456,960
2011-02-22	$14.18	$14.00	33.3%	9.5%	27.2%	23.9%	34.1%	4.0%	1.6%	31.4M	-1.21B	-20.7M	0.65	3.50	355,505	232,711	4,305,620	2,699,000
2011-02-23	$14.17	$14.00	33.0%	9.5%	25.9%	23.1%	33.6%	5.3%	1.4%	31.5M	-1.24B	-21.1M	0.72	3.51	286,239	206,559	4,385,001	2,760,627
2011-02-24	$13.97	$14.00	31.9%	9.1%	26.4%	20.1%	32.9%	3.7%	1.8%	23.4M	-1.06B	-20.8M	0.61	3.74	230,124	140,471	4,442,645	2,836,534
2011-02-25	$14.20	$14.00	28.9%	8.4%	26.8%	11.7%	29.7%	4.3%	2.9%	34.1M	-1.34B	-21.2M	0.50	2.69	165,969	82,219	4,510,513	2,862,730
2011-02-28	$14.29	$14.00	32.6%	8.2%	26.7%	22.2%	28.1%	4.7%	2.9%	36.2M	-1.39B	-21.0M	0.51	2.46	173,179	87,459	4,479,895	2,861,332