BAC Options History — March 2011

In March 2011, BAC traded between $13.33 and $14.69. ATM implied volatility averaged 31.6%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.4% (HV 20d: 29.2%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.60.

Notable Days

2011-03-24: Highest Volume — 694,117 contracts
2011-03-10: Largest IV spike — 28.8% change
2011-03-01: Highest IV Rank — 37.0%
2011-03-16: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.91	$13.33	$14.69	$13.93	$13.33
Max Pain	$14.00	$14.00	$14.00	$14.00	$14.00
ATM IV	31.6%	25.2%	38.0%	38.0%	25.8%
Expected Move	9.0%	8.0%	10.7%	8.9%	9.2%
HV 20d	29.2%	24.0%	32.3%	28.4%	25.3%
HV 60d	31.2%	28.2%	32.6%	32.3%	28.2%
IV Rank	18.3%	0.0%	37.0%	37.0%	1.7%
IV Percentile	27.4%	0.0%	68.3%	68.3%	0.4%
Term Structure	0.2%	-3.8%	2.2%	2.1%	-3.8%
VWIV	31.6%	28.6%	37.5%	31.4%	31.2%
Skew 25d	2.9%	0.9%	4.7%	2.6%	2.5%
Skew 10d	5.8%	1.2%	9.7%	8.8%	1.5%
Call IV 25d	30.8%	27.6%	36.2%	31.4%	30.7%
Put IV 25d	33.7%	29.5%	39.9%	34.0%	33.1%
Bid-Ask Spread %	3.92	1.77	7.35	2.09	3.35
Gamma HHI	0.19	0.14	0.30	0.21	0.15
Net GEX	33.1M	15.2M	61.7M	25.4M	15.9M
Net DEX	-1.12B	-2.05B	-560.2M	-935.8M	-560.2M
Net VEX	-21.2M	-22.0M	-20.1M	-20.1M	-21.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.32	0.95	0.47	0.92
Total Volume	369,290.826	171,274	694,117	425,508	324,058
Total OI	7,951,768.13	7,379,021	8,549,211	7,379,021	8,549,211

Daily Data (23 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
2011-03-01	$13.93	$14.00	38.0%	8.9%	28.4%	37.0%	31.4%	2.6%	2.1%	25.4M	-935.8M	-20.1M	0.47	2.09	290,201	135,307	4,495,472	2,883,549
2011-03-02	$13.83	$14.00	36.7%	8.7%	24.0%	33.5%	31.4%	2.5%	2.0%	26.4M	-863.5M	-20.1M	0.66	2.89	166,502	109,277	4,584,632	2,922,372
2011-03-03	$14.27	$14.00	30.0%	8.2%	26.7%	14.7%	28.7%	2.8%	2.2%	41.4M	-1.47B	-21.4M	0.47	1.99	238,726	113,238	4,653,414	2,963,058
2011-03-04	$14.12	$14.00	29.7%	9.5%	26.5%	13.8%	33.0%	4.0%	0.8%	37.1M	-1.30B	-20.8M	0.48	2.90	202,401	97,913	4,750,668	2,976,206
2011-03-07	$14.03	$14.00	35.9%	9.5%	26.4%	31.3%	33.7%	3.9%	0.6%	37.3M	-1.22B	-20.8M	0.59	2.20	134,402	79,768	4,767,368	2,987,192
2011-03-08	$14.69	$14.00	28.5%	8.5%	29.8%	8.2%	30.5%	4.2%	1.6%	61.7M	-2.05B	-21.6M	0.42	2.84	387,132	163,495	4,803,341	3,008,480
2011-03-09	$14.59	$14.00	25.2%	8.4%	29.8%	0.0%	30.2%	3.2%	1.1%	60.5M	-1.90B	-21.6M	0.56	2.77	182,018	101,517	4,858,167	3,051,583
2011-03-10	$14.26	$14.00	32.4%	9.3%	30.9%	20.5%	32.8%	2.5%	1.4%	47.4M	-1.57B	-22.0M	0.74	4.54	150,459	111,818	4,923,300	3,089,480
2011-03-11	$14.38	$14.00	31.4%	9.0%	30.9%	17.7%	30.8%	3.0%	1.5%	51.1M	-1.68B	-21.9M	0.82	4.92	93,850	77,424	4,947,389	3,104,696
2011-03-14	$14.23	$14.00	32.9%	9.4%	30.2%	21.9%	32.7%	3.3%	1.4%	41.9M	-1.46B	-21.3M	0.65	4.26	167,802	109,669	4,911,968	3,098,520
2011-03-15	$13.96	$14.00	33.3%	9.5%	30.5%	22.9%	33.6%	2.5%	1.3%	29.6M	-1.10B	-21.3M	0.57	4.38	279,275	160,574	4,972,059	3,140,689
2011-03-16	$13.69	$14.00	37.2%	10.7%	31.0%	34.1%	37.5%	3.8%	-1.0%	26.0M	-853.8M	-21.4M	0.64	6.45	286,030	182,390	5,057,590	3,160,985
2011-03-17	$13.98	$14.00	33.1%	9.5%	32.1%	22.4%	33.2%	4.7%	1.1%	36.1M	-1.18B	-21.3M	0.52	7.35	245,888	126,883	5,130,704	3,204,186
2011-03-18	$14.04	$14.00	32.0%	9.2%	32.3%	19.3%	31.1%	4.4%	0.9%	40.9M	-1.26B	-21.4M	0.32	7.14	304,716	98,398	5,202,313	3,253,374
2011-03-21	$14.05	$14.00	29.1%	8.3%	32.3%	11.0%	29.1%	4.5%	2.2%	34.2M	-1.14B	-20.7M	0.32	4.46	293,250	94,936	4,592,030	2,797,854
2011-03-22	$13.88	$14.00	28.5%	8.2%	29.5%	9.4%	29.2%	1.3%	1.5%	33.5M	-1.07B	-20.9M	0.49	4.05	160,472	78,631	4,677,998	2,844,483
2011-03-23	$13.65	$14.00	27.8%	8.0%	30.0%	7.4%	28.6%	0.9%	1.3%	25.7M	-819.5M	-20.8M	0.56	4.43	395,284	222,294	4,724,441	2,878,678
2011-03-24	$13.48	$14.00	32.0%	9.2%	29.9%	19.3%	31.2%	1.8%	-1.4%	22.4M	-730.3M	-20.9M	0.95	4.60	356,549	337,568	4,899,390	2,967,284
2011-03-25	$13.34	$14.00	27.8%	9.0%	29.2%	7.4%	30.8%	2.7%	-2.2%	15.6M	-628.2M	-21.5M	0.63	3.17	193,747	122,325	5,078,959	3,131,321
2011-03-28	$13.37	$14.00	31.4%	9.5%	29.1%	17.7%	33.1%	1.4%	-3.8%	17.3M	-659.4M	-21.3M	0.59	2.94	186,205	109,524	5,010,482	3,172,307
2011-03-29	$13.35	$14.00	33.4%	9.4%	27.9%	23.4%	32.5%	3.0%	-3.4%	15.2M	-599.5M	-21.2M	0.60	4.72	266,038	159,213	5,035,686	3,209,414
2011-03-30	$13.45	$14.00	34.6%	9.0%	28.0%	26.7%	31.0%	1.2%	-2.7%	19.9M	-680.0M	-21.5M	0.80	1.77	219,838	176,684	5,158,671	3,259,703
2011-03-31	$13.33	$14.00	25.8%	9.2%	25.3%	1.7%	31.2%	2.5%	-3.8%	15.9M	-560.2M	-21.0M	0.92	3.35	168,898	155,160	5,202,496	3,346,715