BAC Options History — May 2011

In May 2011, BAC traded between $11.38 and $12.60. ATM implied volatility averaged 25.8%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.1% (HV 20d: 18.7%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2011-05-23: Highest Volume — 386,954 contracts
2011-05-05: Largest IV spike — 56.2% change
2011-05-09: Highest IV Rank — 30.6%
2011-05-06: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.95	$11.38	$12.60	$12.34	$11.75
Max Pain	$12.81	$12.00	$13.00	$13.00	$12.00
ATM IV	25.8%	18.2%	31.1%	28.9%	26.1%
Expected Move	7.2%	5.8%	7.9%	6.8%	5.8%
HV 20d	18.7%	15.8%	21.2%	19.5%	17.7%
HV 60d	22.6%	20.7%	24.0%	23.6%	20.7%
IV Rank	17.1%	0.0%	30.6%	16.4%	18.8%
IV Percentile	7.1%	0.0%	22.6%	12.7%	9.5%
Term Structure	2.0%	0.5%	4.3%	1.4%	4.3%
VWIV	25.3%	22.8%	27.7%	23.7%	22.8%
Skew 25d	2.8%	1.1%	4.4%	1.4%	3.5%
Skew 10d	5.8%	1.8%	12.1%	11.1%	1.8%
Call IV 25d	24.6%	22.5%	26.8%	23.8%	22.5%
Put IV 25d	27.4%	25.0%	30.3%	25.2%	26.0%
Bid-Ask Spread %	7.85	2.83	13.63	2.83	9.45
Gamma HHI	0.19	0.15	0.26	0.18	0.18
Net GEX	-4.3M	-19.6M	7.5M	-2.0M	6.2M
Net DEX	506.6M	-190.6M	1.10B	153.2M	455.6M
Net VEX	-19.5M	-21.4M	-17.4M	-20.3M	-18.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.32	1.34	0.53	0.37
Total Volume	259,645.762	161,304	386,954	285,080	186,950
Total OI	9,586,647.524	8,705,118	10,283,015	9,398,796	9,240,605

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
2011-05-02	$12.34	$13.00	28.9%	6.8%	19.5%	16.4%	23.7%	1.4%	1.4%	-2.0M	153.2M	-20.3M	0.53	2.83	186,808	98,272	5,622,988	3,775,808
2011-05-03	$12.60	$13.00	28.7%	6.8%	21.2%	15.8%	25.0%	2.2%	2.2%	7.5M	-190.6M	-21.4M	0.56	3.12	240,915	136,029	5,664,222	3,790,950
2011-05-04	$12.49	$13.00	18.2%	7.6%	21.2%	0.0%	25.1%	3.0%	0.6%	5.1M	-49.2M	-21.2M	0.72	5.52	110,964	80,448	5,714,088	3,833,738
2011-05-05	$12.30	$13.00	28.4%	7.6%	19.9%	24.1%	26.4%	4.4%	0.5%	818.9K	173.6M	-21.0M	0.67	4.21	112,609	75,105	5,754,412	3,846,125
2011-05-06	$12.31	$13.00	26.3%	7.9%	20.0%	19.3%	27.2%	3.3%	1.3%	-229.0K	165.9M	-20.9M	0.66	9.35	107,584	70,885	5,784,524	3,871,104
2011-05-09	$12.18	$13.00	31.1%	7.7%	20.0%	30.6%	27.2%	4.3%	2.3%	-4.1M	359.8M	-20.4M	0.56	9.47	103,409	57,895	5,824,775	3,898,802
2011-05-10	$12.28	$13.00	29.3%	7.2%	20.5%	26.4%	25.4%	2.0%	1.9%	-3.5M	229.2M	-20.3M	0.78	13.63	129,084	100,097	5,840,586	3,906,699
2011-05-11	$12.25	$13.00	23.4%	7.3%	20.4%	12.3%	25.7%	1.8%	1.8%	-4.7M	221.0M	-20.5M	0.72	12.80	94,864	68,597	5,893,011	3,943,159
2011-05-12	$12.20	$13.00	25.8%	7.4%	20.1%	18.2%	25.8%	3.3%	1.9%	-6.3M	294.9M	-20.4M	1.34	10.78	81,731	109,398	5,937,535	3,956,463
2011-05-13	$11.93	$13.00	26.9%	7.7%	21.0%	20.8%	27.7%	2.6%	1.3%	-14.4M	611.9M	-19.9M	1.20	7.52	115,927	139,467	5,931,303	3,991,798
2011-05-16	$11.86	$13.00	27.1%	7.8%	19.8%	21.2%	27.4%	4.2%	1.6%	-17.4M	740.2M	-19.5M	0.80	11.66	156,798	124,679	5,971,372	4,015,260
2011-05-17	$11.90	$13.00	25.8%	7.4%	16.9%	18.2%	26.5%	3.2%	0.9%	-19.5M	712.2M	-19.2M	0.78	3.96	179,616	140,543	6,012,871	4,020,702
2011-05-18	$11.79	$13.00	23.9%	6.9%	17.1%	13.7%	25.6%	3.2%	1.9%	-19.6M	965.3M	-18.3M	0.60	9.62	213,551	128,885	6,073,690	4,043,363
2011-05-19	$11.69	$13.00	23.0%	6.6%	17.2%	11.4%	25.2%	3.8%	2.3%	-2.8M	991.7M	-18.7M	1.08	12.31	156,338	169,311	6,156,073	4,039,050
2011-05-20	$11.58	$13.00	22.8%	6.5%	17.2%	10.9%	23.8%	2.7%	2.6%	-5.9M	1.10B	-18.0M	0.75	3.31	184,995	138,495	6,199,159	4,083,856
2011-05-23	$11.42	$13.00	26.0%	7.4%	16.8%	18.5%	25.5%	1.9%	2.4%	-5.9M	861.0M	-17.4M	0.32	4.82	293,510	93,444	5,309,765	3,395,353
2011-05-24	$11.46	$13.00	26.1%	7.5%	16.3%	18.7%	24.9%	3.1%	2.4%	-3.7M	787.9M	-18.0M	0.93	11.38	198,860	185,824	5,403,368	3,426,729
2011-05-25	$11.38	$12.00	25.2%	7.2%	15.8%	16.7%	24.3%	2.2%	2.6%	-4.7M	843.2M	-17.7M	0.37	11.90	186,420	69,695	5,463,903	3,475,966
2011-05-26	$11.46	$12.00	24.6%	7.1%	15.8%	15.4%	24.0%	1.7%	3.1%	-1.0M	736.7M	-18.3M	0.70	3.81	116,602	81,218	5,569,235	3,491,812
2011-05-27	$11.69	$12.00	23.4%	6.5%	17.6%	12.4%	23.1%	1.1%	2.8%	5.2M	476.7M	-18.9M	0.36	3.42	166,276	60,463	5,626,414	3,518,962
2011-05-31	$11.75	$12.00	26.1%	5.8%	17.7%	18.8%	22.8%	3.5%	4.3%	6.2M	455.6M	-18.8M	0.37	9.45	136,641	50,309	5,701,448	3,539,157