BAC Options History — June 2011

In June 2011, BAC traded between $10.50 and $11.29. ATM implied volatility averaged 33.5%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.5% (HV 20d: 27.0%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2011-06-06: Highest Volume — 696,158 contracts
2011-06-06: Largest IV spike — 51.2% change
2011-06-07: Highest IV Rank — 66.3%
2011-06-15: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.82	$10.50	$11.29	$11.24	$10.96
Max Pain	$11.77	$11.00	$12.00	$12.00	$11.00
ATM IV	33.5%	25.9%	46.0%	37.1%	28.3%
Expected Move	9.0%	7.8%	10.8%	7.8%	8.4%
HV 20d	27.0%	21.0%	31.3%	21.1%	29.8%
HV 60d	21.7%	19.9%	24.2%	22.4%	24.2%
IV Rank	36.5%	18.4%	66.3%	45.0%	24.1%
IV Percentile	46.9%	8.7%	94.4%	71.8%	16.3%
Term Structure	1.6%	-1.5%	4.8%	1.8%	4.8%
VWIV	32.9%	27.9%	36.7%	27.9%	29.6%
Skew 25d	4.4%	1.7%	6.3%	2.4%	4.1%
Skew 10d	9.6%	1.9%	14.5%	3.7%	7.4%
Call IV 25d	31.7%	27.4%	35.5%	28.2%	29.9%
Put IV 25d	36.1%	30.6%	41.4%	30.6%	34.0%
Bid-Ask Spread %	6.62	2.93	12.49	5.71	12.45
Gamma HHI	0.15	0.12	0.22	0.21	0.14
Net GEX	2.6M	-4.5M	13.5M	-1.9M	12.1M
Net DEX	938.5M	346.5M	1.33B	914.6M	533.6M
Net VEX	-17.9M	-19.3M	-16.1M	-17.6M	-19.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.29	1.32	0.64	0.61
Total Volume	342,335.318	164,388	696,158	311,979	416,016
Total OI	9,881,951.5	9,243,101	10,492,086	9,243,101	10,223,159

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
2011-06-01	$11.24	$12.00	37.1%	7.8%	21.1%	45.0%	27.9%	2.4%	1.8%	-1.9M	914.6M	-17.6M	0.64	5.71	189,700	122,279	5,702,254	3,540,847
2011-06-02	$11.29	$12.00	31.0%	8.0%	21.3%	30.5%	28.1%	3.4%	1.5%	-1.5M	869.6M	-17.9M	0.73	12.49	256,198	186,106	5,758,596	3,556,866
2011-06-03	$11.28	$12.00	25.9%	8.1%	21.0%	18.4%	28.1%	3.5%	0.1%	-1.5M	828.4M	-17.9M	0.67	2.93	169,985	114,157	5,884,648	3,590,400
2011-06-06	$10.83	$12.00	39.2%	9.4%	24.6%	50.0%	34.0%	4.0%	-1.2%	-4.5M	1.24B	-16.6M	0.81	11.03	384,943	311,215	5,927,969	3,605,911
2011-06-07	$10.65	$12.00	46.0%	9.4%	24.8%	66.3%	34.8%	4.5%	-1.2%	-2.9M	1.27B	-16.8M	0.74	3.81	172,792	127,742	6,111,305	3,654,009
2011-06-08	$10.54	$12.00	31.4%	9.6%	24.2%	31.5%	35.6%	4.8%	-1.5%	-2.9M	1.33B	-16.7M	0.73	8.74	164,220	120,329	6,173,474	3,691,037
2011-06-09	$10.65	$12.00	30.8%	8.8%	25.0%	30.0%	32.5%	3.7%	0.3%	-3.9M	1.32B	-16.1M	0.65	2.93	186,471	120,487	6,210,502	3,707,194
2011-06-10	$10.80	$12.00	32.3%	9.3%	26.0%	33.5%	33.1%	4.4%	-0.3%	351.6K	1.07B	-17.6M	0.57	5.54	435,411	249,743	6,285,045	3,724,279
2011-06-13	$10.97	$12.00	31.8%	9.1%	26.4%	32.5%	32.7%	5.0%	1.2%	6.1M	877.5M	-18.2M	0.29	6.12	228,719	67,229	6,406,885	3,791,590
2011-06-14	$10.80	$12.00	32.4%	9.3%	26.7%	33.9%	33.4%	4.7%	1.2%	7.7M	1.02B	-18.0M	0.57	10.15	232,487	131,386	6,505,392	3,791,186
2011-06-15	$10.50	$12.00	37.6%	10.8%	27.8%	46.1%	35.8%	5.8%	1.0%	4.6M	1.19B	-17.8M	1.08	6.34	168,247	181,233	6,590,846	3,815,591
2011-06-16	$10.60	$12.00	34.8%	10.0%	28.3%	39.6%	36.7%	6.0%	1.3%	5.8M	1.14B	-18.1M	1.30	9.59	119,861	155,457	6,601,910	3,849,896
2011-06-17	$10.68	$12.00	33.4%	9.6%	28.6%	36.2%	35.9%	6.3%	2.1%	2.7M	1.15B	-17.7M	1.09	3.59	109,349	119,322	6,625,035	3,867,051
2011-06-20	$10.60	$12.00	33.0%	9.5%	28.6%	35.2%	35.7%	6.3%	1.7%	1.3M	924.1M	-17.5M	0.77	3.20	145,829	112,248	5,911,811	3,580,837
2011-06-21	$10.83	$12.00	30.5%	8.7%	29.8%	29.3%	32.5%	5.0%	2.7%	4.2M	771.1M	-18.0M	0.31	4.09	189,129	57,717	5,979,566	3,614,753
2011-06-22	$10.79	$12.00	29.8%	8.6%	29.7%	27.7%	32.3%	4.9%	3.0%	5.9M	732.9M	-18.3M	0.57	3.26	187,498	106,024	6,045,209	3,618,610
2011-06-23	$10.71	$12.00	29.4%	8.4%	29.7%	26.8%	33.2%	4.8%	3.6%	2.0M	796.0M	-18.4M	1.32	7.37	125,445	166,071	6,130,856	3,652,624
2011-06-24	$10.52	$11.00	29.9%	8.7%	29.9%	27.8%	32.6%	4.5%	4.7%	-340.9K	934.1M	-17.9M	0.92	3.63	85,556	78,832	6,145,362	3,705,559
2011-06-27	$10.85	$11.00	38.5%	8.9%	31.3%	48.3%	35.1%	4.9%	2.7%	3.0M	693.6M	-18.6M	0.68	5.68	181,164	123,784	6,141,970	3,718,525
2011-06-28	$10.82	$11.00	34.9%	8.8%	31.1%	39.9%	32.3%	1.7%	3.0%	6.8M	681.9M	-18.7M	0.85	6.79	126,004	107,580	6,210,356	3,716,858
2011-06-29	$11.14	$11.00	39.6%	9.1%	29.4%	50.9%	32.1%	1.8%	2.5%	13.5M	346.5M	-19.3M	0.52	10.12	327,737	169,675	6,268,305	3,768,855
2011-06-30	$10.96	$11.00	28.3%	8.4%	29.8%	24.1%	29.6%	4.1%	4.8%	12.1M	533.6M	-19.0M	0.61	12.45	257,760	158,256	6,415,308	3,807,851