BAC Options History — July 2011

In July 2011, BAC traded between $9.57 and $11.09. ATM implied volatility averaged 35.7%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 5.7% (HV 20d: 30.0%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2011-07-19: Highest Volume — 1,065,443 contracts
2011-07-11: Largest IV spike — 49.6% change
2011-07-29: Highest IV Rank — 89.3%
2011-07-29: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.20	$9.57	$11.09	$11.09	$9.71
Max Pain	$11.50	$11.00	$12.00	$11.00	$11.00
ATM IV	35.7%	25.5%	49.8%	25.5%	49.8%
Expected Move	10.1%	7.6%	12.0%	7.6%	12.0%
HV 20d	30.0%	26.5%	33.8%	30.2%	30.6%
HV 60d	25.7%	24.0%	27.6%	24.0%	27.3%
IV Rank	46.5%	17.4%	89.3%	17.4%	89.3%
IV Percentile	63.6%	7.1%	99.2%	7.1%	99.2%
Term Structure	0.1%	-1.7%	3.9%	3.9%	-1.0%
VWIV	35.9%	26.7%	43.7%	26.7%	43.7%
Skew 25d	2.7%	0.5%	4.3%	3.0%	1.6%
Skew 10d	5.5%	1.6%	7.7%	5.8%	7.1%
Call IV 25d	35.4%	27.7%	44.0%	27.7%	44.0%
Put IV 25d	38.1%	30.7%	45.6%	30.7%	45.6%
Bid-Ask Spread %	5.21	2.32	10.92	4.80	5.61
Gamma HHI	0.17	0.13	0.29	0.13	0.15
Net GEX	2.4M	-14.4M	13.0M	13.0M	4.8M
Net DEX	966.1M	344.9M	1.41B	344.9M	1.06B
Net VEX	-17.9M	-19.4M	-15.5M	-19.4M	-18.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.18	1.57	0.38	0.66
Total Volume	447,956.85	138,222	1,065,443	330,403	332,407
Total OI	10,750,538.65	10,000,063	11,270,015	10,357,734	11,270,015

Daily Data (20 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
2011-07-01	$11.09	$11.00	25.5%	7.6%	30.2%	17.4%	26.7%	3.0%	3.9%	13.0M	344.9M	-19.4M	0.38	4.80	240,052	90,351	6,521,479	3,836,255
2011-07-05	$11.00	$12.00	31.2%	9.0%	26.5%	30.9%	31.9%	3.3%	-0.4%	9.0M	528.0M	-18.7M	0.57	7.16	88,011	50,211	6,535,750	3,822,978
2011-07-06	$10.74	$12.00	33.9%	9.8%	27.2%	37.3%	36.4%	3.4%	-1.7%	8.1M	705.7M	-18.4M	1.57	7.49	177,033	278,797	6,568,712	3,817,117
2011-07-07	$10.92	$12.00	29.1%	9.1%	27.5%	26.0%	32.5%	3.2%	-0.9%	9.8M	587.2M	-18.8M	0.81	5.43	130,966	106,592	6,614,965	3,961,475
2011-07-08	$10.70	$12.00	26.8%	9.1%	28.4%	20.5%	32.7%	3.1%	-0.9%	4.5M	834.8M	-18.3M	0.77	6.49	147,549	113,393	6,664,367	3,975,390
2011-07-11	$10.35	$12.00	40.1%	10.5%	30.2%	52.3%	34.9%	4.3%	-1.5%	-2.2M	1.16B	-17.2M	1.23	10.92	242,972	298,799	6,677,744	3,968,189
2011-07-12	$10.21	$12.00	42.8%	10.7%	29.7%	58.6%	38.5%	2.4%	-0.5%	-3.9M	1.23B	-17.1M	1.01	3.15	211,241	212,401	6,702,734	4,001,203
2011-07-13	$10.20	$12.00	40.5%	10.7%	29.4%	53.1%	37.1%	3.5%	-0.6%	-7.8M	1.23B	-17.1M	0.70	3.92	263,703	185,090	6,787,429	4,080,185
2011-07-14	$10.07	$12.00	35.6%	10.2%	28.1%	49.0%	36.1%	3.0%	0.2%	-14.4M	1.35B	-17.1M	1.00	2.67	160,139	159,863	6,908,771	4,164,341
2011-07-15	$10.00	$12.00	35.1%	10.1%	27.8%	47.8%	35.8%	3.1%	0.9%	-3.4M	1.36B	-17.0M	0.96	7.92	243,182	234,522	6,974,203	4,196,289
2011-07-18	$9.72	$12.00	37.4%	10.7%	29.0%	54.1%	38.1%	2.4%	0.6%	-5.2M	1.28B	-16.3M	0.64	7.18	529,173	340,588	6,171,107	3,828,956
2011-07-19	$9.57	$11.00	34.8%	10.0%	29.2%	46.7%	36.3%	2.3%	0.9%	-3.7M	1.41B	-15.5M	0.45	3.73	736,085	329,358	6,404,154	3,938,533
2011-07-20	$9.85	$11.00	36.4%	10.4%	30.2%	51.5%	37.2%	1.7%	-1.0%	4.5M	1.06B	-17.3M	0.41	4.21	504,247	205,660	6,636,602	4,031,038
2011-07-21	$10.23	$11.00	34.0%	9.7%	33.8%	44.5%	34.9%	3.8%	0.2%	10.7M	660.0M	-18.6M	0.33	5.72	559,034	184,653	6,788,644	4,072,190
2011-07-22	$10.13	$11.00	33.6%	9.6%	33.8%	43.5%	34.4%	2.7%	2.1%	5.7M	721.8M	-18.8M	0.51	2.75	176,472	90,462	6,846,673	4,103,663
2011-07-25	$10.01	$11.00	35.4%	10.2%	33.5%	48.6%	36.6%	3.5%	0.1%	5.5M	856.2M	-18.4M	0.54	4.18	220,088	117,924	6,832,138	4,045,704
2011-07-26	$10.00	$11.00	34.0%	9.8%	31.1%	44.6%	35.4%	1.2%	1.5%	5.4M	854.4M	-18.4M	0.18	2.32	279,618	50,409	6,915,929	4,082,926
2011-07-27	$9.68	$11.00	38.5%	11.0%	32.7%	57.4%	39.5%	0.5%	0.1%	3.6M	1.06B	-18.1M	0.97	3.84	209,908	203,899	6,995,959	4,091,258
2011-07-28	$9.79	$11.00	38.6%	11.1%	30.8%	57.5%	40.0%	2.0%	-0.1%	4.2M	1.03B	-18.5M	0.41	4.69	180,973	73,312	7,034,459	4,141,249
2011-07-29	$9.71	$11.00	49.8%	12.0%	30.6%	89.3%	43.7%	1.6%	-1.0%	4.8M	1.06B	-18.2M	0.66	5.61	200,509	131,898	7,109,703	4,160,312