BAC Options History — August 2011

In August 2011, BAC traded between $6.30 and $9.81. ATM implied volatility averaged 91.7%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded above realized volatility by 6.8% (HV 20d: 84.9%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.90.

Notable Days

2011-08-25: Highest Volume — 1,802,435 contracts
2011-08-08: Largest IV spike — 79.9% change
2011-08-02: Highest IV Rank — 100.0%
2011-08-23: Largest Expected Move — 37.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.74	$6.30	$9.81	$9.81	$8.17
Max Pain	$9.70	$9.00	$11.00	$11.00	$9.00
ATM IV	91.7%	46.2%	173.2%	46.2%	82.3%
Expected Move	23.8%	10.3%	37.9%	11.5%	18.7%
HV 20d	84.9%	30.5%	118.1%	30.5%	118.1%
HV 60d	54.8%	27.3%	71.4%	27.3%	71.3%
IV Rank	61.3%	35.8%	100.0%	79.0%	41.3%
IV Percentile	97.7%	93.3%	100.0%	96.8%	94.8%
Term Structure	-3.9%	-22.9%	5.1%	-1.2%	5.1%
VWIV	83.9%	36.8%	131.7%	41.7%	67.0%
Skew 25d	24.1%	2.0%	52.5%	2.7%	12.8%
Skew 10d	49.1%	4.8%	105.3%	7.8%	28.3%
Call IV 25d	72.9%	36.8%	106.1%	42.1%	61.1%
Put IV 25d	97.0%	39.0%	157.8%	44.8%	73.8%
Bid-Ask Spread %	5.40	2.46	9.50	7.07	2.46
Gamma HHI	0.13	0.10	0.17	0.15	0.10
Net GEX	4.1M	-2.2M	11.8M	6.9M	10.2M
Net DEX	1.28B	623.7M	1.70B	995.6M	783.2M
Net VEX	-14.1M	-18.1M	-10.8M	-18.1M	-15.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.32	1.61	0.48	0.84
Total Volume	834,680.13	251,203	1,802,435	251,203	377,387
Total OI	12,069,158.435	11,236,449	12,967,857	11,236,449	12,383,904

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
2011-08-01	$9.81	$11.00	46.2%	11.5%	30.5%	79.0%	41.7%	2.7%	-1.2%	6.9M	995.6M	-18.1M	0.48	7.07	169,437	81,766	7,088,265	4,148,184
2011-08-02	$9.49	$11.00	56.6%	12.1%	31.9%	100.0%	40.8%	2.0%	-0.7%	3.1M	1.24B	-17.1M	0.32	5.11	318,895	101,591	7,122,476	4,172,498
2011-08-03	$9.54	$11.00	49.3%	10.3%	31.6%	81.1%	36.8%	2.2%	1.2%	3.7M	1.24B	-17.2M	0.74	5.64	211,009	155,187	7,158,512	4,179,086
2011-08-04	$8.83	$11.00	58.6%	14.6%	39.4%	100.0%	52.0%	6.8%	-2.6%	858.3K	1.57B	-15.6M	1.21	6.37	394,486	478,946	7,192,423	4,196,563
2011-08-05	$8.17	$10.00	96.3%	23.0%	46.0%	100.0%	73.1%	29.6%	-12.2%	1.6M	1.64B	-14.8M	1.05	9.39	651,163	685,517	7,301,953	4,354,616
2011-08-08	$7.00	$10.00	173.2%	35.4%	67.8%	100.0%	125.7%	51.7%	-22.9%	1.9M	1.70B	-11.4M	1.37	8.04	733,548	1,002,331	7,347,232	4,316,240
2011-08-09	$7.60	$10.00	118.2%	25.9%	76.9%	64.5%	94.5%	35.5%	-5.9%	4.1M	1.40B	-14.6M	0.92	8.99	527,706	483,790	7,438,452	4,567,733
2011-08-10	$6.77	$10.00	133.6%	33.5%	84.5%	74.5%	115.7%	35.5%	-17.0%	2.9M	1.43B	-12.7M	0.85	4.58	485,469	410,690	7,600,362	4,664,787
2011-08-11	$7.25	$10.00	105.9%	30.4%	90.3%	56.6%	102.6%	31.6%	-6.1%	3.8M	1.44B	-13.5M	0.94	5.72	349,488	328,658	7,672,496	4,749,395
2011-08-12	$7.19	$10.00	95.9%	27.5%	90.2%	50.1%	93.2%	25.0%	-3.7%	2.9M	1.51B	-13.2M	0.53	4.41	364,787	195,124	7,624,134	4,849,281
2011-08-15	$7.76	$10.00	76.3%	21.9%	95.9%	37.5%	79.1%	21.5%	-3.4%	5.8M	1.43B	-14.4M	0.84	3.64	338,243	282,594	7,679,040	4,771,849
2011-08-16	$7.40	$10.00	79.3%	22.7%	96.7%	39.5%	76.1%	19.3%	-0.3%	3.7M	1.56B	-13.3M	0.68	7.08	277,561	187,636	7,800,131	4,842,344
2011-08-17	$7.46	$9.00	75.6%	21.7%	95.8%	37.1%	75.3%	17.3%	1.9%	3.0M	1.63B	-12.9M	0.78	3.20	368,810	288,030	7,852,691	4,883,135
2011-08-18	$7.01	$9.00	93.0%	26.6%	95.2%	48.2%	95.9%	30.3%	0.4%	-1.1M	1.61B	-12.1M	1.61	9.50	331,026	533,352	7,883,987	4,897,604
2011-08-19	$6.97	$9.00	89.3%	25.6%	95.3%	45.9%	92.5%	32.2%	4.3%	-2.2M	1.65B	-12.1M	1.34	3.54	304,797	406,990	7,913,509	5,054,348
2011-08-22	$6.42	$9.00	124.4%	35.7%	97.9%	68.5%	122.3%	52.5%	-12.2%	665.8K	1.27B	-10.8M	0.98	5.15	471,977	464,148	6,851,405	4,386,150
2011-08-23	$6.30	$9.00	132.1%	37.9%	97.6%	73.5%	131.7%	52.1%	-16.7%	635.8K	1.26B	-10.8M	1.10	8.28	649,265	715,960	6,984,407	4,530,293
2011-08-24	$6.99	$9.00	99.8%	28.6%	107.4%	52.7%	102.8%	39.7%	-2.3%	4.2M	1.08B	-12.8M	0.86	3.25	674,546	581,038	7,158,970	4,751,325
2011-08-25	$7.65	$9.00	87.0%	24.9%	113.5%	44.4%	91.3%	18.5%	-3.3%	8.4M	753.1M	-14.9M	0.86	4.53	969,182	833,253	7,341,754	4,869,353
2011-08-26	$7.76	$9.00	78.4%	20.8%	113.9%	38.8%	77.9%	12.4%	2.5%	6.8M	832.3M	-14.9M	0.81	2.94	472,898	384,696	7,458,440	5,051,868
2011-08-29	$8.39	$9.00	83.4%	19.8%	118.1%	42.1%	72.7%	14.5%	1.3%	11.8M	623.7M	-16.4M	0.71	2.85	415,008	296,454	7,360,725	4,811,821
2011-08-30	$8.12	$9.00	73.7%	18.1%	118.1%	35.8%	69.5%	7.7%	4.9%	9.9M	806.3M	-15.6M	0.98	2.49	223,717	219,487	7,424,802	4,902,101
2011-08-31	$8.17	$9.00	82.3%	18.7%	118.1%	41.3%	67.0%	12.8%	5.1%	10.2M	783.2M	-15.5M	0.84	2.46	205,441	171,946	7,446,052	4,937,852