BAC Options History — October 2011

In October 2011, BAC traded between $5.53 and $7.35. ATM implied volatility averaged 79.4%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded above realized volatility by 0.2% (HV 20d: 79.2%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2011-10-03: Highest Volume — 702,315 contracts
2011-10-27: Largest IV drop — 27.9% change
2011-10-03: Highest IV Rank — 72.2%
2011-10-03: Largest Expected Move — 31.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.38	$5.53	$7.35	$5.53	$6.83
Max Pain	$9.33	$8.00	$10.00	$8.00	$9.00
ATM IV	79.4%	48.2%	130.0%	130.0%	67.2%
Expected Move	21.8%	13.7%	31.0%	31.0%	17.3%
HV 20d	79.2%	65.0%	88.4%	68.9%	79.7%
HV 60d	87.1%	81.3%	91.8%	81.3%	90.5%
IV Rank	39.5%	19.3%	72.2%	72.2%	31.6%
IV Percentile	86.2%	74.2%	98.8%	98.8%	79.8%
Term Structure	-3.1%	-11.8%	6.4%	-11.8%	-2.6%
VWIV	78.0%	48.4%	119.3%	119.3%	63.6%
Skew 25d	17.3%	4.3%	32.3%	28.2%	4.3%
Skew 10d	34.7%	6.6%	62.2%	62.2%	6.6%
Call IV 25d	69.3%	51.9%	103.5%	103.5%	61.2%
Put IV 25d	86.6%	60.3%	131.8%	131.8%	65.4%
Bid-Ask Spread %	3.83	1.89	6.64	2.18	6.64
Gamma HHI	0.12	0.10	0.14	0.14	0.12
Net GEX	1.4M	-1.5M	8.4M	-1.4M	4.1M
Net DEX	1.21B	829.0M	1.35B	1.35B	1.07B
Net VEX	-9.3M	-10.7M	-8.3M	-8.3M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.28	2.18	1.70	0.94
Total Volume	384,018.714	117,749	702,315	702,315	236,611
Total OI	12,220,654.619	11,254,513	12,938,958	11,846,197	12,094,623

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
2011-10-03	$5.53	$8.00	130.0%	31.0%	68.9%	72.2%	119.3%	28.2%	-11.8%	-1.4M	1.35B	-8.3M	1.70	2.18	259,773	442,542	7,107,922	4,738,275
2011-10-04	$5.76	$8.00	116.8%	27.8%	70.9%	63.6%	102.1%	32.3%	-2.5%	-1.5M	1.33B	-8.9M	1.16	2.62	315,155	364,232	7,150,157	4,880,934
2011-10-05	$5.77	$8.00	102.3%	25.7%	65.0%	54.3%	96.9%	22.1%	-4.4%	-846.1K	1.31B	-8.8M	1.17	1.89	209,836	246,332	7,219,942	4,896,399
2011-10-06	$6.28	$8.00	86.4%	24.9%	72.8%	44.0%	86.8%	26.8%	-3.8%	659.4K	1.25B	-9.8M	0.80	2.40	236,240	188,913	7,266,610	4,961,648
2011-10-07	$5.90	$10.00	76.5%	24.2%	75.0%	37.6%	89.4%	21.2%	-2.4%	-1.2M	1.31B	-8.9M	1.46	3.40	163,457	238,686	7,301,626	4,996,637
2011-10-10	$6.28	$10.00	94.3%	24.3%	78.9%	49.1%	81.7%	25.9%	-5.4%	-349.4K	1.31B	-9.3M	0.55	2.09	132,274	72,099	7,265,013	4,897,013
2011-10-11	$6.37	$10.00	97.9%	23.9%	79.3%	51.4%	82.9%	25.2%	-3.6%	251.2K	1.27B	-9.2M	2.18	2.84	104,032	226,494	7,301,065	4,832,804
2011-10-12	$6.58	$10.00	72.7%	23.6%	80.3%	35.1%	77.7%	22.2%	-11.1%	1.2M	1.22B	-9.8M	0.93	2.11	321,817	299,458	7,327,779	4,962,903
2011-10-13	$6.22	$10.00	75.9%	21.8%	80.7%	37.2%	76.9%	16.3%	0.2%	-982.2K	1.30B	-9.1M	1.67	2.82	126,067	210,554	7,445,288	5,033,281
2011-10-14	$6.19	$10.00	76.4%	21.9%	80.7%	37.6%	73.2%	15.7%	-1.6%	-956.2K	1.30B	-9.0M	0.58	3.19	198,229	115,671	7,459,703	5,088,661
2011-10-17	$6.03	$10.00	73.9%	21.2%	80.4%	35.9%	109.4%	12.5%	-0.9%	-1.4M	1.30B	-9.0M	0.43	4.11	82,223	35,526	7,426,015	5,056,478
2011-10-18	$6.64	$9.00	70.3%	20.2%	88.4%	33.6%	64.0%	17.8%	-7.2%	4.1M	1.17B	-9.4M	0.28	4.22	225,779	62,941	6,989,205	4,265,308
2011-10-19	$6.40	$10.00	74.0%	21.2%	84.8%	36.0%	74.7%	12.0%	1.6%	1.6M	1.22B	-9.5M	1.69	3.42	187,903	317,032	7,605,665	5,117,353
2011-10-20	$6.47	$10.00	74.9%	21.5%	82.6%	36.6%	75.8%	15.2%	1.2%	530.1K	1.25B	-9.5M	1.70	3.95	108,371	183,887	7,603,363	5,287,497
2011-10-21	$6.46	$10.00	73.6%	21.1%	81.4%	35.8%	69.2%	13.7%	0.2%	1.0M	1.27B	-9.4M	0.71	4.01	191,461	135,267	7,636,021	5,302,937
2011-10-24	$6.72	$10.00	68.0%	19.5%	81.0%	32.1%	64.7%	10.1%	-10.9%	2.8M	1.12B	-9.5M	0.58	5.09	285,055	165,599	7,090,435	4,674,001
2011-10-25	$6.46	$9.00	67.9%	19.5%	82.1%	32.0%	67.4%	11.1%	-1.0%	2.6M	1.12B	-9.2M	1.73	5.52	79,326	137,535	7,258,508	4,738,128
2011-10-26	$6.59	$9.00	66.8%	19.1%	80.1%	31.3%	63.7%	11.8%	-10.4%	3.2M	1.12B	-9.1M	1.01	5.68	81,884	82,623	7,276,814	4,757,657
2011-10-27	$7.22	$9.00	48.2%	13.8%	85.5%	19.3%	51.1%	10.5%	5.2%	6.7M	896.5M	-10.4M	0.39	6.09	446,415	175,356	7,310,964	4,793,915
2011-10-28	$7.35	$9.00	53.2%	13.7%	84.1%	22.6%	48.4%	8.3%	6.4%	8.4M	829.0M	-10.7M	0.32	6.25	281,851	89,887	7,404,893	4,810,307
2011-10-31	$6.83	$9.00	67.2%	17.3%	79.7%	31.6%	63.6%	4.3%	-2.6%	4.1M	1.07B	-9.4M	0.94	6.64	122,262	114,349	7,318,421	4,776,202