BAC Options History — November 2011

In November 2011, BAC traded between $5.08 and $6.91. ATM implied volatility averaged 72.4%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 1.2% (HV 20d: 71.2%). Max pain ranged from $6.00 to $9.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2011-11-29: Highest Volume — 564,520 contracts
2011-11-04: Largest IV spike — 28.9% change
2011-11-28: Highest IV Rank — 49.3%
2011-11-25: Largest Expected Move — 23.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.93	$5.08	$6.91	$6.40	$5.44
Max Pain	$6.90	$6.00	$9.00	$9.00	$6.00
ATM IV	72.4%	61.7%	94.7%	91.6%	69.8%
Expected Move	19.9%	15.8%	23.6%	21.6%	21.8%
HV 20d	71.2%	52.6%	84.5%	83.1%	56.9%
HV 60d	76.9%	69.4%	85.9%	85.9%	70.7%
IV Rank	34.9%	28.1%	49.3%	47.4%	33.3%
IV Percentile	81.4%	73.4%	94.8%	94.0%	77.0%
Term Structure	-0.3%	-16.2%	8.4%	-2.3%	1.2%
VWIV	69.2%	60.4%	82.3%	75.8%	70.5%
Skew 25d	12.1%	7.5%	16.1%	10.1%	13.5%
Skew 10d	22.5%	10.1%	29.0%	22.9%	22.8%
Call IV 25d	64.9%	54.6%	81.0%	70.4%	68.0%
Put IV 25d	77.1%	68.7%	92.3%	80.5%	81.5%
Bid-Ask Spread %	2.83	1.46	6.37	6.09	2.68
Gamma HHI	0.17	0.11	0.23	0.11	0.18
Net GEX	-1.4M	-4.5M	6.3M	1.8M	-243.7K
Net DEX	1.19B	1.02B	1.35B	1.12B	1.09B
Net VEX	-8.1M	-9.9M	-6.5M	-9.4M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.26	1.68	1.02	0.75
Total Volume	337,639.857	242,521	564,520	407,349	508,655
Total OI	12,308,986.762	11,319,014	13,013,521	12,247,478	12,142,437

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
2011-11-01	$6.40	$9.00	91.6%	21.6%	83.1%	47.4%	75.8%	10.1%	-2.3%	1.8M	1.12B	-9.4M	1.02	6.09	201,787	205,562	7,419,750	4,827,728
2011-11-02	$6.72	$9.00	70.7%	22.1%	84.5%	33.9%	71.2%	15.0%	-16.2%	4.3M	1.07B	-9.8M	1.24	5.48	125,718	155,812	7,452,085	4,891,350
2011-11-03	$6.91	$9.00	61.9%	15.8%	79.9%	28.2%	66.8%	16.1%	2.0%	6.3M	1.02B	-9.9M	1.07	6.37	134,548	143,435	7,473,129	4,959,675
2011-11-04	$6.49	$7.00	79.8%	20.0%	80.0%	39.7%	67.9%	14.4%	-1.9%	1.8M	1.11B	-9.9M	0.71	2.65	141,482	101,039	7,509,795	5,014,436
2011-11-07	$6.45	$7.00	76.3%	18.7%	77.1%	37.5%	63.4%	13.4%	1.7%	475.6K	1.15B	-9.4M	0.86	2.08	163,472	140,584	7,470,652	5,003,085
2011-11-08	$6.53	$7.00	63.7%	16.1%	77.0%	29.3%	60.8%	14.1%	8.4%	1.3M	1.17B	-9.1M	0.74	2.08	171,130	127,272	7,545,282	5,047,970
2011-11-09	$6.16	$7.00	73.5%	20.0%	78.9%	35.7%	68.4%	14.0%	-1.4%	-1.4M	1.23B	-8.7M	1.40	2.70	115,459	161,962	7,573,800	5,091,631
2011-11-10	$6.03	$7.00	69.5%	19.9%	76.7%	33.1%	70.0%	12.7%	-1.7%	-4.2M	1.27B	-8.4M	0.79	2.32	143,761	114,193	7,565,455	5,135,143
2011-11-11	$6.21	$7.00	64.8%	18.6%	77.5%	30.1%	60.4%	15.5%	1.1%	-2.1M	1.25B	-8.6M	0.72	2.77	153,957	111,508	7,622,596	5,119,253
2011-11-14	$6.05	$7.00	62.6%	17.9%	77.4%	28.6%	62.4%	10.5%	2.2%	-3.8M	1.27B	-8.2M	0.89	2.66	133,345	118,424	7,588,410	5,105,615
2011-11-15	$6.13	$7.00	61.7%	17.7%	68.9%	28.1%	61.5%	11.3%	3.0%	-3.8M	1.29B	-7.8M	0.83	2.50	158,461	131,862	7,633,739	5,138,379
2011-11-16	$5.90	$7.00	65.6%	18.8%	69.0%	30.6%	66.2%	10.1%	0.0%	-4.5M	1.30B	-7.6M	1.29	2.65	113,446	146,266	7,695,758	5,088,861
2011-11-17	$5.80	$7.00	68.0%	19.5%	68.9%	32.1%	71.0%	8.8%	0.4%	-4.4M	1.29B	-7.9M	1.68	2.58	160,615	269,609	7,728,021	5,129,536
2011-11-18	$5.78	$6.00	62.1%	17.8%	68.9%	28.3%	65.2%	9.8%	2.2%	-3.6M	1.35B	-7.5M	1.17	2.03	205,199	240,543	7,781,716	5,231,805
2011-11-21	$5.49	$6.00	70.9%	20.3%	68.6%	34.0%	66.3%	8.7%	2.0%	-3.1M	1.13B	-7.1M	0.52	2.05	198,897	103,426	6,839,386	4,479,628
2011-11-22	$5.37	$6.00	68.5%	19.6%	67.9%	32.5%	66.1%	10.4%	2.9%	-3.6M	1.17B	-6.8M	0.81	2.04	181,568	146,335	6,894,305	4,505,610
2011-11-23	$5.14	$6.00	77.4%	22.2%	68.0%	38.2%	77.5%	7.5%	-2.2%	-3.5M	1.18B	-6.5M	0.59	2.14	279,726	164,374	6,942,353	4,536,809
2011-11-25	$5.17	$6.00	81.8%	23.6%	56.5%	41.1%	82.3%	11.1%	-5.3%	-2.8M	1.17B	-6.5M	0.26	1.95	219,216	56,029	7,082,694	4,577,803
2011-11-28	$5.25	$6.00	94.7%	22.9%	56.3%	49.3%	78.5%	14.0%	-2.7%	-2.0M	1.13B	-6.7M	0.45	2.22	260,807	116,433	7,175,487	4,566,128
2011-11-29	$5.08	$6.00	84.8%	23.4%	52.6%	43.0%	80.9%	13.7%	-0.8%	-2.2M	1.15B	-6.5M	0.52	1.46	370,761	193,759	7,309,825	4,591,602
2011-11-30	$5.44	$6.00	69.8%	21.8%	56.9%	33.3%	70.5%	13.5%	1.2%	-243.7K	1.09B	-6.9M	0.75	2.68	290,733	217,922	7,493,917	4,648,520