BAC Options History — December 2011

In December 2011, BAC traded between $4.99 and $5.89. ATM implied volatility averaged 60.8%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 9.9% (HV 20d: 50.8%). Max pain ranged from $6.00 to $10.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2011-12-19: Highest Volume — 602,150 contracts
2011-12-12: Largest IV spike — 31.3% change
2011-12-12: Highest IV Rank — 38.9%
2011-12-08: Largest Expected Move — 20.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.46	$4.99	$5.89	$5.53	$5.56
Max Pain	$8.55	$6.00	$10.00	$6.00	$7.50
ATM IV	60.8%	48.4%	78.5%	72.5%	49.8%
Expected Move	16.8%	13.8%	20.1%	18.7%	13.8%
HV 20d	50.8%	47.1%	53.7%	53.7%	47.2%
HV 60d	67.9%	63.7%	70.1%	69.3%	63.8%
IV Rank	27.5%	19.5%	38.9%	35.1%	20.4%
IV Percentile	68.6%	59.5%	85.3%	78.6%	60.3%
Term Structure	0.2%	-3.9%	3.6%	3.6%	2.7%
VWIV	60.2%	49.6%	75.4%	69.0%	51.1%
Skew 25d	6.2%	1.4%	12.7%	12.7%	3.0%
Skew 10d	11.9%	1.3%	27.5%	27.4%	4.1%
Call IV 25d	59.1%	49.3%	72.8%	66.7%	50.6%
Put IV 25d	65.4%	53.6%	79.3%	79.3%	53.6%
Bid-Ask Spread %	2.52	1.52	5.03	2.45	2.77
Gamma HHI	0.20	0.15	0.33	0.16	0.19
Net GEX	387.5K	-4.2M	5.0M	427.8K	2.0M
Net DEX	987.7M	763.5M	1.15B	1.02B	811.8M
Net VEX	-6.9M	-7.9M	-6.1M	-7.5M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.34	2.45	0.41	0.79
Total Volume	315,013.667	135,893	602,150	445,765	256,646
Total OI	12,227,610.905	11,488,652	12,806,860	12,224,420	11,871,448

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
2011-12-01	$5.53	$6.00	72.5%	18.7%	53.7%	35.1%	69.0%	12.7%	3.6%	427.8K	1.02B	-7.5M	0.41	2.45	316,332	129,433	7,560,259	4,664,161
2011-12-02	$5.64	$6.00	67.7%	17.9%	53.0%	32.0%	65.1%	6.9%	3.3%	2.2M	994.7M	-7.4M	0.73	2.35	257,497	187,112	7,680,963	4,695,733
2011-12-05	$5.79	$10.00	70.3%	19.1%	50.6%	33.6%	67.4%	10.7%	-3.9%	3.2M	990.3M	-7.7M	0.58	2.65	192,551	111,116	7,678,761	4,699,684
2011-12-06	$5.78	$10.00	74.0%	18.4%	50.6%	36.0%	66.3%	8.2%	-2.3%	3.2M	1.03B	-7.4M	0.53	2.49	188,524	99,244	7,720,169	4,726,967
2011-12-07	$5.89	$10.00	67.2%	19.1%	51.0%	31.6%	68.1%	5.6%	-3.2%	5.0M	912.6M	-7.9M	0.34	1.70	327,065	112,107	7,765,197	4,731,317
2011-12-08	$5.59	$10.00	75.2%	20.1%	50.2%	36.8%	75.4%	5.0%	-3.3%	1.9M	1.02B	-7.5M	0.75	2.42	167,502	125,504	7,860,476	4,765,534
2011-12-09	$5.72	$10.00	59.8%	18.2%	50.7%	26.8%	65.7%	3.1%	-1.8%	3.1M	1.00B	-7.6M	0.60	1.52	145,537	86,677	7,891,006	4,822,947
2011-12-12	$5.45	$10.00	78.5%	19.0%	51.7%	38.9%	67.2%	1.4%	0.3%	-547.8K	1.13B	-6.8M	0.50	1.60	180,951	90,074	7,852,919	4,793,585
2011-12-13	$5.32	$10.00	70.4%	18.7%	51.6%	33.7%	65.0%	3.9%	-0.5%	-1.0M	1.15B	-6.6M	1.22	2.44	162,361	197,317	7,948,074	4,826,621
2011-12-14	$5.23	$9.00	62.2%	18.2%	51.2%	28.4%	62.9%	6.2%	0.8%	-4.2M	1.14B	-6.5M	0.94	1.56	136,845	128,734	7,973,115	4,765,114
2011-12-15	$5.26	$9.00	59.4%	17.0%	50.1%	26.6%	58.6%	7.9%	1.8%	-2.3M	1.12B	-6.6M	2.45	1.60	97,013	238,140	7,995,080	4,741,927
2011-12-16	$5.20	$9.00	54.7%	15.7%	50.0%	23.5%	55.9%	5.0%	2.6%	-3.2M	1.15B	-6.4M	0.73	2.37	136,124	99,576	8,005,384	4,801,476
2011-12-19	$4.99	$9.00	59.3%	17.0%	51.6%	26.5%	60.7%	11.9%	-0.1%	-2.3M	1.09B	-6.1M	0.73	1.84	347,454	254,696	7,235,178	4,253,474
2011-12-20	$5.17	$9.00	54.7%	15.7%	50.9%	23.5%	54.6%	8.1%	0.6%	-2.3M	1.07B	-6.1M	0.54	2.60	202,043	108,501	7,452,588	4,392,869
2011-12-21	$5.23	$7.50	52.0%	14.9%	50.7%	21.8%	52.2%	7.1%	1.3%	-1.8M	917.7M	-6.3M	0.97	5.03	185,268	180,355	7,489,711	4,186,802
2011-12-22	$5.47	$7.50	49.4%	14.2%	50.6%	20.1%	52.2%	5.9%	1.3%	693.1K	844.0M	-6.8M	0.48	4.20	248,379	118,262	7,558,099	4,221,012
2011-12-23	$5.60	$7.50	48.4%	13.9%	51.1%	19.5%	49.6%	5.2%	1.1%	2.6M	763.5M	-7.4M	0.42	3.84	171,386	71,211	7,608,658	4,208,749
2011-12-27	$5.48	$7.50	50.1%	14.4%	51.7%	20.6%	50.9%	3.5%	-0.4%	1.0M	849.8M	-6.7M	0.65	2.72	82,119	53,774	7,586,401	4,161,882
2011-12-28	$5.29	$7.50	51.4%	14.7%	51.9%	21.4%	54.5%	5.5%	-1.0%	-385.1K	890.6M	-6.3M	0.45	2.18	154,301	69,550	7,606,166	4,152,189
2011-12-29	$5.46	$7.50	49.0%	14.1%	47.1%	19.9%	52.6%	3.9%	1.0%	884.2K	855.2M	-6.4M	0.36	2.51	145,772	52,234	7,666,816	4,161,318
2011-12-30	$5.56	$7.50	49.8%	13.8%	47.2%	20.4%	51.1%	3.0%	2.7%	2.0M	811.8M	-6.9M	0.79	2.77	143,677	112,969	7,705,686	4,165,762