BAC Options History — January 2012

In January 2012, BAC traded between $5.80 and $7.35. ATM implied volatility averaged 51.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 0.2% (HV 20d: 50.9%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2012-01-05: Highest Volume — 1,110,418 contracts
2012-01-12: Largest IV drop — 14.0% change
2012-01-10: Highest IV Rank — 28.1%
2012-01-17: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.76	$5.80	$7.35	$5.80	$7.13
Max Pain	$7.08	$7.00	$7.50	$7.50	$7.00
ATM IV	51.0%	41.9%	61.7%	59.8%	47.8%
Expected Move	13.6%	12.0%	16.0%	14.4%	12.6%
HV 20d	50.9%	44.5%	56.7%	49.0%	47.0%
HV 60d	58.4%	50.7%	62.0%	62.0%	50.7%
IV Rank	21.2%	15.3%	28.1%	26.8%	19.1%
IV Percentile	57.2%	49.2%	65.9%	65.1%	52.4%
Term Structure	0.6%	-3.2%	3.2%	-3.2%	3.2%
VWIV	48.2%	42.1%	56.4%	50.4%	44.1%
Skew 25d	3.0%	-2.6%	6.8%	-2.6%	6.1%
Skew 10d	5.2%	-3.1%	14.7%	-3.1%	8.4%
Call IV 25d	48.3%	41.2%	59.0%	56.0%	44.4%
Put IV 25d	51.4%	45.8%	57.3%	53.4%	50.5%
Bid-Ask Spread %	3.04	1.31	6.18	2.52	1.31
Gamma HHI	0.18	0.15	0.23	0.21	0.16
Net GEX	11.8M	5.4M	16.6M	5.4M	11.2M
Net DEX	34.3M	-411.9M	684.1M	684.1M	-222.1M
Net VEX	-9.1M	-10.1M	-7.0M	-7.0M	-9.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.40	1.22	0.47	0.67
Total Volume	468,234.7	236,934	1,110,418	689,504	273,738
Total OI	10,946,878.5	7,635,472	13,184,876	11,887,515	8,104,834

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
2012-01-03	$5.80	$7.50	59.8%	14.4%	49.0%	26.8%	50.4%	-2.6%	-3.2%	5.4M	684.1M	-7.0M	0.47	2.52	469,406	220,098	7,720,074	4,167,441
2012-01-04	$5.81	$7.50	58.0%	14.5%	48.2%	25.7%	51.3%	-0.9%	-1.2%	6.1M	662.3M	-7.2M	0.47	4.34	397,927	186,119	7,765,079	4,187,394
2012-01-05	$6.31	$7.50	59.7%	15.9%	56.3%	26.8%	56.4%	-1.8%	-3.0%	11.0M	291.0M	-8.5M	0.80	3.30	615,999	494,419	8,058,293	4,210,719
2012-01-06	$6.18	$7.00	54.4%	14.4%	56.7%	23.4%	51.6%	2.1%	-0.0%	9.8M	409.8M	-8.1M	0.80	4.25	238,136	189,706	8,154,286	4,397,672
2012-01-09	$6.27	$7.00	59.2%	14.4%	53.0%	26.4%	49.8%	4.3%	-1.5%	10.2M	350.3M	-8.6M	0.68	6.18	190,181	129,296	8,128,451	4,374,874
2012-01-10	$6.63	$7.00	61.7%	13.7%	55.6%	28.1%	48.9%	0.8%	0.5%	10.7M	117.9M	-8.8M	0.49	2.97	402,858	196,842	8,160,084	4,350,607
2012-01-11	$6.87	$7.00	57.7%	13.8%	52.4%	25.5%	50.0%	4.1%	1.2%	16.6M	-22.3M	-9.3M	0.40	2.80	357,442	144,308	8,259,777	4,406,042
2012-01-12	$6.79	$7.00	49.6%	14.2%	51.4%	20.2%	51.4%	3.2%	-0.4%	16.3M	25.6M	-9.4M	0.60	2.64	356,747	212,330	8,311,638	4,449,812
2012-01-13	$6.61	$7.00	49.5%	14.2%	52.3%	20.2%	52.0%	4.5%	0.8%	12.6M	144.5M	-9.4M	0.58	2.42	193,076	111,273	8,376,411	4,508,799
2012-01-17	$6.48	$7.00	55.7%	16.0%	53.4%	24.2%	54.3%	4.5%	-0.6%	11.3M	233.3M	-8.9M	1.22	5.11	173,181	212,053	8,358,614	4,470,118
2012-01-18	$6.80	$7.00	50.7%	14.5%	54.4%	21.0%	54.3%	6.3%	-0.2%	14.5M	40.7M	-9.4M	0.89	4.90	207,017	183,518	8,394,024	4,548,211
2012-01-19	$6.96	$7.00	45.0%	12.9%	50.5%	17.3%	46.3%	1.1%	1.4%	10.4M	-11.6M	-9.3M	0.82	2.62	476,204	390,550	8,402,325	4,583,014
2012-01-20	$7.07	$7.00	42.2%	12.1%	50.0%	15.5%	43.5%	1.4%	2.5%	11.3M	-23.2M	-9.4M	0.67	2.35	176,186	118,843	8,450,316	4,734,560
2012-01-23	$7.25	$7.00	43.6%	12.5%	50.1%	16.4%	43.5%	5.0%	2.3%	12.7M	-282.3M	-9.3M	0.53	2.77	354,310	188,912	4,410,725	3,224,747
2012-01-24	$7.29	$7.00	42.8%	12.3%	49.0%	15.9%	42.8%	3.9%	2.4%	13.7M	-368.8M	-10.0M	0.44	1.50	193,220	85,930	4,475,501	3,246,003
2012-01-25	$7.35	$7.00	43.3%	12.4%	49.0%	16.2%	43.1%	5.0%	1.7%	14.7M	-411.9M	-10.1M	0.53	2.06	155,266	81,668	4,551,369	3,280,387
2012-01-26	$7.30	$7.00	41.9%	12.0%	47.8%	15.3%	42.1%	3.6%	2.6%	14.1M	-349.7M	-9.6M	0.46	2.24	210,664	97,097	4,580,446	3,306,670
2012-01-27	$7.29	$7.00	46.4%	12.6%	44.5%	18.2%	43.8%	6.8%	1.3%	13.5M	-379.9M	-10.1M	1.21	2.73	118,266	142,724	4,595,413	3,336,628
2012-01-30	$7.07	$7.00	51.9%	12.7%	47.1%	21.8%	44.5%	3.6%	1.7%	10.7M	-201.3M	-9.3M	0.83	1.72	229,657	189,527	4,565,948	3,330,264
2012-01-31	$7.13	$7.00	47.8%	12.6%	47.0%	19.1%	44.1%	6.1%	3.2%	11.2M	-222.1M	-9.7M	0.67	1.31	163,978	109,760	4,672,636	3,432,198