BAC Options History — February 2012

In February 2012, BAC traded between $7.36 and $8.25. ATM implied volatility averaged 43.5%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 5.1% (HV 20d: 38.5%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2012-02-08: Highest Volume — 969,633 contracts
2012-02-27: Largest IV spike — 24.4% change
2012-02-01: Highest IV Rank — 26.2%
2012-02-10: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.95	$7.36	$8.25	$7.36	$7.97
Max Pain	$7.05	$7.00	$8.00	$7.00	$8.00
ATM IV	43.5%	31.0%	58.8%	58.8%	35.6%
Expected Move	12.1%	9.8%	13.2%	13.0%	9.8%
HV 20d	38.5%	34.6%	46.3%	46.3%	37.6%
HV 60d	47.7%	43.9%	50.8%	50.8%	44.1%
IV Rank	16.4%	8.3%	26.2%	26.2%	11.2%
IV Percentile	45.5%	21.4%	62.3%	62.3%	34.1%
Term Structure	1.8%	-1.3%	4.4%	4.1%	4.4%
VWIV	43.1%	34.6%	48.8%	44.5%	34.6%
Skew 25d	5.4%	0.9%	8.4%	2.9%	0.9%
Skew 10d	10.5%	3.2%	16.8%	4.4%	3.2%
Call IV 25d	41.9%	36.1%	45.6%	44.0%	38.8%
Put IV 25d	47.3%	39.7%	52.0%	47.0%	39.7%
Bid-Ask Spread %	2.29	1.51	4.30	2.65	1.58
Gamma HHI	0.17	0.14	0.22	0.16	0.15
Net GEX	16.8M	12.0M	23.0M	13.8M	14.5M
Net DEX	-725.0M	-1.07B	-415.5M	-415.5M	-526.1M
Net VEX	-11.7M	-12.6M	-10.3M	-10.3M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.42	1.24	0.44	1.24
Total Volume	497,779.75	291,716	969,633	485,192	389,344
Total OI	8,656,028.45	8,075,059	9,487,431	8,184,827	8,355,503

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
2012-02-01	$7.36	$7.00	58.8%	13.0%	46.3%	26.2%	44.5%	2.9%	4.1%	13.8M	-415.5M	-10.3M	0.44	2.65	337,231	147,961	4,749,178	3,435,649
2012-02-02	$7.45	$7.00	44.9%	12.8%	46.1%	17.2%	44.0%	1.8%	2.4%	15.8M	-507.8M	-10.5M	0.50	1.93	194,729	96,987	4,843,663	3,483,368
2012-02-03	$7.84	$7.00	43.2%	12.6%	40.8%	16.1%	45.7%	7.4%	-0.9%	19.0M	-741.5M	-10.6M	0.51	2.02	517,814	265,183	4,914,606	3,513,310
2012-02-06	$7.97	$7.00	50.5%	12.8%	39.1%	20.8%	45.6%	5.3%	1.0%	21.4M	-851.2M	-10.9M	0.43	4.30	250,966	107,307	4,967,149	3,561,326
2012-02-07	$7.85	$7.00	52.8%	13.0%	40.3%	22.3%	47.3%	4.4%	-1.3%	21.0M	-792.7M	-11.0M	0.82	2.95	266,755	218,717	5,012,264	3,603,749
2012-02-08	$8.13	$7.00	45.0%	12.6%	37.9%	17.3%	44.6%	7.1%	-0.1%	23.0M	-1.01B	-11.7M	0.59	4.06	610,441	359,192	5,085,412	3,740,969
2012-02-09	$8.18	$7.00	45.9%	13.2%	36.7%	17.9%	46.0%	5.7%	-0.1%	21.7M	-1.07B	-12.1M	0.64	2.24	519,159	332,149	5,137,825	3,855,097
2012-02-10	$8.07	$7.00	46.1%	13.2%	36.8%	18.0%	46.5%	6.8%	0.8%	17.5M	-944.5M	-12.6M	1.14	4.07	185,228	210,828	5,189,892	3,977,624
2012-02-13	$8.25	$7.00	45.2%	13.0%	34.6%	17.4%	44.8%	5.5%	0.6%	19.0M	-1.03B	-12.1M	0.58	2.00	297,056	173,336	5,165,187	3,934,714
2012-02-14	$7.98	$7.00	45.0%	12.9%	36.5%	17.3%	45.8%	6.1%	1.3%	16.1M	-810.0M	-12.0M	1.19	2.38	227,658	271,971	5,258,956	3,992,502
2012-02-15	$7.78	$7.00	45.8%	13.1%	35.7%	17.8%	48.8%	6.2%	2.9%	13.7M	-592.6M	-12.1M	0.85	1.73	308,297	263,161	5,274,780	4,049,847
2012-02-16	$8.09	$7.00	45.5%	13.0%	37.1%	17.6%	48.0%	8.4%	1.6%	15.9M	-872.8M	-12.5M	0.90	2.48	272,905	246,547	5,271,465	4,131,978
2012-02-17	$8.02	$7.00	41.6%	11.9%	37.4%	15.1%	43.1%	7.0%	3.2%	16.4M	-770.5M	-12.1M	0.47	1.57	382,071	178,504	5,291,504	4,195,927
2012-02-21	$8.11	$7.00	40.7%	11.7%	36.8%	14.5%	41.5%	5.8%	2.3%	16.7M	-729.5M	-12.4M	0.66	1.61	325,840	216,351	4,567,213	3,507,846
2012-02-22	$7.95	$7.00	40.4%	11.6%	37.9%	14.3%	41.2%	2.9%	3.5%	14.9M	-582.0M	-12.0M	0.68	1.98	195,977	132,558	4,622,246	3,563,589
2012-02-23	$8.02	$7.00	38.6%	11.1%	37.9%	13.2%	39.4%	5.8%	2.1%	12.8M	-554.4M	-11.8M	0.94	1.57	161,910	152,267	4,538,269	3,585,197
2012-02-24	$7.88	$7.00	31.0%	10.2%	38.5%	8.3%	35.8%	3.0%	3.2%	12.0M	-446.1M	-11.3M	0.87	1.51	209,714	182,890	4,612,952	3,630,984
2012-02-27	$8.04	$7.00	38.6%	10.6%	38.9%	13.2%	37.7%	8.2%	1.7%	13.5M	-561.5M	-11.8M	0.42	1.64	279,065	116,360	4,596,806	3,597,962
2012-02-28	$8.12	$7.00	35.6%	10.3%	36.6%	11.2%	36.0%	6.2%	3.7%	18.1M	-687.6M	-12.0M	0.71	1.59	205,188	145,978	4,685,045	3,619,016
2012-02-29	$7.97	$8.00	35.6%	9.8%	37.6%	11.2%	34.6%	0.9%	4.4%	14.5M	-526.1M	-11.6M	1.24	1.58	173,751	215,593	4,679,532	3,675,971