BAC Options History — March 2012

In March 2012, BAC traded between $7.71 and $9.93. ATM implied volatility averaged 40.2%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 1.1% (HV 20d: 41.3%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2012-03-19: Highest Volume — 1,707,069 contracts
2012-03-06: Largest IV spike — 42.1% change
2012-03-06: Highest IV Rank — 21.0%
2012-03-20: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.97	$7.71	$9.93	$8.12	$9.57
Max Pain	$7.55	$7.00	$8.00	$8.00	$8.00
ATM IV	40.2%	31.3%	50.8%	33.1%	37.1%
Expected Move	11.6%	9.8%	13.0%	9.9%	11.8%
HV 20d	41.3%	33.1%	48.0%	36.7%	47.9%
HV 60d	43.6%	41.8%	44.8%	44.1%	43.4%
IV Rank	14.2%	8.5%	21.0%	9.6%	12.2%
IV Percentile	38.4%	20.6%	56.7%	27.4%	31.0%
Term Structure	-0.0%	-2.2%	3.9%	3.8%	0.6%
VWIV	41.7%	34.4%	46.3%	35.0%	43.5%
Skew 25d	2.4%	-1.4%	5.6%	3.9%	3.8%
Skew 10d	5.9%	-0.3%	10.5%	8.9%	10.5%
Call IV 25d	41.7%	35.9%	46.8%	37.5%	42.8%
Put IV 25d	44.0%	38.8%	47.2%	41.4%	46.6%
Bid-Ask Spread %	2.03	1.46	2.77	2.14	1.88
Gamma HHI	0.22	0.13	0.38	0.15	0.22
Net GEX	27.5M	10.7M	40.4M	15.2M	33.5M
Net DEX	-1.29B	-2.24B	-304.4M	-635.9M	-1.56B
Net VEX	-13.8M	-16.5M	-11.2M	-12.0M	-16.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.27	1.19	1.09	0.45
Total Volume	613,756.545	247,232	1,707,069	278,605	268,715
Total OI	9,119,923.909	8,483,978	10,123,124	8,483,978	10,123,124

Daily Data (22 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
2012-03-01	$8.12	$8.00	33.1%	9.9%	36.7%	9.6%	35.0%	3.9%	3.8%	15.2M	-635.9M	-12.0M	1.09	2.14	133,235	145,370	4,725,926	3,758,052
2012-03-02	$8.13	$8.00	33.4%	9.8%	36.6%	9.8%	34.4%	2.9%	3.9%	16.6M	-688.7M	-12.1M	0.98	1.70	186,304	183,252	4,779,065	3,769,340
2012-03-05	$7.97	$7.00	35.8%	11.0%	33.1%	11.3%	39.5%	4.3%	0.4%	14.5M	-543.8M	-11.8M	1.19	2.12	126,085	149,790	4,773,784	3,786,598
2012-03-06	$7.71	$7.00	50.8%	11.9%	34.7%	21.0%	43.0%	3.5%	-0.3%	10.7M	-304.4M	-11.2M	1.07	1.80	188,520	201,606	4,805,299	3,793,622
2012-03-07	$8.02	$7.00	31.5%	10.7%	37.2%	8.6%	38.7%	5.6%	2.0%	17.6M	-581.7M	-11.9M	0.54	2.66	178,942	96,471	4,841,132	3,771,140
2012-03-08	$8.06	$7.00	32.9%	10.9%	35.0%	9.5%	38.5%	4.7%	1.1%	20.4M	-646.7M	-11.9M	0.51	2.21	184,001	93,529	4,876,030	3,787,557
2012-03-09	$8.05	$7.00	31.3%	10.4%	34.9%	8.5%	37.1%	3.2%	1.5%	18.7M	-662.5M	-11.9M	0.54	2.14	272,128	147,811	4,929,800	3,819,365
2012-03-12	$7.99	$7.00	36.0%	10.5%	34.7%	11.5%	38.0%	4.3%	0.9%	17.5M	-550.0M	-11.4M	0.60	2.24	154,840	92,392	4,959,597	3,828,226
2012-03-13	$8.49	$7.00	48.4%	11.9%	40.3%	19.5%	41.0%	3.9%	-1.7%	24.1M	-1.05B	-12.1M	0.47	1.96	553,052	260,202	4,986,105	3,857,497
2012-03-14	$8.84	$7.00	40.1%	10.9%	40.4%	14.1%	39.9%	1.5%	-1.2%	40.4M	-1.36B	-12.4M	0.27	2.77	768,920	210,021	5,135,448	3,931,542
2012-03-15	$9.24	$7.00	39.8%	11.4%	40.9%	13.9%	40.6%	2.8%	-0.7%	37.9M	-1.78B	-13.2M	0.27	2.31	796,048	213,234	5,158,646	3,938,938
2012-03-16	$9.80	$7.00	41.7%	12.0%	43.4%	15.2%	42.9%	2.8%	-0.8%	31.7M	-2.24B	-14.0M	0.29	1.99	1,058,742	303,146	5,172,024	4,009,675
2012-03-19	$9.53	$8.00	44.8%	12.8%	45.0%	17.2%	46.2%	0.0%	-1.9%	28.9M	-1.61B	-14.2M	0.47	2.06	1,157,647	549,422	4,943,123	3,583,091
2012-03-20	$9.81	$8.00	45.2%	13.0%	45.6%	17.4%	46.3%	0.1%	-1.1%	32.4M	-1.81B	-15.0M	0.39	2.01	519,943	202,425	5,096,298	3,840,488
2012-03-21	$9.82	$8.00	42.8%	12.3%	44.4%	15.8%	44.0%	-1.4%	-1.3%	35.7M	-1.79B	-15.0M	0.39	1.89	550,879	216,704	5,189,945	3,911,254
2012-03-22	$9.60	$8.00	45.1%	12.9%	45.9%	17.4%	46.1%	0.6%	-1.4%	28.8M	-1.58B	-15.4M	0.28	1.98	698,932	193,786	5,339,922	3,999,358
2012-03-23	$9.85	$8.00	43.3%	12.4%	45.2%	16.2%	45.4%	0.0%	-0.6%	34.2M	-1.89B	-16.4M	0.46	1.82	365,214	166,581	5,747,060	4,041,209
2012-03-26	$9.93	$8.00	42.8%	12.3%	45.0%	15.9%	44.6%	2.0%	-1.0%	38.7M	-1.97B	-16.5M	0.31	1.93	390,636	119,310	5,724,387	4,015,740
2012-03-27	$9.60	$8.00	43.8%	12.5%	47.7%	16.5%	44.9%	-0.6%	-2.2%	35.8M	-1.68B	-16.0M	0.42	2.06	392,442	163,417	5,820,068	4,036,229
2012-03-28	$9.75	$8.00	42.2%	12.1%	46.7%	15.5%	43.6%	1.8%	0.0%	37.8M	-1.79B	-16.4M	0.39	1.46	292,153	113,545	5,863,940	4,095,107
2012-03-29	$9.53	$8.00	43.5%	12.5%	48.0%	16.3%	44.9%	2.1%	-0.4%	33.0M	-1.58B	-16.1M	0.49	1.57	297,612	145,640	5,970,171	4,103,404
2012-03-30	$9.57	$8.00	37.1%	11.8%	47.9%	12.2%	43.5%	3.8%	0.6%	33.5M	-1.56B	-16.0M	0.45	1.88	185,674	83,041	5,962,012	4,161,112