BAC Options History — April 2012

In April 2012, BAC traded between $8.11 and $9.68. ATM implied volatility averaged 44.9%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.2% (HV 20d: 44.8%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2012-04-19: Highest Volume — 804,087 contracts
2012-04-03: Largest IV spike — 44.8% change
2012-04-10: Highest IV Rank — 32.5%
2012-04-10: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.74	$8.11	$9.68	$9.68	$8.11
Max Pain	$8.00	$8.00	$8.00	$8.00	$8.00
ATM IV	44.9%	35.5%	68.6%	40.5%	38.1%
Expected Move	12.5%	10.3%	14.6%	12.1%	10.5%
HV 20d	44.8%	40.8%	51.3%	46.8%	40.8%
HV 60d	42.0%	40.0%	43.7%	40.6%	42.8%
IV Rank	17.3%	11.2%	32.5%	14.4%	12.9%
IV Percentile	41.6%	23.0%	73.8%	37.3%	27.0%
Term Structure	-0.3%	-3.6%	2.4%	-1.5%	1.2%
VWIV	44.7%	36.1%	52.2%	42.7%	37.0%
Skew 25d	3.6%	-1.7%	7.9%	-1.7%	3.3%
Skew 10d	6.1%	-0.0%	12.0%	0.9%	5.4%
Call IV 25d	43.9%	35.8%	52.1%	44.7%	38.5%
Put IV 25d	47.5%	39.5%	52.9%	43.0%	41.8%
Bid-Ask Spread %	1.97	1.58	3.60	1.61	2.01
Gamma HHI	0.19	0.16	0.24	0.23	0.18
Net GEX	19.7M	5.2M	39.6M	36.5M	5.2M
Net DEX	-699.5M	-1.71B	75.1M	-1.71B	75.1M
Net VEX	-14.2M	-15.9M	-11.7M	-15.9M	-11.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.25	0.87	0.60	0.78
Total Volume	449,008.5	215,585	804,087	315,673	249,083
Total OI	10,284,330.3	9,687,353	10,999,998	10,040,744	9,887,167

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
2012-04-02	$9.68	$8.00	40.5%	12.1%	46.8%	14.4%	42.7%	-1.7%	-1.5%	36.5M	-1.71B	-15.9M	0.60	1.61	197,188	118,485	5,901,576	4,139,168
2012-04-03	$9.49	$8.00	58.7%	13.2%	45.4%	26.1%	45.2%	3.3%	-3.5%	34.1M	-1.50B	-15.5M	0.80	2.14	244,020	195,337	5,953,806	4,173,095
2012-04-04	$9.20	$8.00	46.2%	13.4%	46.3%	18.1%	47.8%	4.7%	-3.2%	25.7M	-1.18B	-15.3M	0.67	1.98	259,489	174,390	5,953,408	4,239,846
2012-04-05	$9.23	$8.00	35.5%	12.8%	46.3%	11.2%	45.4%	2.8%	-1.3%	27.4M	-1.24B	-15.4M	0.65	2.00	149,330	96,803	5,989,968	4,286,499
2012-04-09	$8.93	$8.00	48.5%	12.9%	48.3%	19.6%	47.0%	-0.4%	-0.9%	21.5M	-929.2M	-14.8M	0.52	1.58	375,347	196,436	5,962,770	4,257,810
2012-04-10	$8.54	$8.00	68.6%	14.6%	51.3%	32.5%	52.2%	0.8%	-3.6%	17.6M	-572.3M	-14.3M	0.47	1.95	424,072	198,031	6,020,129	4,228,520
2012-04-11	$8.86	$8.00	52.5%	13.2%	48.4%	22.2%	48.0%	2.9%	-0.9%	29.1M	-905.9M	-14.9M	0.53	1.74	335,342	176,108	6,110,046	4,274,308
2012-04-12	$9.17	$8.00	44.4%	12.7%	47.8%	16.9%	45.7%	3.7%	-0.4%	39.6M	-1.27B	-15.3M	0.43	1.83	533,723	227,330	6,183,240	4,329,803
2012-04-13	$8.68	$8.00	47.3%	13.6%	49.1%	18.8%	49.0%	2.1%	-0.6%	19.3M	-662.5M	-14.8M	0.58	1.89	313,909	183,624	6,311,303	4,400,505
2012-04-16	$8.79	$8.00	47.9%	13.7%	43.8%	19.2%	49.2%	4.1%	-2.0%	20.1M	-798.3M	-14.8M	0.87	2.28	227,859	199,039	6,200,942	4,328,365
2012-04-17	$8.92	$8.00	44.5%	12.8%	43.5%	17.0%	46.5%	3.6%	-0.7%	23.4M	-935.1M	-14.7M	0.41	2.28	202,410	83,023	6,231,130	4,410,331
2012-04-18	$8.92	$8.00	45.0%	12.9%	41.9%	17.3%	46.6%	4.7%	-0.1%	23.9M	-916.2M	-14.9M	0.30	3.60	363,563	110,249	6,270,958	4,429,942
2012-04-19	$8.77	$8.00	41.3%	11.9%	42.0%	14.9%	42.5%	4.0%	0.8%	23.6M	-710.4M	-14.7M	0.25	1.64	644,389	159,698	6,406,983	4,451,083
2012-04-20	$8.36	$8.00	44.1%	12.6%	44.3%	16.7%	43.9%	7.0%	1.3%	9.3M	-293.7M	-13.2M	0.39	2.05	563,624	222,519	6,540,607	4,459,391
2012-04-23	$8.18	$8.00	43.3%	12.4%	42.8%	16.2%	46.7%	5.5%	0.9%	7.6M	-70.5M	-13.1M	0.77	1.82	254,240	194,901	5,705,360	3,981,993
2012-04-24	$8.21	$8.00	40.8%	11.7%	42.6%	14.6%	40.7%	7.9%	1.3%	6.9M	-55.8M	-13.0M	0.64	1.83	229,524	146,800	5,765,893	4,042,243
2012-04-25	$8.26	$8.00	38.9%	11.2%	41.9%	13.4%	43.6%	5.9%	2.0%	6.8M	-128.8M	-12.9M	0.87	1.64	157,231	137,549	5,805,522	4,129,080
2012-04-26	$8.27	$8.00	36.9%	10.6%	41.2%	12.0%	37.9%	4.5%	2.4%	7.4M	-119.0M	-12.6M	0.42	1.60	154,488	65,432	5,846,532	4,117,240
2012-04-27	$8.25	$8.00	35.6%	10.3%	40.9%	11.2%	36.1%	3.6%	2.2%	8.0M	-69.5M	-12.2M	0.33	1.92	162,592	52,993	5,873,761	4,086,283
2012-04-30	$8.11	$8.00	38.1%	10.5%	40.8%	12.9%	37.0%	3.3%	1.2%	5.2M	75.1M	-11.7M	0.78	2.01	139,996	109,087	5,829,023	4,058,144