BAC Options History — June 2012 In June 2012, BAC traded between $6.90 and $8.18. ATM implied volatility averaged 49.0%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 1.0% (HV 20d: 48.0%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.52.
Notable Days 2012-06-06 : Highest Volume — 507,535 contracts2012-06-29 : Largest IV drop — 27.1% change2012-06-13 : Highest IV Rank — 23.5%2012-06-13 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $7.63 $6.90 $8.18 $7.02 $8.18 Max Pain $8.00 $8.00 $8.00 $8.00 $8.00 ATM IV 49.0% 33.1% 60.1% 51.5% 33.1% Expected Move 13.9% 12.0% 16.1% 15.3% 12.0% HV 20d 48.0% 37.0% 54.5% 38.1% 51.0% HV 60d 42.8% 41.1% 45.7% 42.5% 44.4% IV Rank 15.9% 5.1% 23.5% 17.6% 5.1% IV Percentile 42.9% 3.6% 64.7% 55.2% 3.6% Term Structure -1.0% -2.8% 2.1% 2.1% -0.7% VWIV 48.8% 42.6% 56.2% 54.6% 42.6% Skew 25d 8.8% 3.9% 12.4% 8.5% 8.3% Skew 10d 18.0% 11.0% 25.0% 17.1% 11.0% Call IV 25d 46.0% 39.1% 53.2% 53.2% 39.1% Put IV 25d 54.8% 47.4% 63.4% 61.8% 47.4% Bid-Ask Spread % 2.78 1.64 11.32 1.79 10.22 Gamma HHI 0.18 0.15 0.32 0.15 0.19 Net GEX 12.7M 2.8M 30.1M 3.9M 19.7M Net DEX 16.2M -424.3M 437.7M 344.0M -424.3M Net VEX -11.7M -12.7M -10.8M -11.3M -12.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.33 0.81 0.79 0.47 Total Volume 267,851.667 136,509 507,535 355,901 434,376 Total OI 9,362,342.095 8,641,897 9,948,227 9,685,036 8,959,688
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 2012-06-01 $7.02 $8.00 51.5% 15.3% 38.1% 17.6% 54.6% 8.5% 2.1% 3.9M 344.0M -11.3M 0.79 1.79 198,712 157,189 6,033,521 3,651,515 2012-06-04 $6.90 $8.00 60.0% 16.0% 37.0% 23.3% 56.2% 11.5% -2.3% 2.8M 437.7M -10.9M 0.40 1.68 129,562 52,351 6,011,900 3,662,111 2012-06-05 $7.10 $8.00 54.6% 15.2% 37.1% 19.7% 51.0% 11.4% -1.5% 4.7M 340.9M -11.1M 0.45 2.03 111,004 49,683 6,043,939 3,670,463 2012-06-06 $7.64 $8.00 47.5% 13.5% 46.0% 14.9% 50.6% 10.6% 0.4% 11.6M 52.3M -11.7M 0.59 2.25 319,637 187,898 6,077,323 3,674,046 2012-06-07 $7.42 $8.00 53.8% 15.7% 47.0% 19.1% 51.7% 10.5% -2.8% 9.3M 166.1M -11.7M 0.75 1.97 196,956 148,206 6,149,551 3,697,242 2012-06-08 $7.56 $8.00 52.1% 14.0% 47.6% 18.0% 50.5% 9.9% -1.7% 11.0M 144.8M -11.3M 0.56 1.64 192,852 108,109 6,162,206 3,734,211 2012-06-11 $7.28 $8.00 59.0% 15.6% 48.9% 22.7% 52.9% 8.2% -1.7% 6.7M 223.4M -11.5M 0.81 1.77 161,729 130,590 6,150,749 3,689,810 2012-06-12 $7.49 $8.00 58.2% 15.9% 49.1% 22.1% 51.8% 12.4% -2.1% 9.6M 178.5M -11.4M 0.61 1.82 84,993 51,516 6,170,203 3,733,834 2012-06-13 $7.50 $8.00 60.1% 16.1% 49.0% 23.5% 52.1% 11.7% -2.1% 9.1M 164.2M -11.4M 0.43 2.21 132,730 56,589 6,157,451 3,730,967 2012-06-14 $7.66 $8.00 49.1% 14.1% 48.3% 16.0% 50.1% 11.7% -0.1% 15.3M -45.3M -12.4M 0.65 2.12 152,795 99,183 6,194,574 3,726,503 2012-06-15 $7.90 $8.00 47.5% 13.6% 48.5% 14.9% 49.2% 11.7% -0.6% 30.1M -127.8M -12.1M 0.37 2.19 195,406 72,835 6,209,388 3,738,839 2012-06-18 $7.76 $8.00 45.5% 13.0% 49.3% 13.5% 46.3% 7.1% -1.7% 12.8M -89.4M -11.8M 0.33 1.81 176,333 58,694 5,264,548 3,377,349 2012-06-19 $8.11 $8.00 45.2% 13.0% 49.6% 13.4% 45.4% 9.6% -0.9% 18.6M -367.5M -12.7M 0.40 2.25 303,887 122,510 5,337,032 3,405,069 2012-06-20 $8.14 $8.00 43.3% 12.4% 49.3% 12.1% 42.6% 7.8% 0.4% 18.2M -304.4M -12.1M 0.59 1.92 137,601 80,539 5,402,661 3,426,674 2012-06-21 $7.82 $8.00 45.7% 13.1% 51.6% 13.7% 46.8% 6.0% -0.8% 14.1M -133.9M -12.0M 0.73 1.96 201,908 147,983 5,441,560 3,473,208 2012-06-22 $7.94 $8.00 42.8% 12.3% 51.6% 11.7% 43.6% 6.6% 0.3% 15.1M -117.7M -11.8M 0.48 1.66 155,652 74,822 5,474,764 3,459,533 2012-06-25 $7.60 $8.00 45.8% 13.1% 54.5% 13.7% 47.2% 5.2% -1.2% 12.3M 538.4K -11.3M 0.41 2.05 138,805 56,954 5,408,730 3,419,355 2012-06-26 $7.62 $8.00 46.0% 13.2% 52.7% 13.9% 47.4% 3.9% -1.8% 12.2M 73.6M -10.8M 0.36 1.70 116,878 42,359 5,431,275 3,432,170 2012-06-27 $7.77 $8.00 43.4% 12.4% 51.5% 12.1% 44.9% 6.8% -0.1% 15.3M -92.6M -11.8M 0.35 2.08 107,375 37,841 5,460,913 3,439,006 2012-06-28 $7.74 $8.00 45.4% 13.0% 51.2% 13.4% 46.9% 4.7% -2.5% 15.2M -82.1M -11.8M 0.40 11.32 171,190 68,653 5,481,960 3,443,343 2012-06-29 $8.18 $8.00 33.1% 12.0% 51.0% 5.1% 42.6% 8.3% -0.7% 19.7M -424.3M -12.5M 0.47 10.22 294,579 139,797 5,507,087 3,452,601
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