BAC Options History — July 2012 In July 2012, BAC traded between $7.04 and $8.06. ATM implied volatility averaged 40.6%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 2.5% (HV 20d: 43.1%). 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 8 of 21 days. Put/call ratio averaged 0.51.
Notable Days 2012-07-18 : Highest Volume — 512,393 contracts2012-07-10 : Largest IV spike — 37.1% change2012-07-10 : Highest IV Rank — 22.4%2012-07-10 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $7.50 $7.04 $8.06 $8.05 $7.34 Max Pain $8.00 $8.00 $8.00 $8.00 $8.00 ATM IV 40.6% 30.8% 62.7% 35.3% 53.9% Expected Move 11.2% 9.6% 12.9% 12.3% 11.0% HV 20d 43.1% 35.3% 51.0% 51.0% 35.5% HV 60d 42.5% 40.9% 44.5% 44.5% 42.2% IV Rank 7.5% 1.8% 22.4% 6.6% 16.3% IV Percentile 18.9% 0.8% 67.9% 7.1% 55.2% Term Structure -0.2% -2.4% 2.4% -2.3% -2.1% VWIV 39.6% 34.3% 45.2% 45.2% 38.1% Skew 25d 3.7% 0.9% 7.3% 6.9% 3.8% Skew 10d 7.3% 3.0% 14.2% 10.5% 7.6% Call IV 25d 39.4% 34.4% 43.8% 41.8% 37.2% Put IV 25d 43.1% 36.4% 48.6% 48.6% 41.0% Bid-Ask Spread % 2.48 1.32 5.70 1.48 3.93 Gamma HHI 0.18 0.17 0.24 0.19 0.17 Net GEX 10.4M 330.1K 24.5M 18.8M 3.6M Net DEX 153.2M -278.8M 427.0M -278.8M 320.3M Net VEX -9.8M -12.0M -8.6M -12.0M -8.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.22 0.92 0.52 0.92 Total Volume 233,132.19 82,457 512,393 173,192 97,666 Total OI 9,208,756.286 8,918,490 9,686,099 9,062,992 9,077,654
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 2012-07-02 $8.05 $8.00 35.3% 12.3% 51.0% 6.6% 45.2% 6.9% -2.3% 18.8M -278.8M -12.0M 0.52 1.48 113,729 59,463 5,556,617 3,506,375 2012-07-03 $8.06 $8.00 30.8% 11.5% 50.4% 2.7% 40.6% 7.3% -0.9% 19.1M -247.4M -11.5M 0.58 1.93 52,311 30,146 5,550,320 3,509,508 2012-07-05 $7.82 $8.00 37.4% 12.2% 45.3% 7.2% 43.5% 4.2% -2.4% 16.9M -71.0M -10.9M 0.27 3.67 185,523 49,981 5,567,786 3,513,098 2012-07-06 $7.66 $8.00 38.6% 11.7% 44.6% 8.1% 43.5% 4.9% -0.1% 14.2M 10.5M -10.9M 0.66 1.80 106,501 70,718 5,647,258 3,525,276 2012-07-09 $7.56 $8.00 45.8% 11.8% 44.5% 12.9% 42.6% 3.8% -0.3% 13.0M 65.9M -10.5M 0.52 1.57 82,797 43,150 5,594,314 3,506,782 2012-07-10 $7.48 $8.00 62.7% 12.9% 42.4% 22.4% 43.0% 4.5% -0.2% 10.8M 197.6M -9.8M 0.50 1.92 107,643 53,920 5,627,490 3,521,589 2012-07-11 $7.63 $8.00 50.5% 11.8% 41.8% 13.8% 42.5% 3.0% -1.2% 13.6M 74.1M -10.4M 0.76 5.70 94,726 72,076 5,653,941 3,552,512 2012-07-12 $7.48 $8.00 44.0% 12.6% 42.4% 9.2% 42.6% 3.6% -1.1% 11.0M 186.5M -9.9M 0.42 2.03 121,648 51,578 5,676,159 3,569,053 2012-07-13 $7.82 $8.00 38.4% 11.0% 44.7% 5.3% 39.5% 3.4% -0.3% 17.9M 17.8M -10.3M 0.24 4.04 248,063 60,120 5,731,983 3,581,868 2012-07-16 $7.81 $8.00 40.7% 11.7% 43.3% 7.0% 42.4% 2.0% -2.2% 20.1M -76.3M -10.3M 0.28 1.99 197,007 55,983 5,810,139 3,573,740 2012-07-17 $7.92 $8.00 39.7% 11.4% 43.1% 6.3% 40.6% 3.1% -2.3% 24.5M -129.1M -10.5M 0.22 2.98 302,736 66,714 5,873,834 3,589,884 2012-07-18 $7.53 $8.00 33.4% 9.6% 43.6% 1.8% 34.3% 2.4% 1.5% 11.3M 235.0M -9.5M 0.47 2.28 347,543 164,850 5,886,763 3,597,385 2012-07-19 $7.26 $8.00 37.4% 10.7% 45.0% 4.6% 37.5% 3.6% 1.7% 4.0M 336.0M -9.0M 0.72 2.47 271,704 194,683 5,981,636 3,612,519 2012-07-20 $7.07 $8.00 35.1% 10.1% 43.9% 3.0% 35.9% 1.9% 1.8% 330.1K 427.0M -8.7M 0.78 1.79 197,183 153,510 6,040,812 3,645,287 2012-07-23 $7.09 $8.00 37.6% 10.8% 43.4% 4.8% 37.7% 4.5% -0.3% 1.5M 414.2M -8.8M 0.45 1.92 165,249 75,155 5,463,264 3,455,226 2012-07-24 $7.04 $8.00 37.7% 10.8% 41.0% 4.8% 38.0% 3.2% 0.4% 2.2M 426.5M -8.6M 0.60 1.92 114,909 69,377 5,517,741 3,467,460 2012-07-25 $7.07 $8.00 35.9% 10.3% 41.0% 3.6% 36.0% 4.5% 2.0% 2.2M 394.9M -8.8M 0.36 2.47 149,830 54,591 5,536,756 3,500,691 2012-07-26 $7.17 $8.00 35.3% 10.1% 40.6% 3.2% 35.4% 2.6% 2.1% 3.7M 337.2M -8.9M 0.51 1.32 137,717 70,487 5,574,152 3,505,075 2012-07-27 $7.31 $8.00 38.8% 10.0% 41.5% 5.6% 35.0% 0.9% 2.4% 4.7M 264.4M -8.9M 0.46 3.43 183,339 84,122 5,632,033 3,519,832 2012-07-30 $7.28 $8.00 43.8% 10.6% 35.3% 9.1% 36.9% 2.9% 0.1% 5.0M 312.9M -8.8M 0.43 1.52 96,285 41,043 5,621,834 3,508,236 2012-07-31 $7.34 $8.00 53.9% 11.0% 35.5% 16.3% 38.1% 3.8% -2.1% 3.6M 320.3M -8.7M 0.92 3.93 50,801 46,865 5,561,510 3,516,144
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