BAC Options History — August 2012

In August 2012, BAC traded between $7.18 and $8.22. ATM implied volatility averaged 31.8%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.6% (HV 20d: 26.3%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.58.

Notable Days

2012-08-21: Highest Volume — 443,056 contracts
2012-08-02: Largest IV drop — 33.5% change
2012-08-01: Highest IV Rank — 15.8%
2012-08-01: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.84	$7.18	$8.22	$7.22	$7.99
Max Pain	$7.96	$7.00	$8.00	$8.00	$8.00
ATM IV	31.8%	23.7%	53.3%	53.3%	23.7%
Expected Move	8.9%	8.1%	10.1%	10.1%	8.6%
HV 20d	26.3%	16.0%	37.6%	35.6%	16.0%
HV 60d	40.2%	34.1%	42.7%	41.9%	34.1%
IV Rank	3.7%	0.0%	15.8%	15.8%	0.0%
IV Percentile	5.5%	0.0%	54.4%	54.4%	0.0%
Term Structure	3.8%	-0.5%	5.9%	0.4%	5.9%
VWIV	31.6%	29.2%	35.3%	35.3%	30.1%
Skew 25d	2.7%	1.0%	5.1%	1.0%	1.7%
Skew 10d	5.5%	1.1%	10.6%	7.3%	2.8%
Call IV 25d	32.0%	28.7%	38.2%	38.2%	32.5%
Put IV 25d	34.7%	32.6%	39.5%	39.2%	34.2%
Bid-Ask Spread %	2.05	1.42	3.57	3.57	2.09
Gamma HHI	0.21	0.17	0.36	0.17	0.20
Net GEX	15.4M	2.5M	33.5M	3.9M	16.9M
Net DEX	-11.9M	-268.8M	381.9M	327.2M	-102.7M
Net VEX	-9.2M	-9.7M	-8.6M	-8.8M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.26	1.53	0.63	0.43
Total Volume	222,180.739	101,518	443,056	133,756	219,198
Total OI	8,926,465.565	8,038,635	9,581,751	9,195,881	8,555,357

Daily Data (23 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
2012-08-01	$7.22	$8.00	53.3%	10.1%	35.6%	15.8%	35.3%	1.0%	0.4%	3.9M	327.2M	-8.8M	0.63	3.57	82,147	51,609	5,648,744	3,547,137
2012-08-02	$7.18	$8.00	35.4%	9.8%	34.4%	3.3%	34.2%	2.5%	0.7%	2.5M	381.9M	-8.6M	0.86	1.87	111,569	96,012	5,673,846	3,566,793
2012-08-03	$7.43	$8.00	38.2%	9.9%	36.4%	5.2%	34.6%	1.6%	-0.5%	6.5M	209.9M	-9.1M	0.44	1.59	194,771	85,683	5,687,640	3,588,297
2012-08-06	$7.64	$7.00	30.4%	8.9%	37.6%	0.0%	31.6%	3.7%	3.3%	11.3M	95.9M	-9.0M	0.57	2.31	158,055	89,630	5,734,963	3,559,186
2012-08-07	$7.67	$8.00	39.6%	9.1%	37.3%	6.5%	32.6%	2.1%	3.0%	13.2M	58.2M	-9.4M	0.40	2.21	213,945	85,452	5,761,724	3,575,030
2012-08-08	$7.67	$8.00	30.8%	9.1%	36.7%	0.4%	33.5%	2.1%	2.9%	13.7M	69.1M	-9.1M	0.41	2.03	101,086	41,174	5,790,660	3,572,865
2012-08-09	$7.72	$8.00	29.4%	9.1%	36.0%	0.0%	33.2%	2.3%	3.1%	15.3M	63.2M	-9.0M	0.40	2.23	110,253	44,313	5,837,655	3,575,107
2012-08-10	$7.74	$8.00	29.9%	8.8%	32.2%	0.5%	31.8%	4.6%	3.7%	14.4M	61.5M	-9.0M	0.42	2.19	71,367	30,151	5,864,173	3,595,478
2012-08-13	$7.72	$8.00	31.1%	8.6%	32.2%	1.6%	32.1%	2.9%	3.8%	14.9M	92.5M	-8.9M	0.66	1.53	79,521	52,768	5,815,606	3,576,101
2012-08-14	$7.78	$8.00	30.5%	8.5%	31.9%	1.1%	30.4%	2.0%	4.2%	17.1M	59.5M	-8.9M	0.26	1.76	231,354	59,194	5,811,548	3,584,301
2012-08-15	$7.87	$8.00	25.5%	8.2%	26.2%	0.0%	29.3%	3.8%	4.3%	23.8M	-32.1M	-9.3M	0.41	2.25	127,678	51,727	5,987,051	3,594,700
2012-08-16	$7.93	$8.00	29.4%	8.4%	21.9%	3.7%	30.5%	4.4%	4.5%	33.5M	-118.4M	-9.3M	0.47	1.42	168,897	79,800	5,851,379	3,582,303
2012-08-17	$8.00	$8.00	28.4%	8.1%	18.6%	2.8%	30.5%	5.1%	5.4%	14.2M	-131.4M	-9.2M	0.63	1.86	212,155	132,876	5,887,376	3,615,239
2012-08-20	$8.15	$8.00	28.8%	8.3%	19.1%	3.2%	29.2%	3.9%	4.3%	17.4M	-176.9M	-9.4M	0.30	2.15	222,352	67,694	4,973,883	3,064,752
2012-08-21	$8.19	$8.00	30.7%	8.8%	18.4%	4.9%	30.7%	2.5%	4.4%	19.7M	-219.9M	-9.5M	0.28	1.68	345,711	97,345	5,042,129	3,076,476
2012-08-22	$8.22	$8.00	32.0%	9.2%	18.4%	6.2%	31.7%	2.8%	4.1%	20.1M	-268.8M	-9.7M	1.53	1.50	157,571	241,306	5,133,219	3,094,913
2012-08-23	$8.15	$8.00	31.4%	9.0%	19.1%	5.6%	31.5%	3.1%	5.0%	17.8M	-190.5M	-9.7M	0.76	2.07	129,554	98,167	5,172,501	3,218,780
2012-08-24	$8.16	$8.00	30.1%	8.6%	18.5%	4.4%	30.2%	2.7%	5.7%	16.9M	-193.2M	-9.7M	0.58	2.19	81,936	47,817	5,178,926	3,231,358
2012-08-27	$8.07	$8.00	30.9%	8.8%	19.2%	5.1%	30.9%	2.1%	4.3%	16.2M	-81.3M	-9.3M	0.81	1.95	76,622	62,050	5,150,118	3,189,169
2012-08-28	$7.96	$8.00	30.5%	8.7%	20.2%	4.8%	30.6%	1.3%	4.7%	15.1M	-68.0M	-9.3M	0.53	2.13	99,473	52,367	5,176,137	3,217,833
2012-08-29	$8.00	$8.00	30.5%	8.8%	18.7%	4.8%	30.7%	2.1%	5.0%	16.2M	-114.1M	-9.5M	1.00	2.18	69,476	69,786	5,208,803	3,236,459
2012-08-30	$7.91	$8.00	31.3%	9.0%	19.3%	5.6%	31.4%	2.0%	5.0%	14.3M	5.0M	-9.3M	0.67	2.43	125,062	83,483	5,224,496	3,278,497
2012-08-31	$7.99	$8.00	23.7%	8.6%	16.0%	0.0%	30.1%	1.7%	5.9%	16.9M	-102.7M	-9.6M	0.43	2.09	153,051	66,147	5,259,635	3,295,722