BAC Options History — October 2012

In October 2012, BAC traded between $8.93 and $9.55. ATM implied volatility averaged 36.1%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.7% (HV 20d: 29.4%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.49.

Notable Days

2012-10-16: Highest Volume — 621,980 contracts
2012-10-08: Largest IV spike — 18.1% change
2012-10-09: Highest IV Rank — 29.7%
2012-10-04: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.29	$8.93	$9.55	$8.96	$9.32
Max Pain	$8.81	$8.00	$9.00	$8.00	$9.00
ATM IV	36.1%	30.2%	45.8%	36.8%	35.3%
Expected Move	10.1%	9.1%	11.0%	10.8%	9.3%
HV 20d	29.4%	23.9%	40.9%	40.8%	25.2%
HV 60d	30.3%	28.8%	33.0%	32.7%	28.8%
IV Rank	16.4%	9.2%	29.7%	12.4%	16.4%
IV Percentile	21.2%	3.6%	53.6%	21.4%	19.8%
Term Structure	-0.8%	-2.8%	1.2%	-2.0%	1.0%
VWIV	36.2%	33.0%	41.7%	41.7%	33.5%
Skew 25d	0.1%	-2.4%	1.6%	-2.4%	1.0%
Skew 10d	0.5%	-5.6%	5.5%	-4.9%	4.1%
Call IV 25d	36.8%	32.7%	42.2%	42.2%	33.7%
Put IV 25d	36.9%	32.6%	39.8%	39.8%	34.7%
Bid-Ask Spread %	4.80	1.27	16.99	1.69	12.50
Gamma HHI	0.40	0.32	0.52	0.36	0.52
Net GEX	43.3M	28.0M	61.7M	31.9M	33.1M
Net DEX	-981.6M	-1.28B	-598.1M	-684.4M	-767.1M
Net VEX	-10.6M	-11.1M	-10.1M	-10.4M	-10.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.23	0.81	0.23	0.35
Total Volume	342,291.762	145,039	621,980	441,474	176,128
Total OI	9,353,051.333	8,949,268	9,805,282	8,956,943	9,153,419

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
2012-10-01	$8.96	$8.00	36.8%	10.8%	40.8%	12.4%	41.7%	-2.4%	-2.0%	31.9M	-684.4M	-10.4M	0.23	1.69	359,999	81,475	5,504,044	3,452,899
2012-10-02	$8.93	$8.00	35.9%	10.4%	40.9%	11.5%	38.3%	-2.4%	-1.8%	36.4M	-713.0M	-10.4M	0.81	1.27	171,637	138,412	5,675,882	3,480,900
2012-10-03	$9.11	$8.00	35.9%	10.4%	40.9%	13.2%	38.3%	-1.5%	-1.1%	40.3M	-865.6M	-10.6M	0.32	1.78	196,954	63,171	5,693,185	3,523,358
2012-10-04	$9.41	$8.00	35.2%	11.0%	39.0%	14.6%	38.9%	0.5%	-2.6%	50.1M	-1.24B	-11.1M	0.26	2.05	420,042	110,364	5,751,886	3,540,526
2012-10-05	$9.32	$9.00	36.8%	10.2%	35.3%	17.7%	36.2%	0.5%	-0.9%	45.0M	-1.15B	-11.0M	0.36	5.10	433,860	154,380	5,868,949	3,559,330
2012-10-08	$9.28	$9.00	43.5%	10.2%	33.8%	26.7%	36.2%	0.0%	-0.6%	46.7M	-1.11B	-10.9M	0.59	1.85	91,357	53,682	5,823,125	3,536,437
2012-10-09	$9.21	$9.00	45.8%	10.8%	29.0%	29.7%	38.3%	0.8%	-1.4%	42.9M	-987.8M	-10.7M	0.76	2.02	200,705	153,373	5,830,933	3,556,783
2012-10-10	$9.21	$9.00	41.1%	10.9%	28.9%	23.5%	38.5%	0.1%	-1.5%	44.7M	-1.02B	-10.8M	0.54	7.34	178,561	95,639	5,888,278	3,617,184
2012-10-11	$9.34	$9.00	38.1%	10.9%	23.9%	20.4%	38.2%	1.1%	-1.9%	51.2M	-1.14B	-10.8M	0.49	2.06	204,788	99,450	5,926,965	3,622,104
2012-10-12	$9.12	$9.00	36.5%	10.5%	24.5%	18.1%	36.9%	1.0%	-1.4%	40.9M	-848.6M	-10.4M	0.39	7.13	305,240	118,154	5,962,932	3,655,361
2012-10-15	$9.44	$9.00	37.9%	10.9%	26.1%	20.0%	37.8%	0.6%	-2.4%	51.1M	-1.22B	-10.6M	0.38	1.93	261,825	98,959	5,891,487	3,647,806
2012-10-16	$9.46	$9.00	37.3%	10.7%	25.9%	19.2%	37.5%	-0.4%	-2.8%	53.6M	-1.28B	-10.7M	0.26	16.99	495,348	126,632	5,935,705	3,668,739
2012-10-17	$9.44	$9.00	31.7%	9.1%	25.8%	11.4%	33.0%	-2.1%	1.2%	56.1M	-1.19B	-10.4M	0.49	5.26	330,132	161,862	6,008,767	3,711,878
2012-10-18	$9.47	$9.00	33.7%	9.6%	25.5%	14.1%	33.1%	0.8%	-0.2%	55.3M	-1.20B	-10.4M	0.33	2.05	277,916	91,202	5,974,162	3,737,798
2012-10-19	$9.44	$9.00	32.8%	9.4%	25.2%	12.8%	33.1%	0.3%	0.8%	61.7M	-1.13B	-10.7M	0.47	1.82	214,797	100,823	6,048,330	3,756,952
2012-10-22	$9.55	$9.00	32.0%	9.2%	25.4%	11.8%	33.0%	1.6%	-1.4%	40.6M	-1.08B	-10.6M	0.55	2.19	150,563	82,238	5,418,827	3,530,441
2012-10-23	$9.36	$9.00	34.2%	9.8%	25.6%	14.9%	34.6%	0.7%	0.2%	35.8M	-897.8M	-10.5M	0.74	10.94	160,603	118,662	5,469,839	3,565,608
2012-10-24	$9.31	$9.00	33.7%	9.7%	25.2%	14.1%	34.4%	0.7%	0.5%	33.9M	-799.0M	-10.5M	0.78	11.73	140,816	110,433	5,486,740	3,601,115
2012-10-25	$9.24	$9.00	32.9%	9.4%	24.8%	13.0%	34.1%	-0.4%	0.8%	30.9M	-686.8M	-10.3M	0.57	1.52	156,705	89,644	5,475,749	3,654,326
2012-10-26	$9.12	$9.00	30.2%	9.2%	24.6%	9.2%	33.7%	1.2%	1.1%	28.0M	-598.1M	-10.2M	0.63	1.49	129,930	81,666	5,527,547	3,677,782
2012-10-31	$9.32	$9.00	35.3%	9.3%	25.2%	16.4%	33.5%	1.0%	1.0%	33.1M	-767.1M	-10.1M	0.35	12.50	130,686	45,442	5,477,375	3,676,044