BAC Options History — November 2012

In November 2012, BAC traded between $8.99 and $9.94. ATM implied volatility averaged 33.5%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 4.1% (HV 20d: 37.6%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2012-11-02: Highest Volume — 884,779 contracts
2012-11-05: Largest IV spike — 26.6% change
2012-11-05: Highest IV Rank — 38.1%
2012-11-02: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.57	$8.99	$9.94	$9.74	$9.86
Max Pain	$9.30	$9.00	$10.00	$9.00	$10.00
ATM IV	33.5%	27.5%	50.7%	37.2%	28.8%
Expected Move	9.2%	7.9%	10.4%	9.6%	8.3%
HV 20d	37.6%	27.1%	41.6%	29.2%	37.7%
HV 60d	34.1%	29.6%	35.9%	29.6%	35.8%
IV Rank	13.9%	5.4%	38.1%	19.1%	8.4%
IV Percentile	16.9%	0.8%	73.4%	28.6%	2.4%
Term Structure	1.5%	-3.0%	3.7%	-2.4%	3.1%
VWIV	32.3%	29.0%	36.8%	34.1%	29.6%
Skew 25d	3.0%	-0.0%	5.3%	-0.0%	2.1%
Skew 10d	5.4%	-4.8%	10.1%	-4.8%	4.0%
Call IV 25d	31.8%	27.4%	38.5%	35.6%	28.7%
Put IV 25d	34.7%	30.8%	39.7%	35.6%	30.8%
Bid-Ask Spread %	4.70	1.45	12.93	12.93	2.50
Gamma HHI	0.49	0.33	0.54	0.51	0.50
Net GEX	37.2M	15.1M	57.0M	44.2M	42.7M
Net DEX	-930.6M	-1.59B	-351.1M	-1.26B	-1.06B
Net VEX	-10.1M	-11.0M	-9.4M	-10.7M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.18	1.39	0.26	1.12
Total Volume	369,458.762	184,918	884,779	495,313	214,260
Total OI	9,347,506.857	8,707,842	9,866,430	9,198,334	9,128,325

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
2012-11-01	$9.74	$9.00	37.2%	9.6%	29.2%	19.1%	34.1%	-0.0%	-2.4%	44.2M	-1.26B	-10.7M	0.26	12.93	393,678	101,635	5,512,668	3,685,666
2012-11-02	$9.85	$9.00	40.0%	10.4%	28.7%	23.1%	36.8%	1.2%	-3.0%	48.6M	-1.47B	-10.8M	0.29	9.57	684,921	199,858	5,643,580	3,721,746
2012-11-05	$9.75	$9.00	50.7%	9.8%	27.1%	38.1%	35.1%	4.7%	1.8%	49.7M	-1.38B	-10.8M	0.57	3.97	239,921	137,854	5,793,199	3,698,959
2012-11-06	$9.94	$9.00	48.5%	9.6%	27.4%	35.0%	35.3%	4.7%	1.8%	57.0M	-1.59B	-11.0M	0.43	4.01	219,514	94,949	5,871,608	3,778,430
2012-11-07	$9.23	$9.00	35.8%	10.1%	38.8%	17.1%	35.1%	4.5%	1.6%	30.9M	-668.4M	-10.1M	0.54	3.11	427,695	228,978	5,897,495	3,792,675
2012-11-08	$9.39	$9.00	33.1%	10.0%	39.2%	13.3%	34.7%	3.6%	1.9%	35.2M	-852.7M	-10.4M	0.93	3.70	258,712	241,190	5,887,015	3,863,271
2012-11-09	$9.43	$9.00	33.5%	10.1%	39.2%	13.9%	35.4%	3.9%	1.6%	38.1M	-847.0M	-10.8M	1.12	9.90	169,165	189,186	5,922,059	3,944,371
2012-11-12	$9.39	$9.00	29.1%	9.2%	38.9%	7.6%	32.3%	2.0%	2.4%	34.7M	-812.5M	-10.1M	0.18	3.37	337,194	61,031	5,858,804	3,907,279
2012-11-13	$9.33	$9.00	30.4%	9.3%	38.0%	9.4%	32.5%	2.4%	2.8%	28.0M	-694.6M	-9.6M	0.48	3.41	125,201	59,717	5,768,035	3,918,079
2012-11-14	$8.99	$9.00	35.3%	9.5%	38.1%	16.3%	33.8%	1.6%	3.1%	15.6M	-351.1M	-9.4M	0.75	3.89	218,051	163,078	5,763,015	3,931,128
2012-11-15	$9.09	$0.00	33.8%	9.7%	38.4%	14.3%	33.9%	2.7%	0.4%	15.1M	-445.0M	-9.7M	1.39	3.15	138,539	193,237	5,777,300	3,948,825
2012-11-16	$9.12	$10.00	33.5%	9.6%	38.5%	13.9%	33.2%	3.1%	-0.4%	15.3M	-397.3M	-9.7M	0.65	3.13	201,111	130,209	5,804,275	4,043,188
2012-11-19	$9.49	$9.00	31.1%	9.1%	41.2%	10.4%	29.3%	4.1%	2.6%	32.4M	-687.1M	-9.8M	0.47	5.38	251,940	119,265	5,195,558	3,512,284
2012-11-20	$9.63	$9.00	29.3%	8.3%	41.5%	7.9%	29.7%	2.5%	2.1%	38.7M	-860.5M	-10.0M	0.31	7.73	231,362	72,515	5,243,494	3,581,359
2012-11-21	$9.77	$9.00	27.5%	7.9%	41.6%	5.4%	29.0%	5.3%	3.7%	42.4M	-1.01B	-10.1M	0.34	5.41	211,060	72,520	5,296,428	3,571,297
2012-11-23	$9.90	$9.00	27.9%	8.0%	41.0%	5.9%	29.0%	3.7%	0.6%	43.6M	-1.17B	-10.3M	0.52	1.45	128,722	67,025	5,373,210	3,614,766
2012-11-26	$9.84	$10.00	29.4%	8.3%	41.0%	8.1%	30.1%	3.9%	2.5%	42.7M	-1.09B	-9.9M	0.49	4.51	194,388	95,264	5,301,486	3,618,148
2012-11-27	$9.66	$10.00	30.4%	8.7%	41.6%	9.5%	29.8%	1.8%	0.9%	39.8M	-901.5M	-9.9M	0.57	2.71	237,663	134,735	5,376,604	3,641,136
2012-11-28	$9.76	$10.00	29.9%	8.6%	41.2%	8.8%	30.2%	1.9%	2.0%	40.5M	-958.9M	-9.9M	0.57	2.12	195,938	111,326	5,349,927	3,682,892
2012-11-29	$9.83	$10.00	28.6%	8.2%	40.7%	7.0%	29.4%	2.4%	2.6%	45.8M	-1.04B	-9.9M	0.42	2.81	145,315	60,712	5,381,250	3,696,810
2012-11-30	$9.86	$10.00	28.8%	8.3%	37.7%	8.4%	29.6%	2.1%	3.1%	42.7M	-1.06B	-10.0M	1.12	2.50	100,988	113,272	5,416,325	3,712,000