BAC Options History — January 2013

In January 2013, BAC traded between $11.14 and $12.11. ATM implied volatility averaged 30.3%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 3.4% (HV 20d: 33.7%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.55.

Notable Days

2013-01-09: Highest Volume — 866,846 contracts
2013-01-09: Largest IV spike — 9.5% change
2013-01-02: Highest IV Rank — 23.8%
2013-01-02: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.61	$11.14	$12.11	$12.03	$11.32
Max Pain	$10.95	$10.00	$12.00	$10.50	$11.00
ATM IV	30.3%	26.4%	34.3%	34.3%	28.6%
Expected Move	8.7%	7.5%	9.8%	9.8%	8.2%
HV 20d	33.7%	28.7%	36.5%	32.6%	30.1%
HV 60d	34.4%	32.8%	35.8%	33.3%	34.2%
IV Rank	14.8%	6.1%	23.8%	23.8%	11.0%
IV Percentile	13.2%	0.8%	29.0%	27.8%	5.6%
Term Structure	0.3%	-1.7%	2.5%	-0.3%	2.0%
VWIV	30.7%	25.6%	34.8%	34.8%	29.0%
Skew 25d	0.8%	-0.2%	2.2%	0.5%	2.1%
Skew 10d	1.2%	-2.5%	3.4%	1.2%	3.4%
Call IV 25d	30.7%	25.9%	35.1%	35.1%	28.4%
Put IV 25d	31.6%	26.7%	35.6%	35.6%	30.5%
Bid-Ask Spread %	3.05	1.43	4.62	2.90	3.60
Gamma HHI	0.28	0.16	0.38	0.22	0.33
Net GEX	33.6M	16.4M	58.1M	58.1M	23.5M
Net DEX	-1.84B	-2.97B	-902.0M	-2.87B	-902.0M
Net VEX	-11.1M	-11.6M	-10.7M	-10.9M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.35	0.77	0.35	0.69
Total Volume	417,446.048	158,647	866,846	706,025	231,524
Total OI	8,308,258.905	5,824,330	10,292,004	9,195,647	6,090,418

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
2013-01-02	$12.03	$10.50	34.3%	9.8%	32.6%	23.8%	34.8%	0.5%	-0.3%	58.1M	-2.87B	-10.9M	0.35	2.90	522,434	183,591	5,263,709	3,931,938
2013-01-03	$11.96	$11.50	32.4%	9.3%	33.1%	19.5%	33.0%	0.6%	0.2%	51.1M	-2.76B	-10.9M	0.71	3.67	270,381	192,595	5,291,892	4,020,614
2013-01-04	$12.11	$11.50	31.9%	9.2%	28.7%	18.4%	32.8%	2.0%	-1.7%	49.5M	-2.97B	-10.7M	0.54	2.74	330,767	177,246	5,346,916	4,106,880
2013-01-07	$12.09	$11.50	31.7%	9.1%	28.7%	17.9%	32.2%	0.2%	-1.1%	51.2M	-2.81B	-10.7M	0.53	3.33	351,459	186,202	5,302,490	4,135,504
2013-01-08	$11.98	$12.00	31.3%	9.0%	29.0%	17.0%	32.0%	0.5%	-1.2%	49.4M	-2.65B	-10.8M	0.42	3.05	312,882	131,521	5,318,592	4,212,262
2013-01-09	$11.43	$12.00	34.3%	9.8%	34.4%	23.6%	34.4%	0.0%	-0.9%	31.7M	-1.92B	-10.7M	0.77	2.77	489,483	377,363	5,350,831	4,280,487
2013-01-10	$11.78	$0.00	32.8%	9.5%	35.4%	20.4%	33.5%	0.7%	-1.4%	41.6M	-2.38B	-11.1M	0.55	2.81	295,106	162,214	5,471,730	4,392,878
2013-01-11	$11.63	$11.50	32.6%	9.5%	36.0%	19.9%	33.1%	0.9%	-1.3%	33.4M	-2.16B	-11.2M	0.51	3.24	238,026	120,267	5,522,251	4,439,895
2013-01-14	$11.47	$10.00	33.9%	9.7%	36.4%	22.7%	33.1%	2.2%	-0.7%	29.5M	-2.01B	-11.1M	0.45	1.43	181,040	80,775	5,429,908	4,407,452
2013-01-15	$11.55	$10.00	31.8%	9.1%	36.4%	18.2%	32.5%	1.0%	-0.2%	30.3M	-2.08B	-11.1M	0.50	1.74	216,380	108,341	5,471,656	4,427,612
2013-01-16	$11.78	$10.00	32.6%	9.3%	34.5%	20.0%	33.0%	1.3%	-0.4%	39.4M	-2.37B	-11.3M	0.48	4.62	343,690	164,969	5,516,429	4,475,273
2013-01-17	$11.28	$10.00	29.9%	8.6%	36.5%	14.0%	30.2%	1.6%	0.1%	20.4M	-1.82B	-10.8M	0.72	4.31	447,608	321,951	5,556,323	4,498,911
2013-01-18	$11.14	$10.00	27.6%	7.9%	36.4%	8.8%	28.7%	-0.2%	0.3%	16.4M	-1.54B	-11.1M	0.59	3.40	419,337	247,878	5,671,935	4,620,069
2013-01-22	$11.35	$11.00	27.2%	7.8%	35.5%	7.9%	27.7%	0.1%	1.9%	18.4M	-943.5M	-11.0M	0.50	3.65	244,387	123,116	3,179,390	2,644,940
2013-01-23	$11.42	$11.00	26.4%	7.6%	34.8%	6.1%	27.0%	-0.1%	1.8%	23.8M	-986.1M	-11.5M	0.75	2.61	124,158	92,563	3,276,113	2,693,956
2013-01-24	$11.53	$11.00	26.4%	7.5%	34.9%	6.1%	26.4%	-0.2%	1.0%	30.3M	-1.14B	-11.5M	0.48	3.08	182,653	87,124	3,307,226	2,727,773
2013-01-25	$11.62	$11.50	26.5%	7.5%	33.8%	6.3%	25.6%	1.0%	0.9%	28.5M	-1.23B	-11.6M	0.55	2.70	153,421	84,625	3,344,763	2,751,897
2013-01-28	$11.48	$11.00	27.8%	8.0%	34.0%	9.2%	28.3%	0.7%	2.5%	25.9M	-1.09B	-11.4M	0.38	2.97	163,777	62,292	3,247,136	2,685,166
2013-01-29	$11.49	$11.00	27.7%	8.0%	33.9%	9.0%	28.4%	0.7%	2.0%	27.6M	-1.11B	-11.6M	0.49	2.63	106,648	51,999	3,308,629	2,698,748
2013-01-30	$11.38	$11.00	28.1%	8.1%	33.1%	9.9%	28.8%	1.8%	1.7%	24.7M	-970.2M	-11.4M	0.68	2.71	110,076	74,498	3,331,675	2,721,170
2013-01-31	$11.32	$11.00	28.6%	8.2%	30.1%	11.0%	29.0%	2.1%	2.0%	23.5M	-902.0M	-11.4M	0.69	3.60	137,061	94,463	3,346,631	2,743,787