BAC Options History — April 2013

In April 2013, BAC traded between $11.44 and $12.44. ATM implied volatility averaged 27.9%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.8% (HV 20d: 25.1%). Max pain ranged from $10.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.57.

Notable Days

2013-04-17: Highest Volume — 890,005 contracts
2013-04-19: Largest IV drop — 17.5% change
2013-04-18: Highest IV Rank — 20.3%
2013-04-18: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.09	$11.44	$12.44	$12.15	$12.31
Max Pain	$11.50	$10.50	$12.50	$12.00	$12.50
ATM IV	27.9%	24.0%	31.6%	28.6%	24.4%
Expected Move	8.0%	6.9%	9.1%	8.2%	7.0%
HV 20d	25.1%	17.6%	30.4%	24.0%	30.4%
HV 60d	28.3%	26.0%	29.6%	29.0%	28.1%
IV Rank	10.0%	0.7%	20.3%	11.0%	1.8%
IV Percentile	14.4%	0.4%	38.9%	12.7%	1.6%
Term Structure	-0.2%	-1.6%	1.8%	-0.3%	1.4%
VWIV	28.2%	24.5%	31.5%	29.1%	25.5%
Skew 25d	1.5%	-0.5%	3.3%	0.4%	2.9%
Skew 10d	2.9%	-1.5%	7.0%	1.5%	5.7%
Call IV 25d	27.9%	23.2%	32.1%	28.8%	24.0%
Put IV 25d	29.5%	26.4%	33.9%	29.3%	26.9%
Bid-Ask Spread %	3.74	1.79	10.74	3.18	3.81
Gamma HHI	0.19	0.16	0.22	0.21	0.17
Net GEX	27.0M	2.7M	43.3M	21.7M	32.7M
Net DEX	-1.19B	-1.62B	-462.7M	-1.20B	-1.38B
Net VEX	-14.3M	-14.6M	-14.0M	-14.4M	-14.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.28	1.08	0.34	0.88
Total Volume	328,310.909	147,488	890,005	217,593	193,384
Total OI	7,011,280.273	6,660,545	7,612,464	6,660,545	6,873,400

Daily Data (22 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
2013-04-01	$12.15	$12.00	28.6%	8.2%	24.0%	11.0%	29.1%	0.4%	-0.3%	21.7M	-1.20B	-14.4M	0.34	3.18	162,678	54,915	3,617,681	3,042,864
2013-04-02	$12.15	$12.00	27.6%	7.9%	24.0%	8.8%	27.8%	0.9%	-0.0%	22.9M	-1.23B	-14.2M	0.44	3.47	102,382	45,106	3,663,776	3,061,132
2013-04-03	$11.81	$12.00	31.3%	9.0%	26.2%	17.0%	31.5%	-0.5%	-1.1%	12.6M	-892.6M	-14.1M	0.56	2.79	311,302	173,957	3,705,732	3,076,791
2013-04-04	$11.94	$12.00	31.1%	8.9%	23.9%	16.6%	31.1%	0.9%	-1.4%	18.0M	-999.6M	-14.4M	1.01	3.57	177,404	178,945	3,804,781	3,131,499
2013-04-05	$11.97	$12.00	30.5%	8.8%	21.5%	15.3%	30.8%	0.6%	-0.6%	31.3M	-1.02B	-14.6M	0.40	3.64	224,981	89,266	3,839,139	3,242,728
2013-04-08	$12.21	$12.00	29.9%	8.6%	22.1%	14.0%	29.8%	0.3%	0.3%	29.4M	-1.30B	-14.3M	0.43	3.38	157,275	67,275	3,745,141	3,182,388
2013-04-09	$12.25	$12.00	30.6%	8.8%	22.0%	15.3%	30.6%	-0.3%	-1.1%	34.6M	-1.38B	-14.5M	0.37	3.16	195,113	72,925	3,795,892	3,190,573
2013-04-10	$12.32	$12.00	29.6%	8.5%	21.6%	13.2%	29.9%	-0.2%	-1.6%	38.9M	-1.50B	-14.4M	0.43	2.20	213,039	92,062	3,836,709	3,202,711
2013-04-11	$12.27	$0.00	28.9%	8.3%	21.6%	11.7%	29.7%	1.1%	-0.3%	36.8M	-1.40B	-14.3M	0.47	2.54	183,198	86,563	3,873,849	3,236,914
2013-04-12	$12.17	$11.50	27.9%	8.0%	21.8%	9.5%	28.4%	1.5%	-0.5%	29.7M	-1.30B	-14.3M	0.38	4.40	185,785	71,319	3,942,487	3,263,343
2013-04-15	$11.98	$11.00	30.4%	8.6%	17.6%	17.2%	30.4%	1.0%	-0.8%	22.0M	-1.08B	-14.2M	0.75	3.58	252,262	188,677	3,875,541	3,228,589
2013-04-16	$12.28	$11.00	29.1%	8.3%	20.1%	13.8%	29.5%	2.0%	-1.3%	38.7M	-1.43B	-14.6M	0.60	10.74	249,166	148,966	3,969,924	3,301,996
2013-04-17	$11.70	$11.00	28.6%	8.2%	25.5%	12.7%	29.3%	2.8%	-0.7%	10.5M	-686.7M	-14.2M	0.52	3.58	586,048	303,957	4,048,763	3,312,902
2013-04-18	$11.44	$11.00	31.6%	9.1%	26.1%	20.3%	31.1%	3.0%	-0.3%	2.7M	-462.7M	-14.3M	0.78	1.79	286,669	222,689	4,181,737	3,359,137
2013-04-19	$11.66	$11.00	26.1%	7.4%	27.1%	6.1%	26.9%	1.1%	1.2%	17.0M	-766.0M	-14.5M	1.08	5.60	149,420	161,622	4,240,943	3,371,521
2013-04-22	$11.72	$10.50	25.3%	7.3%	27.3%	4.2%	25.6%	2.4%	-0.7%	16.2M	-845.6M	-14.1M	0.73	4.06	111,324	81,484	3,670,177	3,085,024
2013-04-23	$12.07	$10.50	25.3%	7.2%	29.4%	4.0%	25.3%	2.5%	0.0%	28.3M	-1.26B	-14.2M	0.50	3.28	256,702	128,295	3,698,170	3,099,042
2013-04-24	$12.31	$10.50	25.0%	7.2%	30.1%	3.3%	25.2%	2.2%	1.0%	36.7M	-1.48B	-14.3M	0.28	3.26	258,877	71,705	3,725,007	3,127,465
2013-04-25	$12.44	$11.00	24.0%	6.9%	30.3%	0.7%	24.5%	3.3%	-0.0%	43.3M	-1.62B	-14.3M	0.34	3.60	216,747	74,240	3,737,527	3,129,651
2013-04-26	$12.42	$11.50	24.3%	7.0%	30.3%	1.7%	24.7%	2.8%	-0.3%	34.7M	-1.58B	-14.3M	0.60	2.91	155,104	92,864	3,762,533	3,149,041
2013-04-29	$12.38	$12.50	24.0%	6.9%	30.3%	0.8%	24.6%	3.1%	1.8%	34.3M	-1.44B	-14.6M	0.55	3.64	120,685	66,463	3,709,135	3,134,811
2013-04-30	$12.31	$12.50	24.4%	7.0%	30.4%	1.8%	25.5%	2.9%	1.4%	32.7M	-1.38B	-14.0M	0.88	3.81	102,942	90,442	3,724,075	3,149,325