BAC Options History — May 2013

In May 2013, BAC traded between $12.14 and $13.83. ATM implied volatility averaged 25.1%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.2% (HV 20d: 27.3%). Max pain ranged from $11.00 to $13.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.48.

Notable Days

2013-05-06: Highest Volume — 837,631 contracts
2013-05-06: Largest IV spike — 8.8% change
2013-05-31: Highest IV Rank — 10.6%
2013-05-31: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.13	$12.14	$13.83	$12.14	$13.66
Max Pain	$12.60	$11.00	$13.50	$12.00	$13.50
ATM IV	25.1%	23.5%	27.6%	25.2%	27.6%
Expected Move	7.2%	6.7%	8.0%	7.2%	8.0%
HV 20d	27.3%	22.8%	33.4%	28.9%	23.8%
HV 60d	27.1%	25.4%	28.9%	27.9%	25.4%
IV Rank	4.1%	0.0%	10.6%	3.9%	10.6%
IV Percentile	5.5%	0.0%	17.1%	2.4%	17.1%
Term Structure	0.7%	-0.9%	2.8%	0.4%	-0.5%
VWIV	25.4%	23.0%	27.8%	25.1%	27.8%
Skew 25d	2.5%	0.7%	3.5%	2.3%	3.1%
Skew 10d	5.0%	1.9%	8.3%	3.7%	5.9%
Call IV 25d	24.6%	22.3%	26.7%	24.3%	26.7%
Put IV 25d	27.1%	24.4%	29.8%	26.6%	29.8%
Bid-Ask Spread %	3.13	1.86	4.35	3.55	3.12
Gamma HHI	0.23	0.16	0.40	0.16	0.21
Net GEX	47.4M	26.1M	74.3M	26.1M	42.9M
Net DEX	-2.02B	-2.62B	-1.19B	-1.19B	-2.24B
Net VEX	-15.1M	-16.0M	-14.2M	-14.2M	-15.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.24	0.76	0.76	0.43
Total Volume	382,168.636	137,276	837,631	187,692	454,804
Total OI	6,993,398.182	6,335,906	7,522,074	6,925,439	6,903,827

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
2013-05-01	$12.14	$12.00	25.2%	7.2%	28.9%	3.9%	25.1%	2.3%	0.4%	26.1M	-1.19B	-14.2M	0.76	3.55	106,508	81,184	3,746,377	3,179,062
2013-05-02	$12.19	$12.50	24.5%	7.0%	28.7%	2.2%	24.3%	1.7%	0.8%	27.2M	-1.22B	-14.5M	0.44	3.51	95,249	42,027	3,773,883	3,190,326
2013-05-03	$12.24	$12.50	23.5%	6.7%	28.7%	0.0%	23.0%	2.0%	-0.1%	28.5M	-1.30B	-14.2M	0.59	3.20	194,128	113,742	3,806,385	3,208,461
2013-05-06	$12.88	$12.00	25.5%	7.3%	33.2%	5.3%	25.4%	0.7%	-0.3%	42.9M	-1.96B	-14.4M	0.24	4.17	677,037	160,594	3,743,429	3,212,286
2013-05-07	$12.90	$12.00	24.8%	7.1%	33.2%	3.5%	25.5%	3.3%	-0.5%	69.7M	-2.09B	-14.3M	0.25	3.57	575,759	146,039	3,958,737	3,258,869
2013-05-08	$13.02	$11.00	24.7%	7.1%	33.3%	3.1%	25.4%	2.8%	0.0%	74.3M	-2.26B	-14.8M	0.54	3.71	296,148	160,338	4,081,157	3,300,937
2013-05-09	$12.91	$12.50	24.0%	6.9%	33.4%	1.4%	25.0%	2.4%	-0.1%	69.2M	-2.07B	-14.9M	0.56	3.44	166,482	94,019	4,079,834	3,366,005
2013-05-10	$13.02	$12.50	24.5%	7.0%	33.2%	2.6%	24.6%	2.1%	0.7%	57.1M	-2.18B	-15.1M	0.33	2.85	201,418	66,663	4,099,265	3,396,030
2013-05-13	$12.98	$12.50	25.2%	7.2%	32.6%	4.4%	25.7%	1.7%	-0.9%	63.6M	-2.11B	-14.7M	0.44	2.81	159,256	69,471	4,019,778	3,330,220
2013-05-14	$13.34	$12.50	25.4%	7.3%	32.8%	4.9%	25.9%	3.0%	0.8%	62.3M	-2.53B	-15.1M	0.31	3.60	358,939	110,592	4,071,859	3,371,026
2013-05-15	$13.44	$13.00	24.9%	7.1%	26.3%	3.5%	25.8%	2.2%	0.7%	61.2M	-2.62B	-15.2M	0.44	3.01	320,712	141,620	4,089,381	3,404,272
2013-05-16	$13.36	$0.00	24.6%	7.0%	24.4%	2.9%	24.3%	2.9%	0.9%	54.3M	-2.45B	-15.0M	0.59	4.35	196,064	116,219	4,029,817	3,450,663
2013-05-17	$13.43	$13.00	24.0%	6.8%	24.1%	1.3%	23.8%	3.0%	1.3%	46.7M	-2.50B	-15.2M	0.30	3.34	261,462	77,155	4,026,248	3,495,826
2013-05-20	$13.51	$13.00	24.0%	6.8%	24.1%	1.3%	24.9%	3.4%	1.9%	42.1M	-2.10B	-15.2M	0.45	2.05	209,883	94,248	3,580,252	2,755,654
2013-05-21	$13.44	$13.00	24.7%	7.1%	22.9%	3.2%	24.7%	2.3%	2.6%	37.8M	-2.00B	-15.1M	0.70	1.86	129,199	90,574	3,562,908	2,810,984
2013-05-22	$13.31	$13.00	25.8%	7.4%	22.9%	5.9%	25.5%	3.1%	2.0%	34.5M	-1.81B	-15.5M	0.48	1.91	274,677	131,482	3,610,717	2,861,792
2013-05-23	$13.21	$13.00	26.1%	7.5%	23.1%	6.6%	26.8%	2.8%	0.6%	30.2M	-1.73B	-15.6M	0.46	2.20	282,878	131,401	3,643,859	2,900,981
2013-05-24	$13.24	$13.00	25.1%	7.2%	23.0%	4.2%	26.1%	3.5%	1.1%	34.4M	-1.77B	-15.7M	0.71	3.95	107,062	75,964	3,691,624	2,915,015
2013-05-28	$13.35	$12.00	25.1%	7.2%	22.9%	4.1%	26.0%	2.3%	2.8%	37.4M	-1.87B	-15.3M	0.57	3.66	252,102	143,505	3,628,514	2,858,840
2013-05-29	$13.48	$13.00	26.2%	7.5%	22.8%	7.0%	27.1%	1.8%	2.3%	43.2M	-2.04B	-15.5M	0.47	2.51	254,525	118,803	3,730,325	2,927,897
2013-05-30	$13.83	$13.00	26.4%	7.6%	22.8%	7.5%	26.9%	1.8%	-0.3%	56.2M	-2.45B	-16.0M	0.41	2.39	473,138	194,640	3,813,161	2,968,277
2013-05-31	$13.66	$13.50	27.6%	8.0%	23.8%	10.6%	27.8%	3.1%	-0.5%	42.9M	-2.24B	-15.9M	0.43	3.12	318,291	136,513	3,885,298	3,018,529