BAC Options History — July 2013

In July 2013, BAC traded between $12.83 and $14.94. ATM implied volatility averaged 24.6%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.7% (HV 20d: 23.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.47.

Notable Days

2013-07-17: Highest Volume — 1,019,744 contracts
2013-07-17: Largest IV drop — 9.2% change
2013-07-01: Highest IV Rank — 9.6%
2013-07-01: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.03	$12.83	$14.94	$12.93	$14.60
Max Pain	$12.74	$10.00	$15.00	$10.00	$14.50
ATM IV	24.6%	21.6%	27.2%	27.2%	23.9%
Expected Move	7.1%	6.1%	7.8%	7.8%	6.8%
HV 20d	23.9%	20.3%	28.2%	24.8%	21.1%
HV 60d	24.4%	21.6%	26.3%	26.0%	21.6%
IV Rank	5.5%	0.0%	9.6%	9.6%	6.8%
IV Percentile	7.7%	0.0%	17.5%	16.7%	4.4%
Term Structure	-0.2%	-2.0%	1.4%	-0.5%	0.4%
VWIV	25.1%	22.3%	27.7%	27.7%	23.9%
Skew 25d	1.5%	0.4%	3.0%	2.7%	0.7%
Skew 10d	2.5%	0.6%	6.2%	5.3%	1.1%
Call IV 25d	24.7%	22.1%	28.1%	26.6%	24.2%
Put IV 25d	26.1%	23.7%	29.4%	29.4%	25.0%
Bid-Ask Spread %	3.86	2.48	6.02	4.49	5.01
Gamma HHI	0.27	0.16	0.36	0.16	0.31
Net GEX	57.7M	27.9M	81.8M	27.9M	57.2M
Net DEX	-2.58B	-3.79B	-1.19B	-1.22B	-2.93B
Net VEX	-16.2M	-17.0M	-15.5M	-17.0M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.23	0.90	0.45	0.37
Total Volume	353,331.091	103,918	1,019,744	166,761	218,448
Total OI	7,571,974.773	7,333,980	8,050,439	7,345,936	7,618,778

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
2013-07-01	$12.93	$10.00	27.2%	7.8%	24.8%	9.6%	27.7%	2.7%	-0.5%	27.9M	-1.22B	-17.0M	0.45	4.49	114,892	51,869	4,016,909	3,329,027
2013-07-02	$12.90	$10.00	26.3%	7.5%	24.4%	7.2%	27.2%	3.0%	-0.2%	31.6M	-1.29B	-16.6M	0.59	6.02	127,476	75,364	4,060,152	3,346,159
2013-07-03	$12.83	$10.50	26.6%	7.6%	23.4%	8.1%	27.2%	2.9%	-0.3%	31.8M	-1.19B	-16.9M	0.43	5.27	72,586	31,332	4,103,814	3,379,405
2013-07-05	$13.06	$10.50	26.3%	7.5%	24.2%	7.3%	25.6%	2.1%	-1.5%	32.7M	-1.54B	-16.5M	0.32	3.94	179,674	56,632	4,122,176	3,385,838
2013-07-08	$13.28	$10.50	26.4%	7.6%	24.4%	7.5%	27.6%	2.3%	-0.2%	43.0M	-1.73B	-16.5M	0.56	4.24	179,052	100,032	4,071,828	3,342,839
2013-07-09	$13.53	$12.00	26.5%	7.6%	25.2%	7.8%	27.2%	1.1%	-2.0%	60.9M	-2.11B	-16.4M	0.51	2.71	223,999	114,984	4,127,066	3,361,079
2013-07-10	$13.37	$12.50	26.8%	7.7%	25.1%	8.6%	27.5%	0.4%	-0.7%	55.0M	-1.90B	-16.3M	0.23	3.76	309,919	70,335	4,157,080	3,393,171
2013-07-11	$13.51	$0.00	26.1%	7.5%	25.2%	6.8%	26.3%	1.3%	-1.2%	65.5M	-2.07B	-16.8M	0.45	2.48	233,882	105,009	4,254,892	3,421,254
2013-07-12	$13.78	$13.50	25.2%	7.3%	25.8%	4.5%	26.1%	1.2%	-0.3%	60.4M	-2.55B	-16.2M	0.32	3.93	363,776	116,790	4,278,370	3,411,432
2013-07-15	$13.88	$12.00	25.5%	7.2%	25.4%	6.6%	26.0%	1.6%	-1.1%	65.8M	-2.53B	-16.6M	0.30	3.33	275,937	81,905	4,212,409	3,352,995
2013-07-16	$13.92	$12.00	24.9%	7.1%	25.3%	4.8%	25.7%	1.8%	-1.0%	69.5M	-2.61B	-16.0M	0.55	4.55	369,747	203,537	4,242,949	3,379,043
2013-07-17	$14.31	$12.00	22.6%	6.5%	26.8%	0.0%	22.6%	1.6%	0.6%	81.8M	-3.23B	-15.6M	0.27	2.89	802,017	217,727	4,292,278	3,452,235
2013-07-18	$14.76	$12.00	22.9%	6.6%	28.2%	1.0%	23.8%	0.9%	0.4%	78.8M	-3.79B	-15.8M	0.25	2.98	711,123	174,285	4,400,105	3,480,178
2013-07-19	$14.75	$13.00	21.6%	6.1%	26.2%	0.0%	22.3%	1.1%	1.4%	71.9M	-3.75B	-15.9M	0.45	2.80	256,175	115,549	4,496,757	3,553,682
2013-07-22	$14.92	$14.50	22.2%	6.4%	24.9%	1.6%	22.8%	1.2%	0.4%	66.9M	-3.44B	-15.5M	0.43	3.89	242,718	105,176	4,101,224	3,232,756
2013-07-23	$14.94	$15.00	22.2%	6.4%	20.3%	1.7%	23.1%	1.3%	0.2%	69.3M	-3.47B	-15.7M	0.49	3.65	189,678	92,674	4,159,458	3,277,055
2013-07-24	$14.71	$15.00	23.1%	6.6%	20.8%	4.5%	23.1%	1.3%	-0.4%	60.3M	-3.16B	-16.0M	0.79	3.44	169,137	133,060	4,192,125	3,329,361
2013-07-25	$14.83	$15.00	23.4%	6.7%	20.8%	5.3%	23.9%	1.7%	0.5%	66.5M	-3.30B	-16.2M	0.58	3.93	149,828	86,194	4,200,019	3,357,378
2013-07-26	$14.73	$15.00	24.2%	6.9%	20.9%	7.9%	24.7%	1.0%	0.4%	61.4M	-3.18B	-16.3M	0.62	3.49	144,647	89,114	4,236,535	3,384,430
2013-07-29	$14.52	$14.00	23.8%	6.8%	21.2%	6.6%	24.0%	0.6%	0.1%	58.2M	-2.87B	-16.1M	0.90	4.10	132,323	119,351	4,190,468	3,304,294
2013-07-30	$14.52	$14.00	23.6%	6.8%	21.3%	6.0%	23.8%	0.8%	0.0%	53.7M	-2.88B	-16.2M	0.48	4.08	111,425	53,906	4,214,236	3,360,206
2013-07-31	$14.60	$14.50	23.9%	6.8%	21.1%	6.8%	23.9%	0.7%	0.4%	57.2M	-2.93B	-16.3M	0.37	5.01	159,930	58,518	4,231,196	3,387,582