BAC Options History — August 2013

In August 2013, BAC traded between $14.11 and $14.95. ATM implied volatility averaged 23.4%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.1% (HV 20d: 19.3%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.57.

Notable Days

2013-08-07: Highest Volume — 423,140 contracts
2013-08-26: Largest IV spike — 7.4% change
2013-08-30: Highest IV Rank — 15.4%
2013-08-30: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.46	$14.11	$14.95	$14.95	$14.12
Max Pain	$14.19	$12.00	$15.00	$14.50	$14.50
ATM IV	23.4%	21.7%	26.1%	23.2%	26.1%
Expected Move	6.7%	6.2%	7.4%	6.7%	7.4%
HV 20d	19.3%	16.7%	21.8%	21.5%	17.1%
HV 60d	22.0%	21.6%	22.5%	22.1%	21.7%
IV Rank	6.0%	0.2%	15.4%	4.8%	15.4%
IV Percentile	8.8%	0.4%	26.2%	2.4%	26.2%
Term Structure	1.0%	-0.3%	2.4%	-0.3%	0.6%
VWIV	23.7%	22.1%	27.0%	23.7%	27.0%
Skew 25d	1.4%	0.9%	2.2%	0.9%	1.0%
Skew 10d	2.8%	1.0%	4.8%	1.1%	3.2%
Call IV 25d	23.5%	21.9%	26.6%	23.5%	26.6%
Put IV 25d	24.8%	22.7%	27.5%	24.4%	27.5%
Bid-Ask Spread %	3.60	1.84	5.37	4.64	4.07
Gamma HHI	0.32	0.25	0.40	0.40	0.32
Net GEX	53.4M	37.9M	81.2M	81.2M	39.0M
Net DEX	-2.59B	-3.39B	-1.95B	-3.39B	-2.00B
Net VEX	-16.1M	-16.9M	-15.5M	-16.1M	-16.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.27	1.04	0.38	0.75
Total Volume	217,947.182	96,226	423,140	260,858	160,892
Total OI	7,420,669.227	6,807,208	7,817,975	7,640,509	7,326,959

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
2013-08-01	$14.95	$14.50	23.2%	6.7%	21.5%	4.8%	23.7%	0.9%	-0.3%	81.2M	-3.39B	-16.1M	0.38	4.64	189,121	71,737	4,243,314	3,397,195
2013-08-02	$14.84	$14.50	21.8%	6.3%	21.8%	0.4%	22.2%	0.9%	-0.2%	66.1M	-3.14B	-16.4M	0.44	2.98	139,106	60,842	4,242,835	3,425,041
2013-08-05	$14.80	$15.00	21.7%	6.2%	21.6%	0.2%	22.7%	1.1%	0.8%	66.5M	-3.13B	-15.5M	0.55	4.53	81,549	44,613	4,165,522	3,368,281
2013-08-06	$14.64	$15.00	21.9%	6.3%	21.8%	1.0%	22.4%	1.1%	0.6%	61.2M	-2.98B	-15.5M	0.77	3.45	115,528	88,992	4,182,137	3,385,289
2013-08-07	$14.53	$12.00	22.7%	6.5%	21.4%	3.5%	22.6%	1.3%	0.6%	52.4M	-2.82B	-15.6M	0.53	2.89	275,867	147,273	4,195,010	3,406,498
2013-08-08	$14.61	$12.00	22.3%	6.4%	21.3%	2.3%	22.5%	1.1%	0.1%	64.1M	-2.95B	-15.8M	0.73	3.63	124,919	91,517	4,282,826	3,454,279
2013-08-09	$14.45	$14.50	21.8%	6.3%	21.1%	0.5%	22.1%	0.9%	1.6%	47.5M	-2.66B	-16.1M	0.45	3.77	146,684	66,289	4,307,422	3,510,553
2013-08-12	$14.41	$14.50	22.0%	6.3%	21.0%	1.3%	22.4%	1.0%	1.3%	48.9M	-2.66B	-15.9M	0.36	3.73	70,617	25,609	4,258,850	3,448,446
2013-08-13	$14.51	$14.50	22.1%	6.3%	21.1%	1.4%	22.2%	1.1%	0.9%	58.9M	-2.83B	-15.7M	0.34	4.32	137,154	47,199	4,278,830	3,455,087
2013-08-14	$14.60	$14.50	22.5%	6.4%	18.9%	2.8%	23.5%	0.9%	0.2%	65.6M	-2.94B	-15.9M	0.43	4.42	112,309	48,530	4,322,553	3,470,491
2013-08-15	$14.32	$0.00	23.3%	6.6%	16.7%	5.7%	23.4%	1.1%	0.8%	46.3M	-2.59B	-15.9M	0.50	3.94	154,782	77,285	4,282,143	3,467,445
2013-08-16	$14.42	$14.50	23.1%	6.5%	16.9%	5.0%	23.7%	1.3%	1.1%	62.0M	-2.70B	-15.9M	0.63	5.37	125,650	79,697	4,335,267	3,482,311
2013-08-19	$14.15	$14.00	24.2%	7.0%	17.4%	8.8%	24.5%	2.0%	2.4%	37.9M	-2.05B	-16.0M	0.46	2.36	159,999	73,697	3,814,691	2,992,517
2013-08-20	$14.29	$14.00	24.4%	7.1%	17.9%	9.6%	24.7%	1.8%	1.9%	43.7M	-2.24B	-16.0M	0.51	1.84	162,849	82,705	3,871,707	3,029,276
2013-08-21	$14.34	$14.00	24.7%	7.1%	17.3%	10.5%	24.7%	2.1%	2.0%	48.8M	-2.30B	-16.0M	0.66	3.88	146,296	96,877	3,943,663	3,061,446
2013-08-22	$14.57	$14.00	23.4%	6.7%	18.0%	6.1%	24.1%	2.2%	0.7%	60.8M	-2.57B	-16.2M	0.49	1.93	176,619	87,082	3,986,154	3,115,622
2013-08-23	$14.57	$14.00	22.4%	6.3%	17.9%	2.7%	22.8%	1.7%	1.5%	55.1M	-2.60B	-16.2M	0.61	2.69	108,977	66,599	4,016,471	3,144,139
2013-08-26	$14.49	$14.50	24.1%	6.9%	17.3%	8.3%	24.2%	1.6%	2.2%	52.6M	-2.47B	-16.0M	1.04	4.47	78,029	81,533	3,932,651	3,097,211
2013-08-27	$14.11	$14.50	25.8%	7.4%	19.7%	14.4%	25.8%	1.8%	0.9%	38.8M	-1.95B	-16.6M	0.68	3.20	199,441	136,164	3,950,509	3,119,720
2013-08-28	$14.12	$14.50	25.6%	7.3%	19.5%	13.5%	25.7%	1.3%	1.1%	38.7M	-1.96B	-16.7M	0.87	3.31	144,981	126,194	4,019,139	3,172,393
2013-08-29	$14.17	$14.50	25.6%	7.3%	17.2%	13.6%	25.4%	1.6%	0.4%	39.7M	-1.99B	-16.9M	0.27	3.86	144,085	38,950	4,062,303	3,230,527
2013-08-30	$14.12	$14.50	26.1%	7.4%	17.1%	15.4%	27.0%	1.0%	0.6%	39.0M	-2.00B	-16.6M	0.75	4.07	92,128	68,764	4,086,685	3,240,274