BAC Options History — September 2013

In September 2013, BAC traded between $13.80 and $14.72. ATM implied volatility averaged 24.4%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 8.7% (HV 20d: 15.6%). Max pain ranged from $14.00 to $14.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.53.

Notable Days

2013-09-23: Highest Volume — 341,931 contracts
2013-09-04: Largest IV drop — 7.1% change
2013-09-30: Highest IV Rank — 18.5%
2013-09-30: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.35	$13.80	$14.72	$14.25	$13.80
Max Pain	$14.11	$14.00	$14.50	$14.50	$14.00
ATM IV	24.4%	21.9%	27.0%	25.7%	27.0%
Expected Move	7.0%	6.3%	7.6%	7.4%	7.6%
HV 20d	15.6%	12.8%	17.6%	17.6%	13.8%
HV 60d	20.1%	18.4%	21.6%	21.6%	18.6%
IV Rank	9.3%	0.8%	18.5%	13.9%	18.5%
IV Percentile	17.6%	1.6%	40.1%	24.6%	40.1%
Term Structure	0.9%	-1.5%	4.4%	1.4%	-0.9%
VWIV	24.6%	21.7%	27.1%	24.9%	27.1%
Skew 25d	1.4%	0.0%	2.9%	2.3%	1.4%
Skew 10d	3.2%	1.0%	6.8%	3.7%	3.5%
Call IV 25d	24.4%	21.2%	27.0%	24.6%	26.8%
Put IV 25d	25.8%	23.4%	28.2%	26.9%	28.2%
Bid-Ask Spread %	3.93	1.42	9.83	3.72	7.70
Gamma HHI	0.35	0.28	0.44	0.30	0.34
Net GEX	53.5M	26.4M	82.1M	44.5M	28.2M
Net DEX	-2.22B	-2.77B	-1.56B	-2.08B	-1.56B
Net VEX	-15.8M	-16.8M	-15.0M	-16.8M	-15.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.21	0.83	0.52	0.62
Total Volume	212,315.5	142,119	341,931	160,821	271,094
Total OI	7,379,020.25	7,093,684	7,602,110	7,217,988	7,371,044

Daily Data (20 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
2013-09-03	$14.25	$14.50	25.7%	7.4%	17.6%	13.9%	24.9%	2.3%	1.4%	44.5M	-2.08B	-16.8M	0.52	3.72	105,887	54,934	4,010,250	3,207,738
2013-09-04	$14.32	$14.50	23.8%	6.8%	17.4%	7.5%	24.4%	1.8%	3.0%	51.0M	-2.11B	-16.5M	0.55	3.54	132,565	73,389	4,002,397	3,225,881
2013-09-05	$14.37	$14.00	24.1%	6.9%	17.3%	8.5%	24.6%	1.3%	3.1%	58.9M	-2.30B	-16.1M	0.21	3.84	170,823	35,807	4,043,671	3,248,932
2013-09-06	$14.36	$14.00	22.9%	6.6%	17.2%	4.3%	24.0%	1.4%	3.8%	52.4M	-2.16B	-16.6M	0.54	4.52	113,772	61,045	4,086,379	3,254,851
2013-09-09	$14.48	$14.00	23.1%	6.6%	17.0%	5.0%	23.1%	1.5%	3.3%	61.5M	-2.36B	-16.4M	0.24	3.01	132,387	31,414	4,052,649	3,251,985
2013-09-10	$14.61	$14.00	22.8%	6.5%	17.3%	3.8%	22.7%	1.2%	2.2%	73.9M	-2.63B	-15.9M	0.34	3.25	147,511	49,473	4,112,105	3,255,977
2013-09-11	$14.65	$14.00	21.9%	6.3%	17.1%	0.8%	21.7%	2.2%	2.1%	78.7M	-2.68B	-15.8M	0.63	4.56	101,598	63,719	4,143,027	3,265,382
2013-09-12	$14.48	$0.00	22.8%	6.3%	17.5%	3.8%	23.1%	1.6%	4.0%	74.1M	-2.35B	-16.2M	0.48	2.97	123,343	58,703	4,150,665	3,279,213
2013-09-13	$14.49	$14.50	23.3%	6.3%	16.0%	5.5%	22.2%	2.0%	4.4%	59.4M	-2.47B	-15.8M	0.51	4.24	94,227	47,892	4,178,432	3,299,402
2013-09-16	$14.53	$14.00	23.8%	7.1%	15.9%	7.4%	25.8%	2.8%	-0.9%	61.3M	-2.43B	-15.4M	0.83	1.94	108,017	89,229	4,124,574	3,280,326
2013-09-17	$14.55	$14.00	23.6%	6.9%	14.1%	6.9%	25.1%	2.9%	-0.6%	62.3M	-2.44B	-15.5M	0.33	1.42	108,380	36,103	4,155,554	3,322,221
2013-09-18	$14.72	$14.00	24.0%	7.0%	14.3%	8.2%	24.7%	1.0%	-1.5%	82.1M	-2.77B	-15.1M	0.37	1.54	228,694	84,454	4,191,526	3,329,277
2013-09-19	$14.61	$14.00	24.6%	7.1%	14.6%	10.2%	25.1%	1.6%	-0.5%	63.4M	-2.55B	-15.6M	0.44	1.95	196,810	86,605	4,226,544	3,340,374
2013-09-20	$14.44	$14.00	24.6%	7.1%	14.2%	10.2%	24.7%	0.8%	-0.8%	49.2M	-2.39B	-15.0M	0.73	1.79	164,063	119,182	4,239,938	3,362,172
2013-09-23	$14.14	$14.50	26.1%	7.5%	15.9%	15.4%	26.2%	0.3%	-1.3%	36.4M	-1.84B	-15.6M	0.61	2.93	212,605	129,326	3,921,340	3,172,344
2013-09-24	$14.09	$14.00	26.1%	7.5%	15.9%	15.2%	25.9%	0.9%	-0.8%	35.5M	-1.86B	-15.8M	0.54	4.22	115,489	62,059	4,012,005	3,237,916
2013-09-25	$14.14	$14.00	25.3%	7.2%	12.8%	12.5%	25.2%	0.4%	-0.8%	38.7M	-1.95B	-15.4M	0.74	3.25	103,876	76,689	4,056,815	3,268,867
2013-09-26	$14.08	$14.00	25.5%	7.3%	12.9%	13.3%	25.8%	1.0%	-0.0%	26.4M	-1.82B	-15.9M	0.58	9.83	142,956	83,003	4,092,301	3,310,919
2013-09-27	$13.90	$14.00	26.2%	7.6%	13.6%	15.8%	26.7%	0.0%	-1.0%	32.4M	-1.61B	-15.7M	0.75	8.47	130,943	98,244	4,156,427	3,338,985
2013-09-30	$13.80	$14.00	27.0%	7.6%	13.8%	18.5%	27.1%	1.4%	-0.9%	28.2M	-1.56B	-15.4M	0.62	7.70	167,852	103,242	4,086,635	3,284,409