BAC Options History — October 2013

In October 2013, BAC traded between $13.69 and $14.66. ATM implied volatility averaged 23.5%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.8% (HV 20d: 17.6%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.49.

Notable Days

2013-10-16: Highest Volume — 358,074 contracts
2013-10-16: Largest IV drop — 22.9% change
2013-10-08: Highest IV Rank — 38.0%
2013-10-08: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.19	$13.69	$14.66	$13.90	$13.97
Max Pain	$12.62	$12.00	$14.00	$14.00	$12.00
ATM IV	23.5%	17.7%	32.7%	25.3%	17.7%
Expected Move	8.1%	7.2%	9.4%	7.2%	8.2%
HV 20d	17.6%	13.6%	20.1%	13.6%	19.4%
HV 60d	17.4%	16.6%	18.4%	18.4%	16.8%
IV Rank	10.7%	0.0%	38.0%	12.5%	0.0%
IV Percentile	23.3%	0.0%	84.5%	26.2%	0.0%
Term Structure	-0.5%	-3.0%	1.3%	-0.9%	0.2%
VWIV	28.6%	25.0%	32.6%	25.8%	28.2%
Skew 25d	1.5%	0.6%	2.4%	1.2%	0.6%
Skew 10d	3.0%	0.9%	6.3%	0.9%	1.5%
Call IV 25d	23.3%	18.1%	32.3%	25.4%	18.4%
Put IV 25d	24.8%	18.9%	34.4%	26.6%	19.0%
Bid-Ask Spread %	5.51	2.60	17.52	5.40	3.73
Gamma HHI	0.38	0.31	0.46	0.34	0.38
Net GEX	50.0M	25.7M	84.0M	34.7M	27.8M
Net DEX	-2.03B	-2.65B	-1.41B	-1.69B	-1.71B
Net VEX	-15.4M	-16.6M	-14.3M	-15.7M	-14.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.26	0.78	0.59	0.47
Total Volume	214,748.348	103,839	358,074	186,864	153,703
Total OI	7,720,132.478	7,397,976	7,955,428	7,522,603	7,729,045

Daily Data (23 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
2013-10-01	$13.90	$14.00	25.3%	7.2%	13.6%	12.5%	25.8%	1.2%	-0.9%	34.7M	-1.69B	-15.7M	0.59	5.40	117,601	69,263	4,190,613	3,331,990
2013-10-02	$14.06	$13.50	27.3%	7.8%	14.2%	19.6%	27.5%	1.1%	-1.3%	42.5M	-1.83B	-16.4M	0.33	6.98	187,875	62,194	4,239,984	3,372,125
2013-10-03	$14.00	$13.50	28.3%	8.1%	14.1%	22.8%	28.2%	1.4%	-1.1%	45.1M	-1.84B	-16.3M	0.49	7.37	136,573	67,559	4,315,114	3,391,267
2013-10-04	$14.05	$13.50	27.2%	7.8%	14.2%	19.1%	27.8%	1.4%	-0.6%	44.7M	-1.87B	-16.6M	0.78	5.69	100,325	78,210	4,329,628	3,418,204
2013-10-07	$13.81	$13.50	29.7%	8.5%	14.8%	27.6%	29.8%	1.4%	-1.4%	31.4M	-1.54B	-16.4M	0.63	5.87	93,927	59,576	4,266,121	3,401,643
2013-10-08	$13.69	$13.50	32.7%	9.4%	14.4%	38.0%	32.4%	1.5%	-3.0%	25.7M	-1.41B	-16.3M	0.69	6.43	143,543	98,761	4,286,091	3,431,576
2013-10-09	$13.84	$13.50	32.3%	9.3%	15.1%	36.7%	32.6%	2.4%	-2.8%	33.8M	-1.65B	-16.1M	0.50	5.81	149,253	75,284	4,340,375	3,473,345
2013-10-10	$14.23	$0.00	27.0%	7.8%	18.2%	18.3%	26.6%	2.4%	-1.3%	57.0M	-2.11B	-16.2M	0.48	2.60	182,999	87,333	4,381,148	3,510,200
2013-10-11	$14.19	$14.00	25.1%	7.2%	18.2%	11.8%	25.0%	2.2%	-0.5%	49.6M	-2.10B	-15.5M	0.54	9.56	126,010	67,945	4,381,021	3,518,821
2013-10-14	$14.35	$0.00	25.6%	8.2%	18.7%	13.7%	29.2%	2.2%	-1.3%	59.8M	-2.24B	-15.4M	0.55	17.52	141,820	77,762	4,334,589	3,474,150
2013-10-15	$14.24	$12.00	26.9%	8.2%	18.8%	18.1%	29.6%	1.8%	-1.5%	57.9M	-2.16B	-15.5M	0.48	5.54	151,263	71,935	4,380,989	3,498,272
2013-10-16	$14.56	$12.00	20.7%	8.0%	20.1%	0.0%	28.1%	1.5%	0.4%	82.4M	-2.52B	-15.0M	0.40	3.30	256,204	101,870	4,412,211	3,506,688
2013-10-17	$14.66	$12.00	19.5%	8.0%	20.1%	0.0%	28.4%	2.1%	1.3%	81.1M	-2.65B	-15.0M	0.35	3.51	150,191	52,898	4,428,676	3,502,477
2013-10-18	$14.63	$12.00	20.0%	8.0%	19.6%	1.6%	29.8%	1.8%	0.6%	84.0M	-2.58B	-14.7M	0.60	4.81	216,111	128,701	4,447,944	3,507,484
2013-10-21	$14.52	$12.00	19.7%	8.0%	18.2%	0.5%	27.5%	1.7%	-0.2%	61.1M	-2.31B	-14.6M	0.48	4.02	144,383	69,595	4,047,806	3,350,170
2013-10-22	$14.52	$12.00	19.8%	7.9%	18.1%	1.1%	28.0%	1.8%	-0.1%	62.2M	-2.39B	-15.0M	0.45	4.40	133,732	60,401	4,104,430	3,376,873
2013-10-23	$14.21	$12.00	20.9%	8.0%	19.9%	4.6%	28.6%	0.8%	0.4%	46.3M	-2.01B	-14.8M	0.32	4.54	193,408	61,040	4,154,533	3,399,719
2013-10-24	$14.17	$12.00	19.7%	8.1%	19.8%	0.7%	28.1%	1.0%	-0.5%	45.4M	-1.98B	-14.7M	0.44	2.95	174,904	77,573	4,226,391	3,430,826
2013-10-25	$14.26	$12.00	18.9%	8.0%	19.3%	0.0%	27.9%	1.3%	0.1%	46.6M	-2.04B	-14.9M	0.51	4.61	89,512	45,643	4,237,043	3,458,639
2013-10-28	$14.23	$12.00	18.5%	8.1%	19.1%	0.0%	30.9%	0.9%	1.2%	47.3M	-2.07B	-14.6M	0.26	4.03	115,095	30,313	4,190,510	3,425,355
2013-10-29	$14.15	$12.00	18.5%	8.1%	19.1%	0.3%	28.3%	1.1%	0.4%	43.0M	-1.97B	-14.5M	0.45	3.62	160,535	72,550	4,218,509	3,440,002
2013-10-30	$14.17	$12.00	18.3%	8.2%	18.7%	0.0%	28.9%	0.9%	0.6%	41.1M	-2.00B	-14.6M	0.48	4.51	70,150	33,689	4,228,507	3,471,943
2013-10-31	$13.97	$12.00	17.7%	8.2%	19.4%	0.0%	28.2%	0.6%	0.2%	27.8M	-1.71B	-14.3M	0.47	3.73	104,814	48,889	4,244,217	3,484,828