BAC Options History — December 2013

In December 2013, BAC traded between $15.18 and $15.75. ATM implied volatility averaged 23.1%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.7% (HV 20d: 18.4%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.43.

Notable Days

2013-12-18: Highest Volume — 425,820 contracts
2013-12-11: Largest IV spike — 9.8% change
2013-12-19: Highest IV Rank — 35.2%
2013-12-13: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.52	$15.18	$15.75	$15.73	$15.57
Max Pain	$12.00	$12.00	$12.00	$12.00	$12.00
ATM IV	23.1%	20.1%	25.7%	21.4%	22.8%
Expected Move	8.8%	8.6%	8.9%	8.7%	8.6%
HV 20d	18.4%	16.9%	21.5%	20.1%	17.0%
HV 60d	18.9%	18.3%	19.5%	18.4%	19.1%
IV Rank	24.3%	12.0%	35.2%	17.6%	25.0%
IV Percentile	26.0%	10.3%	49.6%	12.7%	23.4%
Term Structure	0.9%	-1.2%	3.3%	2.3%	0.1%
VWIV	30.5%	28.8%	33.3%	29.9%	33.3%
Skew 25d	1.2%	-0.9%	2.3%	1.7%	0.5%
Skew 10d	4.1%	-0.2%	7.0%	5.2%	2.5%
Call IV 25d	23.1%	20.2%	26.4%	20.9%	23.3%
Put IV 25d	24.3%	21.6%	27.6%	22.6%	23.7%
Bid-Ask Spread %	5.42	3.55	8.15	4.42	4.32
Gamma HHI	0.25	0.22	0.27	0.25	0.27
Net GEX	79.7M	61.6M	110.6M	79.5M	77.6M
Net DEX	-3.11B	-3.64B	-2.63B	-3.64B	-3.04B
Net VEX	-16.0M	-16.4M	-14.9M	-16.3M	-15.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.21	1.20	0.42	0.34
Total Volume	213,802.476	73,529	425,820	240,122	151,706
Total OI	7,680,895.048	7,413,522	7,977,708	7,720,089	7,467,194

Daily Data (21 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
2013-12-02	$15.73	$12.00	21.4%	8.7%	20.1%	17.6%	29.9%	1.7%	2.3%	79.5M	-3.64B	-16.3M	0.42	4.42	169,449	70,673	4,375,755	3,344,334
2013-12-03	$15.54	$12.00	21.5%	8.7%	21.1%	17.9%	30.4%	1.2%	1.8%	73.6M	-3.30B	-16.4M	0.48	5.78	217,891	104,586	4,370,263	3,364,381
2013-12-04	$15.63	$12.00	21.8%	8.7%	20.5%	19.2%	30.4%	1.1%	2.4%	74.0M	-3.22B	-16.4M	0.46	4.34	133,845	60,990	4,246,570	3,386,569
2013-12-05	$15.43	$12.00	22.1%	8.8%	21.5%	20.2%	30.2%	2.3%	2.9%	67.5M	-2.93B	-16.4M	0.51	3.72	164,650	83,333	4,264,000	3,392,657
2013-12-06	$15.56	$12.00	21.1%	8.7%	20.6%	16.1%	29.9%	1.9%	2.8%	75.3M	-3.17B	-16.4M	0.31	5.50	190,928	59,345	4,302,033	3,430,192
2013-12-09	$15.58	$12.00	20.6%	8.7%	17.1%	14.4%	30.4%	1.6%	2.7%	77.7M	-3.16B	-16.2M	0.65	5.43	65,956	42,854	4,255,102	3,395,564
2013-12-10	$15.56	$12.00	20.1%	8.6%	17.2%	12.0%	28.9%	1.4%	3.3%	75.0M	-3.10B	-16.2M	0.28	4.96	90,103	25,157	4,261,627	3,409,233
2013-12-11	$15.25	$12.00	22.0%	8.9%	19.0%	20.1%	30.0%	2.1%	2.9%	62.9M	-2.70B	-16.2M	0.41	5.36	172,318	70,101	4,284,450	3,415,605
2013-12-12	$15.25	$12.00	24.0%	8.9%	17.6%	28.1%	30.4%	1.6%	1.9%	62.8M	-2.70B	-16.4M	0.48	4.55	176,255	85,199	4,341,232	3,440,867
2013-12-13	$15.18	$12.00	24.2%	8.9%	17.4%	28.9%	30.5%	2.2%	2.0%	61.6M	-2.63B	-16.4M	0.37	4.18	116,026	43,025	4,370,560	3,457,401
2013-12-16	$15.24	$12.00	25.4%	8.9%	17.3%	34.0%	31.2%	1.9%	-0.6%	67.6M	-2.74B	-16.2M	0.21	5.01	129,990	27,016	4,328,957	3,415,134
2013-12-17	$15.18	$12.00	25.6%	8.8%	17.4%	34.8%	32.2%	1.1%	-0.8%	70.4M	-2.66B	-16.2M	1.20	5.68	116,095	139,840	4,387,359	3,424,274
2013-12-18	$15.69	$12.00	25.0%	8.7%	19.9%	32.4%	29.9%	0.9%	-1.2%	100.9M	-3.40B	-16.3M	0.21	7.63	351,655	74,165	4,410,933	3,468,430
2013-12-19	$15.75	$12.00	25.7%	8.8%	19.8%	35.2%	32.6%	0.9%	-0.2%	110.6M	-3.45B	-16.2M	0.81	6.97	194,720	157,006	4,449,048	3,488,038
2013-12-20	$15.60	$12.00	25.3%	8.7%	17.3%	33.4%	30.0%	-0.9%	-0.9%	99.8M	-3.32B	-16.1M	0.27	8.15	230,571	62,542	4,477,882	3,499,826
2013-12-23	$15.69	$12.00	23.6%	8.8%	17.4%	26.6%	30.7%	0.0%	-0.3%	92.2M	-3.32B	-15.8M	0.33	6.11	131,212	42,857	4,201,568	3,233,543
2013-12-24	$15.70	$12.00	23.5%	8.9%	17.0%	25.9%	29.6%	1.4%	-1.1%	94.0M	-3.36B	-14.9M	0.23	7.06	59,906	13,623	4,239,569	3,242,028
2013-12-26	$15.65	$12.00	23.2%	8.8%	16.9%	24.8%	30.7%	0.2%	-0.2%	87.3M	-3.26B	-15.6M	0.35	6.09	107,355	37,857	4,247,919	3,260,354
2013-12-27	$15.67	$12.00	22.4%	8.7%	16.9%	21.7%	30.1%	0.4%	-0.3%	84.5M	-3.23B	-15.6M	0.22	3.55	128,675	28,158	4,253,936	3,280,887
2013-12-30	$15.54	$12.00	22.7%	8.7%	17.1%	22.7%	28.8%	1.2%	-0.4%	79.4M	-3.04B	-15.4M	0.44	4.94	112,506	49,713	4,167,373	3,246,149
2013-12-31	$15.57	$12.00	22.8%	8.6%	17.0%	25.0%	33.3%	0.5%	0.1%	77.6M	-3.04B	-15.5M	0.34	4.32	113,441	38,265	4,184,580	3,282,614