BAC Options History — February 2014

In February 2014, BAC traded between $16.20 and $16.88. ATM implied volatility averaged 23.0%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.5% (HV 20d: 21.5%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.49.

Notable Days

2014-02-03: Highest Volume — 371,770 contracts
2014-02-07: Largest IV drop — 8.6% change
2014-02-03: Highest IV Rank — 52.6%
2014-02-03: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.52	$16.20	$16.88	$16.35	$16.53
Max Pain	$14.21	$12.00	$15.00	$12.00	$15.00
ATM IV	23.0%	20.6%	27.5%	27.5%	23.3%
Expected Move	8.4%	8.3%	8.6%	8.6%	8.3%
HV 20d	21.5%	17.1%	24.6%	24.6%	17.1%
HV 60d	20.8%	20.1%	22.1%	22.1%	20.4%
IV Rank	31.1%	17.7%	52.6%	52.6%	39.5%
IV Percentile	32.2%	13.9%	74.2%	74.2%	36.1%
Term Structure	0.4%	-0.2%	1.6%	0.9%	-0.0%
VWIV	29.2%	26.0%	31.3%	29.8%	29.7%
Skew 25d	1.9%	1.3%	2.5%	2.1%	2.3%
Skew 10d	4.1%	1.8%	5.5%	4.0%	4.7%
Call IV 25d	22.7%	19.8%	27.6%	27.6%	22.6%
Put IV 25d	24.6%	21.7%	29.6%	29.6%	25.0%
Bid-Ask Spread %	5.33	3.65	7.28	3.65	7.28
Gamma HHI	0.25	0.19	0.34	0.22	0.31
Net GEX	48.6M	19.4M	103.4M	38.4M	103.4M
Net DEX	-1.79B	-2.20B	-1.44B	-1.66B	-1.73B
Net VEX	-18.4M	-19.3M	-18.0M	-19.3M	-18.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.25	0.70	0.51	0.38
Total Volume	218,630.474	126,787	371,770	371,770	343,381
Total OI	5,886,800.263	5,526,077	6,166,266	5,715,595	5,791,102

Daily Data (19 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
2014-02-03	$16.35	$12.00	27.5%	8.6%	24.6%	52.6%	29.8%	2.1%	0.9%	38.4M	-1.66B	-19.3M	0.51	3.65	246,562	125,208	3,348,507	2,367,088
2014-02-04	$16.35	$12.00	25.9%	8.5%	23.9%	44.4%	30.1%	1.6%	1.3%	38.6M	-1.69B	-18.3M	0.61	5.85	128,667	78,795	3,420,850	2,415,486
2014-02-05	$16.40	$12.00	25.0%	8.5%	23.8%	40.0%	30.3%	2.2%	1.6%	39.5M	-1.72B	-18.4M	0.70	4.58	150,134	104,549	3,442,965	2,443,339
2014-02-06	$16.69	$15.00	23.7%	8.5%	24.5%	33.4%	31.3%	2.4%	0.5%	54.5M	-2.06B	-18.5M	0.62	5.77	172,421	106,937	3,469,897	2,471,659
2014-02-07	$16.82	$15.00	21.6%	8.6%	24.1%	22.9%	30.7%	2.2%	0.7%	53.2M	-2.20B	-18.4M	0.55	4.94	192,653	106,257	3,483,184	2,513,594
2014-02-10	$16.72	$12.00	22.8%	8.5%	24.2%	28.8%	26.0%	2.1%	-0.2%	49.7M	-2.03B	-18.4M	0.64	6.56	103,544	66,311	3,390,076	2,469,522
2014-02-11	$16.88	$12.00	21.3%	8.4%	23.1%	21.0%	29.5%	2.0%	0.9%	63.5M	-2.19B	-18.4M	0.59	5.73	123,131	72,288	3,423,283	2,494,278
2014-02-12	$16.75	$15.00	22.1%	8.4%	22.2%	25.4%	28.6%	2.1%	0.2%	56.5M	-2.06B	-18.5M	0.58	5.83	90,493	52,555	3,444,670	2,522,087
2014-02-13	$16.75	$15.00	21.9%	8.4%	20.5%	24.2%	28.2%	2.5%	0.7%	58.7M	-2.04B	-18.2M	0.30	5.58	97,605	29,182	3,468,130	2,541,132
2014-02-14	$16.70	$15.00	20.6%	8.3%	20.5%	17.7%	28.4%	1.9%	0.8%	54.4M	-2.00B	-18.0M	0.51	6.09	90,202	45,893	3,496,673	2,554,565
2014-02-18	$16.47	$15.00	21.7%	8.3%	21.0%	23.3%	28.6%	1.5%	0.0%	37.7M	-1.72B	-18.3M	0.58	4.72	128,169	74,336	3,450,666	2,510,386
2014-02-19	$16.20	$15.00	23.3%	8.3%	21.6%	31.2%	29.2%	1.4%	-0.2%	19.4M	-1.44B	-18.0M	0.42	5.55	184,982	77,729	3,497,535	2,543,798
2014-02-20	$16.30	$15.00	23.1%	8.3%	21.5%	30.1%	29.2%	1.6%	-0.2%	27.0M	-1.56B	-18.3M	0.49	3.84	111,681	54,185	3,571,579	2,564,959
2014-02-21	$16.29	$15.00	22.3%	8.4%	20.8%	26.1%	29.4%	1.6%	0.5%	32.9M	-1.61B	-18.4M	0.34	4.53	195,295	65,599	3,609,590	2,556,676
2014-02-24	$16.53	$15.00	23.0%	8.3%	19.7%	29.6%	28.9%	2.4%	0.2%	48.7M	-1.73B	-18.1M	0.35	5.52	167,401	58,203	3,302,340	2,223,737
2014-02-25	$16.34	$15.00	22.3%	8.4%	19.9%	26.1%	29.3%	1.5%	0.6%	43.8M	-1.48B	-18.4M	0.50	5.36	111,708	55,378	3,363,943	2,252,152
2014-02-26	$16.33	$15.00	22.9%	8.4%	17.6%	33.0%	28.7%	1.3%	-0.2%	42.6M	-1.44B	-18.5M	0.45	4.19	142,118	64,655	3,393,377	2,278,586
2014-02-27	$16.49	$15.00	23.5%	8.3%	18.0%	40.7%	29.1%	1.9%	0.2%	61.1M	-1.63B	-18.9M	0.25	5.80	108,526	27,246	3,446,415	2,311,379
2014-02-28	$16.53	$15.00	23.3%	8.3%	17.1%	39.5%	29.7%	2.3%	-0.0%	103.4M	-1.73B	-18.9M	0.38	7.28	248,392	94,989	3,476,163	2,314,939