BAC Options History — March 2014

In March 2014, BAC traded between $16.30 and $17.92. ATM implied volatility averaged 24.3%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.6% (HV 20d: 21.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.41.

Notable Days

2014-03-20: Highest Volume — 788,680 contracts
2014-03-13: Largest IV spike — 7.3% change
2014-03-26: Highest IV Rank — 57.1%
2014-03-03: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.20	$16.30	$17.92	$16.30	$17.20
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	24.3%	22.8%	26.0%	24.5%	23.2%
Expected Move	8.0%	7.8%	8.3%	8.3%	7.9%
HV 20d	21.7%	17.3%	24.5%	17.3%	24.1%
HV 60d	21.8%	20.4%	22.7%	20.4%	21.8%
IV Rank	46.2%	36.5%	57.1%	47.5%	38.9%
IV Percentile	51.8%	30.6%	75.4%	51.6%	36.9%
Term Structure	0.1%	-1.5%	1.4%	-0.5%	0.4%
VWIV	27.3%	25.5%	29.8%	29.4%	26.8%
Skew 25d	1.1%	-0.6%	2.8%	2.5%	-0.5%
Skew 10d	2.2%	-1.1%	5.7%	4.4%	0.0%
Call IV 25d	24.4%	21.5%	26.7%	24.0%	24.6%
Put IV 25d	25.5%	23.5%	27.0%	26.5%	24.1%
Bid-Ask Spread %	4.32	3.17	8.38	5.31	4.20
Gamma HHI	0.24	0.18	0.33	0.25	0.21
Net GEX	72.2M	43.6M	113.5M	43.6M	62.6M
Net DEX	-2.22B	-3.14B	-1.44B	-1.44B	-1.97B
Net VEX	-19.6M	-20.5M	-18.4M	-18.6M	-19.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.22	0.64	0.59	0.33
Total Volume	362,798.095	172,094	788,680	225,638	191,166
Total OI	6,128,396.762	5,728,266	6,449,508	5,728,266	6,055,761

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
2014-03-03	$16.30	$15.00	24.5%	8.3%	17.3%	47.5%	29.4%	2.5%	-0.5%	43.6M	-1.44B	-18.6M	0.59	5.31	142,133	83,505	3,450,727	2,277,539
2014-03-04	$16.73	$15.00	22.9%	8.2%	17.7%	37.0%	29.7%	2.8%	0.4%	62.7M	-1.96B	-18.4M	0.25	5.14	227,783	57,016	3,483,740	2,323,574
2014-03-05	$17.25	$15.00	22.8%	8.2%	20.6%	36.5%	27.0%	0.7%	0.0%	82.8M	-2.58B	-18.9M	0.34	3.17	528,246	179,936	3,520,475	2,344,731
2014-03-06	$17.35	$15.00	23.1%	8.1%	20.6%	38.1%	29.8%	1.0%	0.1%	77.7M	-2.58B	-19.3M	0.33	3.94	424,864	139,755	3,532,329	2,400,133
2014-03-07	$17.33	$15.00	23.0%	8.1%	19.9%	37.9%	28.1%	0.8%	-0.1%	75.2M	-2.52B	-19.2M	0.30	3.69	265,920	80,209	3,575,078	2,429,836
2014-03-10	$17.47	$15.00	24.1%	8.0%	19.9%	44.5%	25.6%	1.7%	1.3%	80.7M	-2.60B	-19.4M	0.62	3.28	244,308	151,378	3,565,494	2,372,509
2014-03-11	$17.27	$15.00	23.3%	7.9%	20.3%	39.9%	27.2%	1.3%	1.0%	78.9M	-2.33B	-19.7M	0.56	3.44	119,597	66,403	3,645,993	2,441,296
2014-03-12	$17.28	$15.00	23.1%	7.9%	20.1%	38.3%	28.2%	0.9%	1.4%	79.1M	-2.38B	-19.8M	0.46	3.75	122,864	56,293	3,690,682	2,459,256
2014-03-13	$17.16	$15.00	24.8%	8.0%	20.0%	49.1%	27.3%	1.6%	1.0%	73.0M	-2.19B	-19.7M	0.36	3.96	230,321	81,830	3,717,949	2,503,489
2014-03-14	$16.80	$15.00	25.7%	8.0%	21.6%	54.9%	27.5%	1.8%	1.1%	57.2M	-1.75B	-20.2M	0.52	4.20	248,801	129,889	3,730,275	2,517,071
2014-03-17	$17.11	$15.00	24.6%	7.9%	22.4%	47.8%	27.6%	2.4%	-0.1%	73.6M	-2.09B	-19.3M	0.39	4.80	174,519	67,905	3,713,808	2,490,172
2014-03-18	$17.19	$15.00	24.7%	7.8%	21.7%	48.8%	27.3%	2.5%	-0.1%	81.7M	-2.22B	-19.6M	0.32	4.51	130,086	42,008	3,752,992	2,514,726
2014-03-19	$17.44	$15.00	25.2%	7.9%	21.0%	51.7%	26.2%	1.9%	-1.5%	94.8M	-2.58B	-19.7M	0.40	4.94	257,270	102,088	3,786,721	2,518,360
2014-03-20	$17.92	$15.00	25.1%	7.8%	22.6%	51.4%	26.4%	1.3%	0.5%	113.5M	-3.14B	-20.0M	0.22	3.50	643,856	144,824	3,781,612	2,551,737
2014-03-21	$17.56	$15.00	24.5%	7.8%	24.2%	47.1%	26.8%	0.8%	0.0%	81.0M	-2.68B	-20.1M	0.26	3.67	454,859	116,190	3,838,759	2,610,749
2014-03-24	$17.37	$15.00	24.4%	7.8%	24.4%	46.6%	25.5%	0.4%	-0.2%	65.1M	-2.15B	-19.7M	0.60	4.12	228,997	136,882	3,575,398	2,436,585
2014-03-25	$17.21	$15.00	25.0%	7.8%	24.2%	50.8%	25.6%	-0.4%	-0.3%	61.1M	-1.98B	-20.2M	0.38	4.69	288,535	108,278	3,654,212	2,502,985
2014-03-26	$17.18	$15.00	26.0%	7.8%	24.3%	57.1%	27.6%	-0.6%	-0.9%	63.0M	-1.98B	-20.5M	0.46	4.39	142,713	65,939	3,728,101	2,525,557
2014-03-27	$17.01	$15.00	25.8%	7.9%	24.5%	55.8%	27.5%	0.1%	-0.3%	51.5M	-1.71B	-20.4M	0.37	3.65	316,921	116,986	3,754,811	2,545,849
2014-03-28	$16.98	$15.00	24.9%	7.9%	24.5%	50.1%	27.1%	-0.3%	-0.2%	56.5M	-1.74B	-20.1M	0.64	8.38	187,845	119,842	3,818,755	2,556,506
2014-03-31	$17.20	$15.00	23.2%	7.9%	24.1%	38.9%	26.8%	-0.5%	0.4%	62.6M	-1.97B	-19.7M	0.33	4.20	143,746	47,420	3,627,226	2,428,535