BAC Options History — May 2014 In May 2014, BAC traded between $14.51 and $15.25. ATM implied volatility averaged 19.7%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 10.1% (HV 20d: 29.7%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.51.
Notable Days 2014-05-15 : Highest Volume — 425,706 contracts2014-05-15 : Largest IV spike — 12.7% change2014-05-06 : Highest IV Rank — 27.5%2014-05-06 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $14.88 $14.51 $15.25 $15.09 $15.14 Max Pain $15.10 $15.00 $17.00 $17.00 $15.00 ATM IV 19.7% 17.8% 21.4% 21.3% 18.7% Expected Move 6.8% 6.7% 7.0% 6.9% 6.8% HV 20d 29.7% 21.7% 33.5% 33.0% 21.7% HV 60d 26.2% 25.5% 27.2% 25.6% 25.6% IV Rank 16.4% 4.2% 27.5% 26.6% 10.1% IV Percentile 10.8% 2.4% 19.8% 17.9% 5.6% Term Structure 0.4% -0.5% 2.1% -0.1% 0.2% VWIV 23.9% 23.2% 25.3% 24.2% 23.2% Skew 25d 1.5% 0.9% 2.5% 1.8% 0.9% Skew 10d 3.5% 1.8% 4.9% 4.8% 2.5% Call IV 25d 19.4% 17.6% 20.8% 20.8% 18.5% Put IV 25d 20.9% 19.0% 22.6% 22.6% 19.4% Bid-Ask Spread % 5.04 3.85 6.50 6.50 4.55 Gamma HHI 0.17 0.15 0.19 0.16 0.16 Net GEX 25.3M 11.5M 38.5M 19.7M 34.8M Net DEX -2.0M -426.4M 391.5M -79.8M -366.6M Net VEX -19.9M -22.0M -18.7M -19.0M -21.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.24 0.81 0.45 0.49 Total Volume 212,188.571 111,324 425,706 179,263 111,324 Total OI 7,310,928.048 6,949,865 7,783,926 7,072,005 7,403,527
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 2014-05-01 $15.09 $17.00 21.3% 6.9% 33.0% 26.6% 24.2% 1.8% -0.1% 19.7M -79.8M -19.0M 0.45 6.50 123,405 55,858 4,245,733 2,826,272 2014-05-02 $15.25 $15.00 20.3% 6.9% 33.5% 20.7% 25.3% 2.5% -0.1% 24.6M -224.8M -19.6M 0.44 3.85 128,874 56,217 4,299,928 2,864,514 2014-05-05 $15.08 $15.00 20.6% 6.9% 32.8% 22.1% 23.4% 1.8% -0.4% 22.6M -72.5M -19.6M 0.41 4.20 115,830 47,577 4,231,146 2,832,783 2014-05-06 $14.73 $15.00 21.4% 7.0% 33.0% 27.5% 24.5% 1.7% 0.1% 13.6M 225.0M -18.7M 0.56 4.51 237,335 133,302 4,281,550 2,851,239 2014-05-07 $14.80 $15.00 20.9% 6.9% 33.0% 24.1% 23.6% 1.4% 0.1% 17.4M 161.1M -18.9M 0.57 6.04 151,117 86,694 4,397,535 2,904,706 2014-05-08 $14.93 $15.00 20.8% 6.8% 32.9% 23.2% 23.6% 1.7% 0.0% 24.6M -2.5M -20.0M 0.36 5.75 150,769 54,099 4,475,449 2,949,526 2014-05-09 $14.74 $15.00 21.3% 7.0% 31.7% 26.6% 24.2% 1.6% 0.2% 21.5M 184.8M -19.6M 0.53 5.69 138,624 73,215 4,535,232 2,957,532 2014-05-12 $15.07 $15.00 19.6% 6.8% 32.3% 15.7% 23.4% 2.1% -0.0% 34.7M -195.5M -20.2M 0.53 4.43 137,528 72,290 4,533,632 2,956,793 2014-05-13 $15.03 $15.00 19.1% 6.8% 31.7% 12.8% 24.2% 2.0% 0.1% 38.5M -118.6M -20.2M 0.41 4.62 107,320 43,983 4,583,908 2,984,281 2014-05-14 $14.84 $15.00 18.5% 6.7% 30.2% 8.7% 23.6% 1.1% 0.6% 30.5M 115.9M -19.4M 0.73 4.22 109,858 79,702 4,617,409 2,990,796 2014-05-15 $14.55 $15.00 20.8% 6.9% 30.4% 23.8% 24.1% 1.7% -0.5% 11.5M 350.7M -18.9M 0.81 5.93 235,125 190,581 4,629,084 3,003,519 2014-05-16 $14.51 $15.00 20.2% 6.9% 30.3% 19.5% 23.9% 1.1% -0.3% 14.7M 391.5M -19.5M 0.60 6.06 166,102 99,807 4,729,560 3,054,366 2014-05-19 $14.67 $15.00 19.0% 6.8% 30.9% 12.2% 23.6% 1.8% 1.6% 20.9M 136.7M -19.6M 0.27 4.52 194,686 52,308 4,207,195 2,742,670 2014-05-20 $14.53 $15.00 18.9% 6.7% 30.2% 11.1% 23.9% 1.7% 1.1% 19.1M 255.0M -19.3M 0.50 4.67 110,222 54,685 4,287,510 2,769,969 2014-05-21 $14.61 $15.00 18.8% 6.7% 30.3% 10.8% 23.4% 0.9% 0.8% 22.0M 187.3M -19.7M 0.33 5.86 88,374 28,866 4,343,821 2,792,014 2014-05-22 $14.71 $15.00 17.8% 6.7% 30.6% 4.2% 23.7% 1.8% 2.1% 27.1M 135.4M -19.5M 0.67 5.06 104,454 70,456 4,376,076 2,802,045 2014-05-23 $14.72 $15.00 17.8% 6.7% 29.8% 4.6% 23.8% 1.5% 1.3% 21.2M 111.6M -19.8M 0.54 5.42 96,751 52,103 4,440,123 2,851,144 2014-05-27 $15.22 $15.00 19.1% 6.8% 22.8% 12.9% 23.6% 1.4% 0.2% 37.7M -426.4M -21.5M 0.24 4.63 309,734 74,686 4,324,073 2,826,674 2014-05-28 $15.14 $15.00 19.3% 6.8% 21.8% 13.9% 24.0% 0.9% 0.3% 38.4M -392.4M -21.2M 0.71 4.63 115,224 82,355 4,417,156 2,855,506 2014-05-29 $15.15 $15.00 19.2% 6.8% 21.7% 13.1% 23.8% 0.9% 0.3% 36.7M -418.8M -22.0M 0.59 4.73 72,159 42,361 4,466,155 2,887,338 2014-05-30 $15.14 $15.00 18.7% 6.8% 21.7% 10.1% 23.2% 0.9% 0.2% 34.8M -366.6M -21.9M 0.49 4.55 74,468 36,856 4,492,037 2,911,490
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