BAC Options History — June 2014 In June 2014, BAC traded between $15.21 and $15.92. ATM implied volatility averaged 19.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.0% (HV 20d: 18.8%). 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 14 of 21 days. Put/call ratio averaged 0.42.
Notable Days 2014-06-06 : Highest Volume — 331,462 contracts2014-06-16 : Largest IV spike — 11.6% change2014-06-16 : Highest IV Rank — 29.1%2014-06-13 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $15.48 $15.21 $15.92 $15.26 $15.37 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 19.9% 17.9% 21.7% 18.4% 20.2% Expected Move 6.8% 6.6% 7.0% 6.9% 6.8% HV 20d 18.8% 16.5% 21.5% 21.5% 16.5% HV 60d 25.3% 24.9% 26.1% 25.6% 24.9% IV Rank 17.5% 5.2% 29.1% 8.1% 19.7% IV Percentile 18.2% 3.6% 32.9% 4.0% 22.6% Term Structure 0.7% -0.7% 3.6% 0.0% -0.1% VWIV 24.0% 23.0% 24.6% 23.8% 23.0% Skew 25d 1.7% 0.2% 3.0% 0.9% 3.0% Skew 10d 3.7% -0.1% 6.4% 3.5% 4.3% Call IV 25d 19.6% 17.4% 21.7% 18.5% 19.5% Put IV 25d 21.3% 19.0% 23.9% 19.4% 22.5% Bid-Ask Spread % 5.33 3.82 6.48 4.57 5.12 Gamma HHI 0.19 0.16 0.26 0.17 0.19 Net GEX 49.0M 28.6M 72.1M 40.7M 32.9M Net DEX -671.0M -1.32B -311.2M -502.5M -349.7M Net VEX -22.5M -23.7M -21.6M -21.8M -21.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.26 0.68 0.44 0.39 Total Volume 181,319.667 104,220 331,462 130,138 167,920 Total OI 7,528,039.143 7,282,673 7,813,473 7,298,750 7,456,142
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 2014-06-02 $15.26 $15.00 18.4% 6.9% 21.5% 8.1% 23.8% 0.9% 0.0% 40.7M -502.5M -21.8M 0.44 4.57 90,379 39,759 4,427,233 2,871,517 2014-06-03 $15.21 $15.00 19.1% 6.9% 21.2% 12.9% 24.1% 1.0% 0.3% 39.9M -453.0M -21.6M 0.28 3.82 89,332 24,824 4,461,262 2,890,181 2014-06-04 $15.21 $15.00 19.0% 6.9% 19.2% 11.7% 24.6% 0.2% 0.6% 41.0M -450.2M -21.6M 0.40 5.06 74,322 29,898 4,493,113 2,901,719 2014-06-05 $15.43 $15.00 18.8% 6.9% 19.7% 10.4% 24.2% 1.5% 0.1% 59.1M -746.6M -21.9M 0.28 4.66 163,117 45,562 4,513,866 2,912,567 2014-06-06 $15.59 $15.00 18.2% 6.6% 19.8% 6.7% 23.7% 1.6% -0.5% 55.2M -910.3M -22.6M 0.26 5.46 263,348 68,114 4,539,659 2,940,613 2014-06-09 $15.84 $15.00 18.9% 6.8% 19.5% 11.2% 24.0% 1.9% 2.1% 64.2M -1.23B -23.6M 0.46 5.98 186,457 85,160 4,538,122 2,913,085 2014-06-10 $15.92 $15.00 17.9% 6.8% 18.3% 5.2% 24.2% 1.1% 1.9% 68.0M -1.32B -23.7M 0.42 5.54 120,504 51,012 4,548,518 2,963,587 2014-06-11 $15.59 $15.00 19.1% 6.8% 20.0% 12.8% 23.8% 1.6% 1.9% 52.6M -842.4M -23.4M 0.39 5.10 143,901 55,986 4,573,192 2,985,969 2014-06-12 $15.42 $15.00 19.6% 7.0% 19.9% 15.8% 24.1% 0.9% 2.7% 41.5M -636.2M -22.5M 0.68 5.32 107,557 72,646 4,608,578 3,002,809 2014-06-13 $15.44 $15.00 19.4% 7.0% 18.2% 14.6% 24.3% 2.0% 3.6% 36.9M -626.2M -23.0M 0.52 5.97 120,622 63,149 4,639,302 3,022,941 2014-06-16 $15.28 $15.00 21.7% 7.0% 18.7% 29.1% 24.3% 2.3% -0.7% 28.6M -424.6M -22.7M 0.54 5.36 97,686 52,546 4,602,872 3,009,094 2014-06-17 $15.59 $15.00 21.3% 6.9% 19.5% 26.5% 23.9% 2.0% 0.9% 51.2M -827.0M -23.5M 0.37 5.56 152,136 55,994 4,635,301 3,027,898 2014-06-18 $15.65 $15.00 20.5% 6.9% 18.9% 21.9% 24.6% 1.6% 1.1% 65.2M -919.6M -23.4M 0.33 4.78 188,208 62,369 4,684,862 3,051,932 2014-06-19 $15.55 $15.00 20.3% 6.8% 19.2% 20.4% 23.9% 1.5% 0.9% 71.6M -777.5M -22.6M 0.40 6.48 80,016 31,731 4,729,124 3,074,607 2014-06-20 $15.45 $15.00 21.1% 6.9% 19.5% 25.3% 23.7% 1.5% -0.5% 72.1M -548.6M -22.7M 0.28 5.66 137,761 39,107 4,725,378 3,088,095 2014-06-23 $15.64 $15.00 20.1% 6.6% 19.8% 19.0% 23.8% 1.9% 0.3% 45.5M -789.8M -22.3M 0.58 5.51 148,894 86,463 4,371,927 2,910,746 2014-06-24 $15.49 $15.00 20.9% 6.8% 16.6% 24.5% 23.8% 1.8% -0.2% 42.8M -560.1M -22.3M 0.52 5.62 115,589 59,928 4,436,059 2,974,641 2014-06-25 $15.47 $15.00 20.6% 6.9% 16.5% 22.0% 23.6% 2.9% 0.2% 42.4M -483.3M -22.5M 0.40 5.24 119,516 47,446 4,474,884 3,002,033 2014-06-26 $15.41 $15.00 21.4% 6.9% 16.6% 27.4% 24.2% 2.3% -0.2% 44.9M -380.2M -21.9M 0.44 5.43 88,410 38,858 4,505,895 3,018,266 2014-06-27 $15.33 $15.00 20.6% 6.9% 16.7% 22.2% 23.3% 2.3% -0.0% 32.3M -311.2M -21.8M 0.35 5.59 104,924 36,562 4,532,182 3,029,051 2014-06-30 $15.37 $15.00 20.2% 6.8% 16.5% 19.7% 23.0% 3.0% -0.1% 32.9M -349.7M -21.8M 0.39 5.12 120,400 47,520 4,460,719 2,995,423
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