BAC Options History — July 2014

In July 2014, BAC traded between $15.20 and $16.03. ATM implied volatility averaged 20.6%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.8% (HV 20d: 18.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2014-07-16: Highest Volume — 456,991 contracts
2014-07-31: Largest IV spike — 14.7% change
2014-07-10: Highest IV Rank — 46.5%
2014-07-10: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.57	$15.20	$16.03	$15.60	$15.25
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	20.6%	17.9%	24.4%	20.9%	22.0%
Expected Move	6.6%	6.4%	6.9%	6.6%	6.9%
HV 20d	18.8%	17.0%	20.4%	17.2%	20.4%
HV 60d	22.4%	19.1%	24.7%	24.6%	19.1%
IV Rank	22.2%	5.3%	46.5%	24.1%	31.0%
IV Percentile	29.6%	4.0%	74.6%	29.8%	46.8%
Term Structure	0.0%	-1.0%	0.8%	-1.0%	-0.5%
VWIV	23.1%	22.1%	24.0%	23.6%	23.9%
Skew 25d	1.2%	0.6%	2.3%	2.3%	1.3%
Skew 10d	2.4%	0.5%	6.0%	6.0%	0.5%
Call IV 25d	20.6%	18.0%	24.5%	19.5%	21.8%
Put IV 25d	21.8%	19.0%	25.5%	21.8%	23.0%
Bid-Ask Spread %	4.86	3.75	6.81	4.08	4.57
Gamma HHI	0.20	0.17	0.36	0.18	0.18
Net GEX	51.3M	25.8M	104.2M	48.9M	41.2M
Net DEX	-650.3M	-1.41B	-134.9M	-646.1M	-246.9M
Net VEX	-22.4M	-23.1M	-21.6M	-21.9M	-22.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.26	0.82	0.32	0.82
Total Volume	240,706.773	107,518	456,991	189,209	232,380
Total OI	8,005,113.227	7,551,862	8,441,361	7,551,862	8,290,032

Daily Data (22 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
2014-07-01	$15.60	$15.00	20.9%	6.6%	17.2%	24.1%	23.6%	2.3%	-1.0%	48.9M	-646.1M	-21.9M	0.32	4.08	142,843	46,366	4,534,163	3,017,699
2014-07-02	$15.85	$15.00	20.1%	6.5%	18.0%	18.8%	23.1%	1.2%	-0.7%	60.4M	-1.09B	-22.7M	0.27	4.63	301,502	80,159	4,580,831	3,035,328
2014-07-03	$16.03	$15.00	20.5%	6.6%	17.8%	21.4%	24.0%	1.1%	-0.4%	104.2M	-1.41B	-23.0M	0.27	5.57	224,555	60,780	4,669,071	3,057,627
2014-07-07	$15.94	$15.00	20.8%	6.6%	17.7%	23.6%	22.8%	0.9%	-0.2%	60.6M	-1.14B	-22.7M	0.41	5.69	147,474	60,794	4,631,359	3,044,844
2014-07-08	$15.58	$15.00	22.6%	6.7%	18.7%	35.4%	23.9%	1.6%	-0.2%	43.5M	-712.9M	-22.2M	0.44	3.75	174,539	76,243	4,689,145	3,077,057
2014-07-09	$15.60	$15.00	23.6%	6.7%	18.6%	41.9%	23.4%	0.9%	-0.4%	42.6M	-706.2M	-22.3M	0.50	3.90	105,324	53,033	4,756,167	3,099,185
2014-07-10	$15.44	$15.00	24.4%	6.9%	17.4%	46.5%	23.7%	1.0%	0.1%	35.5M	-477.3M	-22.1M	0.51	6.81	211,012	106,758	4,789,058	3,127,395
2014-07-11	$15.38	$15.00	23.9%	6.8%	17.0%	43.4%	23.6%	0.7%	0.1%	39.1M	-329.6M	-22.1M	0.52	5.28	140,732	73,703	4,818,721	3,171,494
2014-07-14	$15.57	$15.00	23.1%	6.7%	17.6%	38.6%	23.7%	1.8%	0.7%	48.6M	-642.9M	-22.5M	0.46	4.28	144,852	66,506	4,774,562	3,138,710
2014-07-15	$15.81	$15.00	22.1%	6.6%	17.8%	31.8%	23.8%	1.6%	0.1%	64.7M	-1.05B	-22.7M	0.39	5.61	323,252	124,790	4,828,783	3,159,088
2014-07-16	$15.51	$15.00	19.6%	6.5%	17.9%	16.0%	22.5%	1.2%	0.6%	46.2M	-513.6M	-22.1M	0.40	6.17	325,706	131,285	4,913,277	3,217,535
2014-07-17	$15.20	$15.00	21.4%	6.7%	19.2%	27.7%	23.1%	1.7%	-0.9%	25.8M	-134.9M	-21.8M	0.67	4.01	232,183	155,672	5,006,010	3,251,360
2014-07-18	$15.49	$15.00	20.2%	6.6%	20.4%	19.5%	22.9%	1.4%	0.0%	49.3M	-554.3M	-22.3M	0.33	5.55	201,992	67,038	5,133,856	3,307,505
2014-07-21	$15.52	$15.00	19.1%	6.5%	20.2%	12.6%	22.5%	1.4%	0.3%	47.5M	-568.3M	-22.7M	0.41	5.10	129,462	53,463	4,809,169	3,168,903
2014-07-22	$15.52	$15.00	18.8%	6.4%	19.7%	10.4%	23.2%	0.8%	0.2%	52.7M	-566.3M	-22.5M	0.41	5.24	77,505	32,033	4,877,617	3,189,586
2014-07-23	$15.52	$15.00	17.9%	6.4%	19.4%	5.3%	23.2%	1.1%	0.8%	55.0M	-589.7M	-22.6M	0.34	4.13	106,235	35,757	4,906,085	3,202,816
2014-07-24	$15.62	$15.00	18.2%	6.4%	19.6%	6.8%	22.6%	0.6%	0.5%	63.8M	-734.2M	-22.8M	0.45	4.99	80,364	36,406	4,941,936	3,216,324
2014-07-25	$15.59	$15.00	18.2%	6.4%	19.5%	6.6%	22.2%	1.0%	0.5%	51.3M	-704.1M	-23.1M	0.30	4.93	115,211	34,230	4,965,322	3,231,215
2014-07-28	$15.50	$15.00	18.5%	6.6%	19.5%	8.7%	22.4%	1.2%	0.3%	48.8M	-521.0M	-22.1M	0.58	4.54	67,947	39,571	4,912,853	3,209,200
2014-07-29	$15.34	$15.00	18.1%	6.5%	19.9%	6.5%	22.1%	0.8%	0.3%	41.2M	-327.2M	-21.6M	0.53	3.93	88,634	46,567	4,930,309	3,225,868
2014-07-30	$15.58	$15.00	19.1%	6.4%	20.0%	12.9%	22.4%	0.6%	0.4%	58.8M	-650.3M	-22.4M	0.26	4.13	270,662	70,029	4,966,742	3,238,684
2014-07-31	$15.25	$15.00	22.0%	6.9%	20.4%	31.0%	23.9%	1.3%	-0.5%	41.2M	-246.9M	-22.3M	0.82	4.57	127,898	104,482	5,034,613	3,255,419