BAC Options History — August 2014

In August 2014, BAC traded between $14.98 and $16.33. ATM implied volatility averaged 19.4%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.8% (HV 20d: 18.6%). 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 12 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2014-08-21: Highest Volume — 913,113 contracts
2014-08-21: Largest IV spike — 10.9% change
2014-08-07: Highest IV Rank — 42.3%
2014-08-07: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.54	$14.98	$16.33	$14.98	$16.09
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	19.4%	15.9%	23.7%	23.6%	16.9%
Expected Move	6.6%	6.1%	7.2%	7.1%	6.4%
HV 20d	18.6%	14.2%	21.0%	20.5%	17.4%
HV 60d	18.6%	17.0%	19.5%	19.5%	18.9%
IV Rank	17.9%	0.0%	42.3%	41.5%	5.7%
IV Percentile	23.1%	0.0%	69.8%	67.1%	1.2%
Term Structure	0.1%	-0.5%	0.7%	0.1%	0.6%
VWIV	23.2%	21.3%	25.3%	24.4%	22.0%
Skew 25d	1.4%	-0.4%	2.6%	2.2%	0.6%
Skew 10d	3.4%	-0.4%	6.2%	4.9%	3.4%
Call IV 25d	19.2%	16.1%	24.0%	24.0%	16.7%
Put IV 25d	20.5%	17.3%	26.2%	26.2%	17.3%
Bid-Ask Spread %	5.27	3.85	7.84	3.92	5.58
Gamma HHI	0.18	0.15	0.23	0.23	0.21
Net GEX	52.9M	5.2M	99.6M	5.2M	83.0M
Net DEX	-674.4M	-1.90B	177.7M	177.7M	-1.46B
Net VEX	-22.8M	-24.8M	-21.0M	-21.0M	-23.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.22	1.41	1.41	0.53
Total Volume	302,137.524	137,194	913,113	712,882	138,778
Total OI	8,521,041.143	7,946,556	8,790,246	8,365,721	8,790,246

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
2014-08-01	$14.98	$15.00	23.6%	7.1%	20.5%	41.5%	24.4%	2.2%	0.1%	5.2M	177.7M	-21.0M	1.41	3.92	295,776	417,106	5,072,461	3,293,260
2014-08-04	$15.05	$15.00	22.3%	7.0%	20.7%	33.2%	24.8%	1.8%	0.2%	26.6M	75.9M	-22.4M	0.55	4.81	132,362	72,754	5,060,447	3,365,341
2014-08-05	$15.00	$15.00	23.3%	7.2%	19.3%	39.4%	25.2%	2.3%	-0.3%	23.6M	134.3M	-22.4M	0.66	4.56	134,386	88,897	5,109,942	3,386,813
2014-08-06	$15.20	$15.00	23.1%	7.2%	20.0%	38.0%	24.8%	1.9%	0.2%	35.0M	-140.1M	-23.0M	0.60	7.45	194,262	116,120	5,166,191	3,412,735
2014-08-07	$15.12	$15.00	23.7%	7.2%	19.8%	42.3%	25.3%	1.7%	-0.4%	29.3M	-55.6M	-22.6M	0.49	4.64	170,770	83,249	5,203,340	3,446,916
2014-08-08	$15.20	$15.00	22.2%	7.1%	19.9%	32.8%	24.7%	1.9%	-0.5%	29.4M	-160.7M	-22.6M	0.43	5.30	129,267	55,975	5,247,993	3,450,633
2014-08-11	$15.22	$15.00	21.6%	7.0%	19.3%	28.6%	24.3%	1.6%	-0.3%	27.5M	-187.5M	-22.4M	0.33	4.87	166,628	54,818	5,172,052	3,395,323
2014-08-12	$15.21	$15.00	20.8%	6.9%	18.3%	23.7%	23.7%	1.4%	-0.2%	30.5M	-155.1M	-22.0M	0.98	4.47	69,194	68,000	5,244,022	3,406,725
2014-08-13	$15.25	$15.00	19.2%	6.7%	17.2%	13.6%	23.9%	1.2%	-0.1%	30.3M	-194.1M	-21.8M	0.83	3.85	79,405	66,005	5,270,593	3,439,816
2014-08-14	$15.32	$15.00	17.8%	6.5%	15.7%	4.0%	22.7%	1.4%	0.4%	38.8M	-317.4M	-21.9M	0.39	3.99	99,973	38,986	5,290,354	3,455,451
2014-08-15	$15.22	$15.00	18.6%	6.4%	14.2%	9.2%	22.4%	1.7%	-0.4%	28.9M	-169.5M	-21.6M	0.42	4.53	218,708	91,075	5,322,682	3,466,349
2014-08-18	$15.45	$15.00	16.5%	6.2%	15.3%	0.0%	21.6%	2.6%	0.3%	48.7M	-463.9M	-21.8M	0.26	5.48	229,684	60,149	4,749,260	3,197,296
2014-08-19	$15.45	$15.00	15.9%	6.1%	15.3%	0.0%	21.8%	1.3%	-0.0%	63.0M	-506.2M	-21.9M	0.39	5.55	170,576	65,827	4,871,594	3,218,496
2014-08-20	$15.52	$15.00	16.4%	6.1%	15.4%	3.2%	21.3%	1.5%	0.7%	68.4M	-596.5M	-21.8M	0.31	4.53	158,766	48,799	4,905,807	3,255,676
2014-08-21	$16.16	$15.00	18.3%	6.4%	21.0%	13.9%	22.3%	0.8%	0.3%	77.5M	-1.71B	-23.8M	0.26	6.79	722,263	190,850	4,979,274	3,274,413
2014-08-22	$16.13	$15.00	18.1%	6.4%	21.0%	13.3%	22.6%	-0.4%	0.2%	82.4M	-1.69B	-24.8M	0.37	4.63	425,079	158,684	5,146,817	3,368,326
2014-08-25	$16.29	$15.00	17.8%	6.3%	21.0%	10.9%	22.3%	0.3%	0.2%	95.2M	-1.90B	-24.3M	0.37	6.87	274,323	101,801	5,156,745	3,363,604
2014-08-26	$16.33	$15.00	17.3%	6.4%	20.4%	8.0%	22.4%	0.5%	-0.2%	98.3M	-1.86B	-24.1M	0.22	7.84	245,398	52,794	5,192,938	3,404,397
2014-08-27	$16.20	$15.00	17.1%	6.4%	20.2%	6.9%	22.8%	0.7%	0.3%	99.6M	-1.66B	-24.2M	0.49	4.12	158,800	77,604	5,246,093	3,418,592
2014-08-28	$16.01	$15.00	17.2%	6.4%	19.0%	7.8%	21.8%	1.3%	0.2%	89.3M	-1.33B	-23.8M	0.57	6.83	140,770	80,227	5,266,389	3,456,462
2014-08-29	$16.09	$15.00	16.9%	6.4%	17.4%	5.7%	22.0%	0.6%	0.6%	83.0M	-1.46B	-23.8M	0.53	5.58	90,540	48,238	5,313,609	3,476,637