BAC Options History — October 2014

In October 2014, BAC traded between $15.77 and $17.29. ATM implied volatility averaged 23.3%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.2% (HV 20d: 24.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.53.

Notable Days

2014-10-15: Highest Volume — 740,947 contracts
2014-10-28: Largest IV drop — 14.2% change
2014-10-10: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.68	$15.77	$17.29	$16.82	$17.15
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	23.3%	16.7%	31.6%	23.0%	18.1%
Expected Move	7.1%	6.3%	8.6%	6.8%	6.3%
HV 20d	24.5%	16.7%	29.1%	16.7%	27.9%
HV 60d	20.6%	18.2%	22.4%	18.2%	21.6%
IV Rank	46.9%	4.8%	100.0%	42.1%	14.0%
IV Percentile	59.3%	1.2%	100.0%	67.5%	9.9%
Term Structure	-0.1%	-1.8%	1.0%	0.3%	0.9%
VWIV	25.4%	22.3%	30.8%	23.7%	22.9%
Skew 25d	3.3%	1.7%	5.8%	1.9%	2.0%
Skew 10d	8.0%	3.3%	14.7%	3.3%	6.5%
Call IV 25d	22.3%	16.8%	30.4%	23.4%	16.9%
Put IV 25d	25.7%	18.9%	34.9%	25.3%	18.9%
Bid-Ask Spread %	3.92	1.70	8.59	7.52	1.80
Gamma HHI	0.23	0.16	0.38	0.20	0.28
Net GEX	71.4M	36.1M	109.6M	71.5M	96.0M
Net DEX	-1.52B	-2.64B	-152.1M	-1.79B	-2.22B
Net VEX	-25.4M	-26.5M	-24.0M	-25.7M	-25.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.23	0.80	0.62	0.46
Total Volume	325,217.261	145,322	740,947	240,753	343,804
Total OI	9,223,987.609	8,801,919	9,532,372	9,171,440	9,488,456

Daily Data (23 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
2014-10-01	$16.82	$15.00	23.0%	6.8%	16.7%	42.1%	23.7%	1.9%	0.3%	71.5M	-1.79B	-25.7M	0.62	7.52	148,774	91,979	5,281,104	3,890,336
2014-10-02	$16.88	$15.00	23.8%	6.9%	16.7%	46.9%	23.8%	2.1%	-0.7%	75.2M	-1.87B	-26.0M	0.42	6.81	229,645	97,174	5,316,502	3,916,344
2014-10-03	$17.29	$15.00	22.1%	6.7%	18.1%	36.9%	23.0%	2.6%	0.2%	83.4M	-2.64B	-26.0M	0.23	5.95	348,020	78,882	5,337,058	3,946,040
2014-10-06	$17.29	$15.00	22.6%	6.7%	17.0%	39.6%	22.3%	2.5%	-0.6%	87.4M	-2.58B	-25.8M	0.44	6.43	196,297	86,034	5,263,925	3,901,603
2014-10-07	$16.88	$15.00	24.3%	7.0%	18.8%	50.0%	24.8%	1.7%	-0.8%	70.5M	-1.89B	-25.7M	0.62	8.59	183,867	113,689	5,333,748	3,922,407
2014-10-08	$17.11	$15.00	24.4%	7.0%	18.8%	50.5%	24.3%	3.3%	-0.1%	80.7M	-2.19B	-25.6M	0.33	2.41	227,901	75,670	5,369,825	3,983,341
2014-10-09	$16.61	$15.00	27.1%	7.4%	21.5%	67.9%	26.4%	2.5%	-0.6%	52.0M	-1.40B	-26.0M	0.41	2.12	273,356	113,344	5,416,284	3,990,945
2014-10-10	$16.68	$15.00	28.8%	7.7%	21.0%	100.0%	27.5%	3.7%	-0.2%	53.2M	-1.51B	-26.5M	0.53	5.26	181,036	95,418	5,483,612	4,009,256
2014-10-13	$16.42	$15.00	31.6%	8.4%	21.7%	100.0%	30.8%	3.1%	0.9%	51.9M	-1.17B	-26.1M	0.72	5.32	184,230	131,735	5,351,667	3,935,453
2014-10-14	$16.55	$15.00	30.2%	7.8%	21.9%	90.6%	28.5%	4.2%	-1.8%	59.3M	-1.33B	-26.0M	0.43	2.08	117,770	50,902	5,398,314	3,940,765
2014-10-15	$15.77	$15.00	31.5%	8.6%	27.6%	99.0%	30.1%	4.5%	-1.5%	36.1M	-152.1M	-25.2M	0.45	2.76	510,858	230,089	5,444,456	3,958,559
2014-10-16	$16.08	$15.00	29.6%	8.2%	27.9%	87.4%	29.8%	5.8%	-1.2%	61.8M	-634.0M	-25.3M	0.55	5.59	260,192	143,419	5,532,825	3,926,104
2014-10-17	$16.21	$15.00	25.5%	7.7%	28.2%	61.2%	27.6%	4.9%	-0.5%	63.9M	-821.4M	-25.1M	0.62	2.52	304,539	190,291	5,572,699	3,959,673
2014-10-20	$16.27	$15.00	22.0%	7.5%	28.2%	38.5%	27.1%	3.7%	0.4%	48.5M	-829.9M	-25.1M	0.52	2.53	157,053	81,464	5,135,224	3,666,695
2014-10-21	$16.58	$15.00	19.7%	6.9%	29.1%	24.1%	25.0%	4.1%	0.9%	70.1M	-1.34B	-24.7M	0.45	2.23	137,201	61,454	5,193,760	3,700,117
2014-10-22	$16.41	$15.00	20.9%	7.2%	29.1%	31.5%	24.9%	3.3%	-0.4%	63.6M	-1.08B	-24.4M	0.58	2.10	163,570	95,018	5,249,984	3,714,270
2014-10-23	$16.58	$15.00	19.7%	6.8%	28.7%	24.2%	24.2%	3.6%	0.4%	70.7M	-1.31B	-24.9M	0.36	5.44	207,171	73,926	5,306,254	3,742,288
2014-10-24	$16.71	$15.00	19.1%	6.7%	28.5%	20.4%	23.8%	3.6%	0.5%	81.0M	-1.64B	-24.9M	0.80	1.99	119,919	95,869	5,334,143	3,752,694
2014-10-27	$16.56	$15.00	19.4%	6.7%	28.7%	22.3%	25.2%	3.7%	0.3%	72.7M	-1.26B	-24.4M	0.76	1.84	82,602	62,720	5,243,461	3,708,373
2014-10-28	$16.78	$15.00	16.7%	6.4%	29.1%	4.8%	23.8%	3.5%	1.0%	85.8M	-1.56B	-24.0M	0.74	1.70	209,961	156,086	5,258,226	3,740,477
2014-10-29	$17.00	$15.00	17.6%	6.4%	29.1%	10.8%	23.0%	3.8%	0.7%	97.1M	-1.85B	-25.5M	0.62	3.56	320,510	199,046	5,319,697	3,815,272
2014-10-30	$17.03	$15.00	18.4%	6.4%	29.1%	15.5%	23.0%	2.5%	0.4%	109.6M	-1.95B	-26.5M	0.58	3.58	156,668	90,844	5,446,969	3,952,510
2014-10-31	$17.15	$15.00	18.1%	6.3%	27.9%	14.0%	22.9%	2.0%	0.9%	96.0M	-2.22B	-25.9M	0.46	1.80	235,709	108,095	5,500,182	3,988,274