BAC Options History — November 2014 In November 2014, BAC traded between $16.98 and $17.35. ATM implied volatility averaged 16.5%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.9% (HV 20d: 15.6%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.53.
Notable Days 2014-11-03 : Highest Volume — 280,525 contracts2014-11-12 : Largest IV drop — 5.9% change2014-11-03 : Highest IV Rank — 19.5%2014-11-04 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $17.19 $16.98 $17.35 $17.24 $17.04 Max Pain $15.32 $15.00 $16.00 $15.00 $16.00 ATM IV 16.5% 13.9% 19.0% 19.0% 14.4% Expected Move 5.9% 5.4% 6.3% 6.3% 5.5% HV 20d 15.6% 7.1% 27.9% 27.9% 7.3% HV 60d 20.6% 19.5% 21.7% 21.6% 19.5% IV Rank 6.5% 0.0% 19.5% 19.5% 2.5% IV Percentile 4.3% 0.0% 19.4% 19.4% 1.2% Term Structure 0.5% -0.5% 1.2% 1.0% 0.9% VWIV 20.7% 18.7% 23.2% 23.2% 19.8% Skew 25d 1.9% 0.8% 2.8% 2.8% 1.0% Skew 10d 4.1% 1.6% 5.9% 4.1% 1.6% Call IV 25d 16.3% 13.7% 18.1% 17.7% 14.1% Put IV 25d 18.1% 14.7% 20.5% 20.5% 15.1% Bid-Ask Spread % 3.35 1.79 6.81 3.03 5.51 Gamma HHI 0.28 0.23 0.43 0.27 0.25 Net GEX 107.0M 75.0M 121.3M 101.7M 75.0M Net DEX -2.11B -2.55B -1.61B -2.21B -1.61B Net VEX -24.3M -26.0M -22.3M -25.6M -22.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.28 1.35 0.38 0.28 Total Volume 178,858.158 59,351 280,525 280,525 59,351 Total OI 9,394,990.947 8,677,192 9,651,492 9,401,202 8,867,233
Daily Data (19 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 2014-11-03 $17.24 $15.00 19.0% 6.3% 27.9% 19.5% 23.2% 2.8% 1.0% 101.7M -2.21B -25.6M 0.38 3.03 203,828 76,697 5,440,454 3,960,748 2014-11-04 $17.20 $15.00 19.0% 6.3% 26.5% 19.4% 22.4% 2.3% -0.5% 105.5M -2.18B -25.8M 0.47 1.79 126,185 59,601 5,491,043 3,956,908 2014-11-05 $17.34 $15.00 18.6% 6.3% 26.2% 16.7% 22.1% 2.4% 0.4% 118.6M -2.47B -26.0M 0.68 2.40 124,950 84,549 5,530,675 3,975,533 2014-11-06 $17.34 $15.00 18.2% 6.3% 23.7% 14.4% 21.4% 1.9% 0.3% 121.3M -2.51B -25.9M 0.54 3.08 148,963 80,616 5,543,609 4,006,558 2014-11-07 $17.34 $15.00 17.8% 6.3% 23.7% 11.6% 21.8% 2.1% 0.4% 111.9M -2.55B -25.7M 0.64 2.43 140,824 89,420 5,559,320 4,020,718 2014-11-10 $17.35 $15.00 17.3% 6.1% 22.8% 8.5% 21.0% 2.4% 1.1% 117.2M -2.47B -25.1M 0.66 2.44 84,764 56,230 5,494,949 4,000,491 2014-11-11 $17.33 $15.00 17.2% 6.0% 22.7% 8.3% 20.7% 2.1% 1.2% 119.7M -2.46B -24.5M 0.45 2.62 111,265 49,985 5,492,243 3,993,633 2014-11-12 $17.28 $15.00 16.2% 5.9% 12.9% 1.9% 20.9% 2.0% 0.9% 120.7M -2.36B -24.5M 0.47 2.76 168,029 78,467 5,533,391 4,034,110 2014-11-13 $17.22 $15.00 17.1% 5.9% 11.9% 7.8% 20.9% 1.8% 0.2% 115.1M -2.26B -24.4M 0.62 3.76 83,823 52,231 5,559,763 4,066,888 2014-11-14 $17.14 $15.00 16.5% 5.9% 12.1% 3.8% 20.7% 1.0% -0.2% 105.7M -2.10B -24.7M 0.49 4.76 85,512 42,171 5,571,083 4,080,409 2014-11-17 $17.07 $15.00 16.7% 6.0% 12.4% 4.8% 21.6% 2.2% 0.1% 101.2M -1.94B -24.2M 0.41 3.01 109,671 45,129 5,504,254 4,068,157 2014-11-18 $17.16 $15.00 16.4% 5.9% 10.8% 3.4% 21.0% 2.2% 0.5% 109.0M -2.08B -24.0M 0.52 2.82 103,831 53,572 5,522,398 4,075,856 2014-11-19 $17.06 $15.00 16.1% 5.9% 10.2% 1.4% 18.7% 2.8% 0.1% 113.3M -1.90B -23.9M 0.37 6.81 103,533 37,995 5,542,216 4,079,707 2014-11-20 $16.98 $16.00 15.9% 6.0% 10.0% 0.0% 20.6% 2.1% 0.3% 120.7M -1.64B -23.5M 0.40 2.35 156,302 62,208 5,530,017 4,076,911 2014-11-21 $17.11 $16.00 15.0% 5.6% 10.0% 0.0% 19.1% 0.9% 0.8% 117.7M -2.02B -23.0M 0.46 2.46 161,430 74,718 5,549,348 4,088,263 2014-11-24 $17.18 $16.00 14.2% 5.4% 9.3% 0.0% 19.1% 2.0% 0.3% 89.6M -1.84B -23.2M 0.37 5.27 157,632 59,018 5,057,635 3,619,557 2014-11-25 $17.12 $16.00 14.0% 5.6% 8.4% 0.0% 19.6% 0.8% 1.1% 85.6M -1.74B -22.3M 1.35 3.03 78,028 105,279 5,120,275 3,649,580 2014-11-26 $17.11 $16.00 13.9% 5.5% 7.1% 0.0% 19.4% 0.9% 0.9% 83.0M -1.72B -23.4M 0.58 3.33 52,332 30,166 5,144,043 3,696,852 2014-11-28 $17.04 $16.00 14.4% 5.5% 7.3% 2.5% 19.8% 1.0% 0.9% 75.0M -1.61B -22.8M 0.28 5.51 46,201 13,150 5,151,077 3,716,156
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