BAC Options History — December 2014

In December 2014, BAC traded between $16.79 and $18.13. ATM implied volatility averaged 20.0%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.3% (HV 20d: 16.7%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.53.

Notable Days

2014-12-02: Highest Volume — 757,540 contracts
2014-12-08: Largest IV spike — 14.6% change
2014-12-16: Highest IV Rank — 66.0%
2014-12-16: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.50	$16.79	$18.13	$16.80	$17.89
Max Pain	$16.00	$16.00	$16.00	$16.00	$16.00
ATM IV	20.0%	15.2%	25.6%	15.2%	21.7%
Expected Move	6.2%	5.4%	7.4%	5.8%	6.2%
HV 20d	16.7%	8.4%	20.6%	8.4%	19.3%
HV 60d	20.2%	19.5%	21.1%	19.8%	20.3%
IV Rank	34.2%	6.9%	66.0%	6.9%	44.0%
IV Percentile	39.4%	2.0%	92.5%	2.0%	58.3%
Term Structure	1.0%	-1.1%	5.5%	1.2%	0.0%
VWIV	21.9%	19.2%	26.5%	21.1%	23.4%
Skew 25d	2.5%	1.4%	4.1%	1.6%	2.8%
Skew 10d	5.7%	2.6%	11.2%	2.7%	5.4%
Call IV 25d	19.4%	15.4%	26.5%	15.8%	21.2%
Put IV 25d	21.9%	17.1%	29.3%	17.4%	24.0%
Bid-Ask Spread %	1.72	1.24	2.58	2.58	1.89
Gamma HHI	0.23	0.20	0.29	0.28	0.23
Net GEX	96.5M	60.3M	114.5M	70.2M	96.8M
Net DEX	-2.26B	-3.14B	-1.09B	-1.25B	-2.77B
Net VEX	-22.8M	-23.8M	-21.5M	-22.5M	-21.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.07	1.29	0.75	0.37
Total Volume	342,777.5	180,901	757,540	225,317	220,956
Total OI	8,785,375.727	8,527,345	8,980,650	8,791,489	8,731,858

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
2014-12-01	$16.80	$16.00	15.2%	5.8%	8.4%	6.9%	21.1%	1.6%	1.2%	70.2M	-1.25B	-22.5M	0.75	2.58	128,656	96,661	5,110,265	3,681,224
2014-12-02	$17.13	$16.00	15.8%	5.8%	10.9%	10.9%	20.4%	1.8%	0.8%	89.9M	-1.74B	-23.2M	0.07	2.22	705,554	51,986	5,149,229	3,709,319
2014-12-03	$17.30	$16.00	15.8%	5.7%	11.5%	10.5%	19.2%	2.2%	1.3%	101.2M	-1.75B	-22.9M	0.46	1.89	261,272	120,268	5,033,252	3,719,161
2014-12-04	$17.21	$16.00	16.4%	5.7%	11.2%	14.2%	19.5%	1.9%	0.5%	99.6M	-1.70B	-23.2M	0.48	1.51	130,061	62,746	5,092,045	3,756,730
2014-12-05	$17.64	$16.00	15.9%	5.4%	14.3%	11.1%	19.6%	1.6%	0.7%	108.6M	-2.63B	-23.2M	0.24	1.54	491,881	120,280	5,101,451	3,681,907
2014-12-08	$17.68	$16.00	18.2%	5.8%	14.3%	24.2%	21.2%	1.4%	1.9%	112.2M	-2.58B	-23.2M	0.25	1.64	305,457	76,460	5,069,271	3,661,363
2014-12-09	$17.57	$16.00	18.0%	5.9%	14.6%	23.0%	21.9%	1.8%	2.4%	112.1M	-2.38B	-23.1M	0.55	1.57	231,390	127,932	5,126,881	3,685,454
2014-12-10	$17.39	$16.00	18.9%	6.7%	15.1%	28.2%	23.0%	2.6%	4.6%	100.5M	-2.08B	-23.4M	0.79	1.85	160,639	127,033	5,160,537	3,696,950
2014-12-11	$17.46	$16.00	20.0%	6.7%	15.1%	34.2%	22.7%	1.9%	5.5%	111.7M	-2.25B	-23.1M	0.64	1.96	130,318	83,545	5,188,930	3,739,900
2014-12-12	$17.16	$16.00	22.7%	7.1%	16.3%	49.3%	24.0%	2.4%	2.2%	76.0M	-1.64B	-23.5M	0.74	1.65	191,790	142,316	5,185,861	3,734,509
2014-12-15	$16.86	$16.00	25.0%	7.4%	17.4%	62.7%	26.5%	3.7%	-0.2%	60.3M	-1.09B	-23.5M	0.32	1.87	265,333	85,926	5,140,112	3,727,893
2014-12-16	$16.79	$16.00	25.6%	7.4%	17.4%	66.0%	26.2%	2.8%	-0.9%	63.0M	-1.15B	-23.6M	0.55	1.88	217,002	118,498	5,160,664	3,743,240
2014-12-17	$17.22	$16.00	24.8%	7.1%	19.6%	61.3%	25.2%	4.1%	1.4%	81.5M	-1.88B	-23.8M	0.42	1.68	228,128	95,433	5,189,737	3,765,228
2014-12-18	$17.48	$16.00	23.6%	6.6%	20.2%	54.9%	23.3%	3.4%	-1.1%	111.9M	-2.39B	-23.4M	0.45	1.35	186,506	83,111	5,205,727	3,762,055
2014-12-19	$17.62	$16.00	20.8%	5.8%	20.2%	38.6%	22.0%	2.8%	1.2%	114.3M	-2.62B	-23.1M	0.38	1.54	215,495	82,284	5,203,401	3,777,249
2014-12-22	$17.70	$16.00	20.9%	5.7%	20.1%	39.4%	20.0%	2.5%	0.5%	97.6M	-2.64B	-22.1M	0.40	2.05	129,457	51,444	4,931,343	3,596,002
2014-12-23	$17.95	$16.00	19.2%	5.5%	20.6%	29.9%	20.4%	3.1%	0.4%	109.4M	-3.00B	-21.8M	0.29	1.74	341,679	100,103	4,957,752	3,573,029
2014-12-24	$17.98	$16.00	19.9%	5.6%	20.4%	33.5%	19.7%	2.0%	-0.6%	114.5M	-2.91B	-22.0M	0.30	1.49	197,230	59,343	4,981,536	3,640,786
2014-12-26	$18.01	$16.00	19.7%	5.7%	20.4%	32.8%	20.3%	2.7%	0.4%	96.1M	-3.00B	-21.9M	1.29	1.34	240,288	310,833	5,014,124	3,649,655
2014-12-29	$18.13	$16.00	20.3%	5.9%	20.3%	36.3%	20.7%	3.1%	0.9%	95.7M	-3.07B	-22.0M	1.05	1.24	149,957	157,195	4,960,854	3,639,634
2014-12-30	$18.13	$16.00	21.3%	6.0%	19.3%	41.4%	20.9%	2.6%	-0.2%	99.4M	-3.14B	-21.5M	0.80	1.38	143,588	115,071	4,977,570	3,664,578
2014-12-31	$17.89	$16.00	21.7%	6.2%	19.3%	44.0%	23.4%	2.8%	0.0%	96.8M	-2.77B	-21.9M	0.37	1.89	161,846	59,110	5,010,955	3,720,903