BAC Options History — February 2015

In February 2015, BAC traded between $15.46 and $16.70. ATM implied volatility averaged 23.0%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 9.2% (HV 20d: 32.2%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.48.

Notable Days

2015-02-06: Highest Volume — 621,023 contracts
2015-02-26: Largest IV spike — 15.6% change
2015-02-19: Highest IV Rank — 61.8%
2015-02-27: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.23	$15.46	$16.70	$15.46	$15.82
Max Pain	$16.00	$16.00	$16.00	$16.00	$16.00
ATM IV	23.0%	21.1%	24.9%	24.1%	24.8%
Expected Move	6.8%	6.2%	7.8%	6.8%	7.8%
HV 20d	32.2%	25.2%	38.4%	37.2%	26.0%
HV 60d	27.3%	25.4%	28.7%	25.4%	28.7%
IV Rank	51.2%	40.3%	61.8%	57.2%	61.1%
IV Percentile	68.8%	49.6%	86.5%	79.4%	85.3%
Term Structure	0.2%	-1.5%	3.0%	-0.6%	-0.8%
VWIV	24.1%	22.2%	27.4%	24.7%	27.4%
Skew 25d	2.4%	0.4%	3.6%	2.7%	0.4%
Skew 10d	5.5%	0.6%	8.7%	8.7%	0.6%
Call IV 25d	22.7%	21.3%	25.4%	23.9%	25.4%
Put IV 25d	25.1%	22.9%	26.8%	26.6%	25.9%
Bid-Ask Spread %	1.47	1.07	1.83	1.70	1.23
Gamma HHI	0.21	0.16	0.26	0.16	0.20
Net GEX	59.3M	19.6M	82.5M	19.6M	48.2M
Net DEX	-552.4M	-1.17B	289.6M	289.6M	17.2M
Net VEX	-22.8M	-23.5M	-21.8M	-21.8M	-22.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.27	0.73	0.73	0.43
Total Volume	298,804.474	154,674	621,023	204,404	589,077
Total OI	7,018,746.316	6,748,384	7,442,754	6,789,120	7,200,506

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
2015-02-02	$15.46	$16.00	24.1%	6.8%	37.2%	57.2%	24.7%	2.7%	-0.6%	19.6M	289.6M	-21.8M	0.73	1.70	117,976	86,428	4,117,332	2,671,788
2015-02-03	$15.89	$16.00	22.6%	6.4%	38.1%	48.8%	23.1%	2.1%	1.0%	41.4M	-196.2M	-22.7M	0.42	1.07	193,790	82,005	4,164,149	2,691,764
2015-02-04	$15.79	$16.00	23.0%	6.6%	36.9%	51.5%	23.9%	3.0%	0.3%	39.7M	-96.1M	-22.3M	0.41	1.21	165,710	68,294	4,197,323	2,709,628
2015-02-05	$15.98	$16.00	22.1%	6.8%	37.2%	46.0%	24.0%	2.9%	0.9%	55.0M	-370.6M	-22.5M	0.50	1.62	123,331	61,470	4,205,279	2,732,255
2015-02-06	$16.49	$16.00	22.8%	7.2%	38.4%	50.0%	24.3%	3.6%	-0.1%	80.0M	-922.8M	-23.0M	0.43	1.72	434,602	186,421	4,232,172	2,742,100
2015-02-09	$16.37	$16.00	22.3%	7.0%	38.0%	47.0%	24.5%	2.8%	2.4%	58.7M	-689.6M	-23.0M	0.65	1.62	113,433	73,643	4,199,992	2,731,347
2015-02-10	$16.42	$16.00	22.5%	7.0%	37.6%	48.3%	23.7%	3.1%	2.4%	61.2M	-750.3M	-22.9M	0.54	1.61	100,408	54,266	4,231,794	2,744,451
2015-02-11	$16.35	$16.00	21.1%	6.9%	37.2%	40.3%	24.1%	2.2%	3.0%	60.6M	-667.7M	-22.8M	0.66	1.83	93,607	61,939	4,256,819	2,753,948
2015-02-12	$16.70	$16.00	23.1%	6.5%	37.0%	51.5%	23.2%	3.1%	-0.2%	77.0M	-1.17B	-23.5M	0.48	1.35	244,532	117,558	4,269,617	2,770,530
2015-02-13	$16.60	$16.00	22.8%	6.5%	29.7%	50.4%	23.9%	2.7%	-0.3%	67.5M	-1.12B	-23.4M	0.27	1.28	327,072	87,485	4,316,146	2,808,223
2015-02-17	$16.61	$16.00	23.1%	6.6%	29.5%	51.6%	24.3%	3.5%	0.4%	74.4M	-1.03B	-23.3M	0.55	1.33	154,490	85,574	4,346,805	2,799,053
2015-02-18	$16.27	$16.00	24.7%	7.1%	30.5%	60.6%	24.5%	3.1%	-1.5%	61.9M	-519.0M	-22.5M	0.46	1.82	184,248	84,181	4,406,582	2,826,219
2015-02-19	$16.21	$16.00	24.9%	7.2%	30.5%	61.8%	25.4%	1.5%	-1.1%	62.4M	-518.4M	-22.4M	0.51	1.68	142,265	72,908	4,498,308	2,858,558
2015-02-20	$16.38	$16.00	23.0%	6.7%	26.2%	51.4%	23.2%	2.5%	-1.4%	62.1M	-742.6M	-23.1M	0.56	1.33	222,998	123,813	4,557,753	2,885,001
2015-02-23	$16.15	$16.00	22.8%	6.7%	25.4%	50.4%	23.3%	1.7%	-0.3%	53.6M	-328.9M	-22.7M	0.38	1.32	145,407	55,739	4,137,275	2,611,109
2015-02-24	$16.39	$16.00	21.4%	6.2%	25.8%	42.2%	22.2%	2.2%	-0.2%	72.3M	-667.0M	-23.0M	0.35	1.49	227,526	78,885	4,182,588	2,639,001
2015-02-25	$16.50	$16.00	21.3%	6.3%	25.2%	41.6%	22.2%	1.6%	-0.2%	82.5M	-787.7M	-23.2M	0.41	1.36	112,467	46,447	4,223,542	2,685,084
2015-02-26	$16.03	$16.00	24.6%	7.5%	25.8%	60.4%	26.4%	0.9%	-0.4%	48.4M	-230.0M	-22.8M	0.37	1.30	407,134	150,156	4,260,318	2,691,821
2015-02-27	$15.82	$16.00	24.8%	7.8%	26.0%	61.1%	27.4%	0.4%	-0.8%	48.2M	17.2M	-22.2M	0.43	1.23	412,008	177,069	4,450,207	2,750,299