BAC Options History — March 2015 In March 2015, BAC traded between $15.31 and $16.20. ATM implied volatility averaged 22.7%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.0% (HV 20d: 21.7%). 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 12 of 22 days. Put/call ratio averaged 0.50.
Notable Days 2015-03-06 : Highest Volume — 591,779 contracts2015-03-12 : Largest IV drop — 18.4% change2015-03-11 : Highest IV Rank — 68.1%2015-03-11 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $15.84 $15.31 $16.20 $16.00 $15.40 Max Pain $16.00 $16.00 $16.00 $16.00 $16.00 ATM IV 22.7% 20.4% 26.0% 24.2% 20.9% Expected Move 6.8% 5.9% 7.9% 7.6% 6.4% HV 20d 21.7% 18.7% 25.3% 25.3% 19.0% HV 60d 28.2% 27.7% 28.8% 28.5% 28.2% IV Rank 49.6% 36.3% 68.1% 58.0% 39.5% IV Percentile 65.1% 40.1% 92.5% 79.8% 49.6% Term Structure 0.3% -2.1% 3.0% -1.7% 0.0% VWIV 23.8% 20.5% 27.6% 26.7% 22.4% Skew 25d 2.0% 1.2% 2.6% 1.5% 2.4% Skew 10d 4.3% 0.9% 6.0% 5.0% 4.7% Call IV 25d 22.2% 19.5% 25.6% 24.1% 20.4% Put IV 25d 24.2% 21.6% 27.4% 25.6% 22.8% Bid-Ask Spread % 1.45 1.04 2.10 1.80 1.06 Gamma HHI 0.18 0.15 0.20 0.19 0.20 Net GEX 49.0M 5.7M 94.3M 68.8M 11.7M Net DEX -148.2M -815.1M 471.2M -276.6M 364.7M Net VEX -22.6M -24.0M -21.4M -23.1M -21.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.25 0.93 0.25 0.56 Total Volume 260,359.091 133,572 591,779 344,950 151,199 Total OI 7,391,263.591 6,826,626 7,793,424 7,327,490 7,267,357
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 2015-03-02 $16.00 $16.00 24.2% 7.6% 25.3% 58.0% 26.7% 1.5% -1.7% 68.8M -276.6M -23.1M 0.25 1.80 275,787 69,163 4,548,749 2,778,741 2015-03-03 $16.05 $16.00 23.4% 7.2% 24.6% 53.4% 25.8% 2.1% -2.1% 80.5M -396.4M -23.1M 0.44 1.21 194,822 85,930 4,638,650 2,805,731 2015-03-04 $15.85 $16.00 24.2% 7.9% 23.2% 57.9% 27.6% 1.2% -0.9% 63.3M -150.2M -22.9M 0.46 1.14 182,769 84,116 4,576,638 2,850,241 2015-03-05 $16.01 $16.00 25.2% 7.4% 23.3% 63.8% 25.7% 1.8% -1.2% 79.7M -475.5M -23.8M 0.55 1.35 199,395 110,213 4,672,943 2,868,840 2015-03-06 $16.20 $16.00 24.5% 7.3% 23.3% 59.8% 25.8% 2.0% -0.8% 92.3M -815.1M -24.0M 0.43 1.40 414,873 176,906 4,713,525 2,916,206 2015-03-09 $16.17 $16.00 23.8% 7.3% 20.3% 56.0% 25.5% 1.9% 1.6% 94.3M -696.8M -24.0M 0.43 1.78 112,743 48,299 4,656,431 2,875,577 2015-03-10 $15.79 $16.00 25.0% 7.6% 21.8% 62.4% 26.7% 2.4% 2.1% 61.6M -128.1M -23.0M 0.46 1.49 205,689 94,990 4,676,035 2,886,899 2015-03-11 $16.11 $16.00 26.0% 7.9% 23.1% 68.1% 27.4% 2.1% 1.2% 91.5M -637.8M -23.6M 0.52 1.34 268,700 139,286 4,748,946 2,926,074 2015-03-12 $16.09 $16.00 21.2% 6.6% 23.0% 41.1% 23.1% 2.4% 2.2% 79.8M -461.4M -22.8M 0.35 1.77 294,734 102,338 4,810,106 2,983,318 2015-03-13 $16.09 $16.00 22.7% 6.9% 21.5% 49.3% 24.0% 2.0% 1.8% 56.2M -457.6M -22.9M 0.45 1.72 126,628 57,600 4,792,851 2,994,512 2015-03-16 $16.13 $16.00 23.0% 6.7% 21.5% 51.2% 23.5% 2.6% 0.1% 60.7M -392.3M -22.6M 0.61 1.82 101,161 62,017 4,437,753 2,933,989 2015-03-17 $16.09 $16.00 22.9% 6.7% 21.5% 50.9% 23.7% 2.6% -0.4% 61.8M -351.0M -22.4M 0.93 2.10 69,211 64,361 4,468,476 2,944,570 2015-03-18 $15.98 $16.00 21.8% 6.3% 20.4% 44.7% 21.7% 2.5% -0.3% 58.5M -193.9M -22.1M 0.39 2.10 128,775 50,272 4,483,208 2,964,291 2015-03-19 $15.61 $16.00 22.4% 6.3% 21.9% 48.0% 22.6% 1.6% 3.0% 11.3M 285.0M -21.7M 0.40 1.41 190,592 76,769 4,528,957 2,980,687 2015-03-20 $15.84 $16.00 20.7% 6.0% 22.3% 38.1% 20.8% 1.3% -0.5% 25.9M 5.1M -22.2M 0.69 1.14 118,163 82,122 4,579,781 3,005,570 2015-03-23 $15.72 $16.00 20.4% 5.9% 21.9% 36.8% 20.5% 2.1% 0.5% 21.6M 7.3M -22.0M 0.38 1.26 134,362 51,135 4,059,953 2,766,673 2015-03-24 $15.61 $16.00 20.4% 6.0% 21.1% 36.3% 21.1% 2.5% 1.9% 16.3M 173.1M -21.4M 0.70 1.23 151,764 105,757 4,089,393 2,799,098 2015-03-25 $15.41 $16.00 21.3% 6.3% 21.2% 41.4% 22.0% 2.2% 0.0% 7.9M 337.5M -21.7M 0.69 1.20 147,578 102,171 4,139,452 2,862,243 2015-03-26 $15.45 $16.00 22.4% 6.7% 19.0% 48.0% 23.3% 1.7% -0.3% 13.4M 290.7M -22.2M 0.66 1.20 180,058 118,577 4,203,433 2,914,235 2015-03-27 $15.31 $16.00 21.9% 6.5% 18.7% 44.8% 22.5% 1.8% 0.1% 5.7M 471.2M -21.7M 0.40 1.04 158,352 63,201 4,261,941 2,971,863 2015-03-30 $15.52 $16.00 21.2% 6.4% 18.9% 41.3% 22.1% 1.8% -0.5% 15.9M 237.9M -21.7M 0.28 1.32 137,368 37,954 4,234,262 2,989,601 2015-03-31 $15.40 $16.00 20.9% 6.4% 19.0% 39.5% 22.4% 2.4% 0.0% 11.7M 364.7M -21.5M 0.56 1.06 96,823 54,376 4,265,242 3,002,115
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