BAC Options History — April 2015 In April 2015, BAC traded between $15.42 and $15.97. ATM implied volatility averaged 19.9%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.5% (HV 20d: 15.4%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.48.
Notable Days 2015-04-29 : Highest Volume — 429,860 contracts2015-04-15 : Largest IV drop — 16.9% change2015-04-14 : Highest IV Rank — 60.0%2015-04-14 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $15.66 $15.42 $15.97 $15.42 $15.92 Max Pain $15.95 $15.00 $16.00 $16.00 $16.00 ATM IV 19.9% 16.1% 24.6% 21.3% 17.6% Expected Move 5.7% 4.7% 7.0% 6.4% 5.2% HV 20d 15.4% 13.2% 18.6% 18.6% 14.7% HV 60d 23.2% 18.9% 27.6% 27.6% 18.9% IV Rank 33.8% 12.1% 60.0% 41.5% 20.9% IV Percentile 38.9% 4.4% 86.9% 54.0% 13.1% Term Structure -0.2% -1.2% 1.4% -0.1% 0.4% VWIV 20.3% 16.7% 24.9% 22.6% 18.7% Skew 25d 0.8% -1.1% 2.1% 1.8% 1.1% Skew 10d 1.9% -0.6% 5.3% 5.3% 2.9% Call IV 25d 19.9% 16.2% 25.1% 21.1% 17.4% Put IV 25d 20.7% 16.4% 24.7% 22.9% 18.5% Bid-Ask Spread % 1.31 0.96 2.05 1.18 1.03 Gamma HHI 0.22 0.18 0.30 0.19 0.26 Net GEX 35.7M 14.6M 82.1M 14.6M 74.2M Net DEX -45.8M -512.3M 334.2M 334.2M -446.0M Net VEX -22.2M -23.2M -21.5M -21.6M -22.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.20 0.92 0.91 0.34 Total Volume 243,906.667 131,538 429,860 264,695 193,943 Total OI 7,681,453.714 7,332,830 8,051,674 7,332,830 7,954,853
Daily Data (21 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 2015-04-01 $15.42 $16.00 21.3% 6.4% 18.6% 41.5% 22.6% 1.8% -0.1% 14.6M 334.2M -21.6M 0.91 1.18 138,876 125,819 4,305,742 3,027,088 2015-04-02 $15.56 $16.00 21.5% 6.1% 18.5% 43.0% 21.9% 1.8% -0.2% 18.5M 194.1M -22.2M 0.33 1.20 163,001 53,752 4,367,249 3,110,533 2015-04-06 $15.52 $16.00 22.1% 6.2% 17.8% 46.0% 22.0% 1.6% -0.2% 18.9M 233.5M -22.1M 0.36 1.18 145,923 53,263 4,332,114 3,056,808 2015-04-07 $15.46 $16.00 22.2% 6.5% 17.9% 46.8% 22.5% 2.1% 0.8% 18.0M 246.3M -22.2M 0.67 1.21 89,289 59,909 4,397,153 3,086,794 2015-04-08 $15.61 $16.00 22.0% 6.1% 16.4% 45.8% 22.3% 1.7% -0.9% 25.9M 70.9M -22.3M 0.42 1.31 153,238 64,849 4,426,854 3,117,212 2015-04-09 $15.72 $16.00 22.3% 6.1% 14.8% 47.2% 21.7% 1.4% -1.1% 30.7M -23.5M -23.1M 0.33 1.21 100,083 33,458 4,459,411 3,138,039 2015-04-10 $15.73 $16.00 21.7% 6.2% 14.8% 44.1% 22.4% 1.6% 0.1% 29.0M -111.9M -22.6M 0.46 1.17 90,383 41,155 4,497,934 3,142,755 2015-04-13 $15.79 $16.00 23.9% 6.8% 14.9% 56.1% 24.5% 0.0% -1.0% 33.7M -198.0M -22.9M 0.33 1.66 240,058 79,374 4,456,072 3,124,858 2015-04-14 $15.79 $16.00 24.6% 7.0% 14.9% 60.0% 24.9% -0.4% -1.1% 42.7M -323.7M -23.2M 0.25 2.05 286,787 72,226 4,568,039 3,155,993 2015-04-15 $15.63 $15.00 20.4% 5.8% 15.2% 36.6% 20.4% -1.1% -1.2% 40.9M -30.7M -22.0M 0.41 1.65 228,503 92,673 4,681,846 3,180,624 2015-04-16 $15.84 $16.00 20.3% 5.8% 15.9% 36.0% 20.7% -0.6% -0.7% 82.1M -339.4M -22.5M 0.41 0.96 256,961 104,669 4,732,765 3,203,318 2015-04-17 $15.55 $16.00 19.8% 5.7% 15.0% 33.4% 20.2% -0.2% -0.3% 19.5M 49.4M -22.2M 0.55 1.40 200,358 109,481 4,820,518 3,231,156 2015-04-20 $15.60 $16.00 18.0% 5.2% 14.1% 23.2% 17.9% 1.0% -0.7% 26.7M 52.1M -21.7M 0.36 1.22 126,758 45,759 4,433,811 3,026,672 2015-04-21 $15.50 $16.00 17.1% 4.9% 14.0% 17.6% 17.4% 1.0% -0.2% 18.7M 186.9M -21.5M 0.53 1.13 141,140 75,209 4,467,443 3,052,712 2015-04-22 $15.75 $16.00 18.4% 5.3% 15.0% 25.1% 18.4% 0.3% -0.5% 41.4M -174.0M -22.3M 0.20 1.16 339,893 68,340 4,518,545 3,092,982 2015-04-23 $15.70 $16.00 17.9% 5.2% 14.2% 22.5% 18.7% 0.2% 0.3% 46.0M -172.3M -22.5M 0.46 1.11 93,515 43,217 4,684,405 3,119,243 2015-04-24 $15.65 $16.00 17.4% 4.9% 14.3% 19.7% 17.3% 0.7% -0.3% 37.4M -73.7M -21.9M 0.92 1.85 69,732 64,388 4,716,770 3,140,047 2015-04-27 $15.57 $16.00 17.2% 4.8% 14.0% 18.6% 16.9% 1.0% -0.0% 28.4M 61.6M -21.7M 0.90 1.04 99,936 90,143 4,634,034 3,131,595 2015-04-28 $15.65 $16.00 16.1% 4.7% 13.2% 12.1% 16.7% 0.1% 1.4% 32.3M 15.4M -21.6M 0.68 1.60 152,528 103,591 4,658,758 3,167,583 2015-04-29 $15.97 $16.00 16.5% 4.8% 14.6% 14.6% 17.1% 1.3% 0.0% 69.8M -512.3M -22.5M 0.29 1.29 333,259 96,601 4,692,426 3,197,774 2015-04-30 $15.92 $16.00 17.6% 5.2% 14.7% 20.9% 18.7% 1.1% 0.4% 74.2M -446.0M -22.5M 0.34 1.03 145,201 48,742 4,747,217 3,207,636
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