BAC Options History — June 2015

In June 2015, BAC traded between $16.53 and $17.67. ATM implied volatility averaged 19.0%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.9% (HV 20d: 17.1%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.61.

Notable Days

2015-06-05: Highest Volume — 641,420 contracts
2015-06-29: Largest IV spike — 18.5% change
2015-06-29: Highest IV Rank — 56.5%
2015-06-29: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.25	$16.53	$17.67	$16.53	$17.07
Max Pain	$16.16	$16.00	$17.00	$16.00	$17.00
ATM IV	19.0%	16.3%	23.9%	16.3%	23.2%
Expected Move	5.8%	4.6%	7.7%	4.8%	7.2%
HV 20d	17.1%	13.6%	20.6%	15.0%	20.4%
HV 60d	15.9%	15.3%	16.8%	16.1%	16.8%
IV Rank	28.8%	13.6%	56.5%	13.6%	52.1%
IV Percentile	35.2%	7.5%	84.9%	7.5%	79.8%
Term Structure	0.5%	-0.9%	3.7%	0.4%	0.1%
VWIV	20.5%	14.8%	27.2%	17.3%	25.3%
Skew 25d	1.6%	0.6%	2.9%	1.4%	1.7%
Skew 10d	3.3%	0.7%	5.4%	4.3%	4.3%
Call IV 25d	18.6%	15.9%	22.7%	16.4%	22.5%
Put IV 25d	20.2%	17.3%	25.7%	17.8%	24.2%
Bid-Ask Spread %	1.42	1.10	2.25	1.10	1.62
Gamma HHI	0.21	0.18	0.31	0.22	0.18
Net GEX	84.3M	60.2M	97.3M	63.0M	66.9M
Net DEX	-1.90B	-2.51B	-1.06B	-1.06B	-1.40B
Net VEX	-23.0M	-23.9M	-21.8M	-21.8M	-23.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.25	1.13	0.66	0.83
Total Volume	271,517.045	125,341	641,420	125,341	218,522
Total OI	7,295,348.455	7,074,107	7,569,759	7,117,080	7,295,727

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
2015-06-01	$16.53	$16.00	16.3%	4.8%	15.0%	13.6%	17.3%	1.4%	0.4%	63.0M	-1.06B	-21.8M	0.66	1.10	75,286	50,055	4,219,981	2,897,099
2015-06-02	$16.72	$16.00	16.6%	4.7%	13.6%	15.1%	14.8%	1.4%	-0.3%	73.5M	-1.31B	-22.1M	0.29	1.71	268,568	78,857	4,238,628	2,913,598
2015-06-03	$16.97	$16.00	16.5%	4.6%	14.2%	14.5%	17.0%	1.5%	0.2%	84.1M	-1.52B	-22.2M	0.36	1.22	258,187	94,081	4,172,348	2,941,551
2015-06-04	$16.77	$16.00	17.4%	5.7%	14.7%	19.5%	20.2%	1.3%	-0.0%	76.2M	-1.35B	-22.4M	0.61	1.19	160,472	98,529	4,223,988	2,917,667
2015-06-05	$17.17	$16.00	18.0%	5.8%	16.6%	22.9%	20.3%	1.6%	0.1%	77.3M	-1.91B	-22.7M	0.25	1.54	514,821	126,599	4,238,560	2,932,601
2015-06-08	$17.08	$16.00	18.5%	5.9%	16.4%	25.9%	21.0%	1.4%	2.6%	82.1M	-1.78B	-23.1M	0.57	1.63	152,094	86,594	4,353,339	2,917,267
2015-06-09	$17.30	$16.00	17.5%	5.9%	16.9%	20.3%	21.8%	1.9%	3.0%	89.5M	-2.12B	-23.2M	0.66	1.20	196,305	130,149	4,377,889	2,938,504
2015-06-10	$17.58	$16.00	17.3%	5.5%	17.4%	19.3%	20.8%	0.6%	1.6%	97.3M	-2.51B	-23.4M	0.51	1.23	321,057	164,153	4,417,961	2,982,086
2015-06-11	$17.48	$16.00	18.0%	5.8%	17.7%	23.2%	20.3%	1.3%	2.8%	95.5M	-2.40B	-23.5M	0.56	1.18	216,281	121,496	4,461,593	2,999,600
2015-06-12	$17.49	$16.00	18.9%	6.1%	17.7%	28.3%	20.8%	1.0%	3.7%	90.5M	-2.35B	-23.9M	0.85	1.46	110,633	94,526	4,478,433	3,024,014
2015-06-15	$17.47	$16.00	20.8%	6.2%	17.2%	38.7%	21.2%	1.8%	-0.9%	92.3M	-2.32B	-23.8M	0.53	1.25	85,152	45,304	4,464,025	2,984,740
2015-06-16	$17.54	$16.00	19.8%	5.8%	17.1%	33.4%	21.0%	2.1%	0.4%	96.1M	-2.38B	-23.9M	0.47	1.24	88,422	41,922	4,472,445	3,004,368
2015-06-17	$17.34	$16.00	20.7%	5.9%	17.1%	38.0%	20.3%	1.8%	-0.7%	88.3M	-2.10B	-23.1M	0.52	1.28	125,552	65,722	4,475,122	3,007,300
2015-06-18	$17.36	$16.00	20.1%	5.8%	17.1%	35.1%	20.2%	2.3%	-0.8%	89.6M	-2.11B	-23.1M	0.41	2.13	202,735	83,418	4,488,693	3,023,634
2015-06-19	$17.18	$16.00	19.1%	5.5%	17.6%	29.0%	19.2%	2.1%	-0.4%	72.3M	-1.85B	-22.7M	0.44	1.11	221,750	97,898	4,515,624	3,054,135
2015-06-22	$17.50	$16.00	18.1%	5.4%	18.6%	23.5%	19.3%	1.5%	0.4%	89.6M	-2.00B	-22.8M	0.58	1.59	149,413	87,202	4,238,673	2,835,434
2015-06-23	$17.67	$16.00	18.5%	5.5%	17.4%	25.8%	19.4%	1.4%	0.3%	96.3M	-2.26B	-22.7M	0.66	1.62	146,875	96,291	4,285,383	2,856,944
2015-06-24	$17.50	$16.00	19.2%	5.6%	17.6%	29.9%	20.5%	1.8%	-0.4%	96.8M	-2.07B	-22.3M	0.96	1.37	102,896	98,501	4,320,835	2,867,702
2015-06-25	$17.38	$16.50	19.8%	5.9%	17.8%	33.4%	21.1%	0.8%	-0.2%	92.1M	-1.88B	-23.3M	0.83	1.20	105,256	87,280	4,341,753	2,890,524
2015-06-26	$17.42	$17.00	20.2%	6.2%	17.2%	35.5%	21.9%	2.3%	-0.6%	84.2M	-1.88B	-23.0M	1.13	1.22	63,871	71,871	4,356,253	2,879,359
2015-06-29	$16.92	$17.00	23.9%	7.7%	20.6%	56.5%	27.2%	2.9%	-0.6%	60.2M	-1.18B	-23.2M	0.70	2.25	216,731	152,048	4,315,107	2,877,179
2015-06-30	$17.07	$17.00	23.2%	7.2%	20.4%	52.1%	25.3%	1.7%	0.1%	66.9M	-1.40B	-23.2M	0.83	1.62	119,646	98,876	4,359,979	2,935,748