BAC Options History — August 2015

In August 2015, BAC traded between $15.47 and $18.02. ATM implied volatility averaged 24.9%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.7% (HV 20d: 23.1%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2015-08-20: Highest Volume — 699,391 contracts
2015-08-24: Largest IV spike — 33.2% change
2015-08-24: Highest IV Rank — 100.0%
2015-08-24: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.12	$15.47	$18.02	$17.77	$16.35
Max Pain	$17.00	$17.00	$17.00	$17.00	$17.00
ATM IV	24.9%	18.4%	41.6%	18.7%	31.4%
Expected Move	7.3%	5.1%	12.6%	5.2%	9.2%
HV 20d	23.1%	17.1%	30.7%	24.8%	30.6%
HV 60d	21.7%	19.8%	25.6%	20.0%	25.0%
IV Rank	49.6%	25.5%	100.0%	27.0%	63.1%
IV Percentile	65.3%	33.3%	100.0%	35.7%	97.6%
Term Structure	-0.1%	-1.8%	1.9%	0.0%	-0.5%
VWIV	26.4%	17.7%	44.3%	18.6%	33.7%
Skew 25d	4.1%	1.8%	11.4%	2.6%	6.3%
Skew 10d	8.6%	3.7%	21.6%	5.0%	15.0%
Call IV 25d	23.6%	17.5%	37.6%	18.3%	28.8%
Put IV 25d	27.7%	20.3%	49.0%	20.9%	35.1%
Bid-Ask Spread %	1.57	1.14	2.31	2.31	1.31
Gamma HHI	0.19	0.14	0.25	0.18	0.14
Net GEX	76.9M	18.9M	118.0M	103.0M	38.1M
Net DEX	-1.20B	-2.38B	484.5M	-1.99B	-220.2M
Net VEX	-21.3M	-22.2M	-19.9M	-21.7M	-21.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.31	0.86	0.31	0.78
Total Volume	298,422.619	145,802	699,391	147,987	172,912
Total OI	7,690,815.381	7,233,096	8,082,595	7,564,902	7,511,988

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
2015-08-03	$17.77	$17.00	18.7%	5.2%	24.8%	27.0%	18.6%	2.6%	0.0%	103.0M	-1.99B	-21.7M	0.31	2.31	112,971	35,016	4,591,674	2,973,228
2015-08-04	$17.77	$17.00	18.9%	5.2%	24.0%	28.2%	18.4%	2.3%	0.1%	104.5M	-2.02B	-21.8M	0.55	1.15	111,016	61,088	4,602,884	2,985,011
2015-08-05	$17.86	$17.00	18.9%	5.1%	21.6%	28.3%	17.7%	2.6%	0.1%	118.0M	-2.19B	-22.1M	0.68	1.44	97,880	66,486	4,640,415	3,003,336
2015-08-06	$17.82	$17.00	19.4%	5.9%	21.5%	30.7%	21.4%	2.4%	-0.0%	115.3M	-2.11B	-21.9M	0.53	1.47	107,743	56,990	4,655,553	3,013,833
2015-08-07	$17.76	$17.00	20.0%	5.9%	21.4%	34.2%	22.0%	2.1%	-0.1%	98.8M	-1.99B	-22.0M	0.59	1.49	172,526	100,965	4,690,419	3,023,404
2015-08-10	$18.02	$17.00	18.4%	5.8%	20.9%	25.5%	20.9%	3.0%	1.7%	114.6M	-2.38B	-21.9M	0.39	1.61	108,799	42,378	4,643,017	3,026,363
2015-08-11	$17.79	$17.00	19.3%	5.9%	21.6%	30.3%	21.7%	2.7%	1.4%	103.1M	-2.02B	-21.6M	0.73	2.27	88,641	64,957	4,651,436	3,031,765
2015-08-12	$17.48	$17.00	21.4%	6.7%	18.9%	42.3%	23.1%	3.1%	1.9%	82.8M	-1.54B	-22.2M	0.57	1.47	261,345	147,733	4,664,715	3,053,587
2015-08-13	$17.63	$17.00	20.3%	6.1%	18.3%	36.1%	21.6%	2.9%	1.0%	98.3M	-1.86B	-21.5M	0.54	1.14	128,853	69,661	4,744,800	3,085,092
2015-08-14	$17.65	$17.00	19.6%	5.8%	18.0%	31.9%	20.5%	1.8%	0.6%	96.0M	-1.87B	-21.8M	0.52	1.70	139,256	72,879	4,778,055	3,096,247
2015-08-17	$17.78	$17.00	19.6%	5.7%	18.3%	32.1%	20.7%	2.1%	0.0%	107.3M	-2.00B	-21.5M	0.38	1.26	112,199	42,857	4,750,732	3,085,612
2015-08-18	$17.66	$17.00	20.0%	5.7%	18.4%	34.2%	21.9%	2.0%	0.2%	102.1M	-1.90B	-21.1M	0.55	1.28	93,931	51,871	4,790,625	3,093,679
2015-08-19	$17.46	$17.00	22.5%	6.4%	17.1%	48.3%	22.4%	2.9%	-1.8%	89.8M	-1.56B	-21.1M	0.70	1.44	146,411	102,768	4,811,350	3,099,309
2015-08-20	$16.76	$17.00	24.3%	7.0%	21.5%	58.6%	25.1%	2.6%	-0.2%	76.3M	-420.4M	-20.4M	0.59	1.14	441,134	258,257	4,850,092	3,129,654
2015-08-21	$16.15	$17.00	31.2%	9.1%	24.4%	97.6%	30.9%	4.6%	-1.4%	25.9M	172.3M	-20.5M	0.66	1.34	357,064	236,109	4,889,891	3,192,704
2015-08-24	$15.47	$17.00	41.6%	12.6%	27.6%	100.0%	44.3%	11.4%	-1.4%	18.9M	474.3M	-20.1M	0.58	1.78	399,896	231,459	4,437,824	2,795,272
2015-08-25	$15.53	$17.00	38.2%	11.4%	26.9%	87.6%	39.3%	8.1%	-1.2%	20.2M	484.5M	-19.9M	0.79	2.03	226,889	179,064	4,516,884	2,858,776
2015-08-26	$16.01	$17.00	35.8%	10.9%	28.9%	79.0%	39.7%	7.6%	-1.1%	27.8M	135.8M	-20.6M	0.70	1.77	269,795	187,716	4,569,258	2,928,946
2015-08-27	$16.38	$17.00	31.6%	9.1%	30.7%	63.7%	34.9%	6.5%	-0.4%	38.8M	-235.7M	-21.1M	0.50	1.43	270,783	134,831	4,626,429	2,967,203
2015-08-28	$16.33	$17.00	31.4%	9.6%	30.5%	63.1%	36.2%	7.0%	-1.5%	36.3M	-176.2M	-21.2M	0.86	2.06	163,407	140,339	4,659,335	2,986,726
2015-08-31	$16.35	$17.00	31.4%	9.2%	30.6%	63.1%	33.7%	6.3%	-0.5%	38.1M	-220.2M	-21.1M	0.78	1.31	97,154	75,758	4,573,781	2,938,207