BAC Options History — September 2015 In September 2015, BAC traded between $15.34 and $16.35. ATM implied volatility averaged 30.6%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 4.3% (HV 20d: 34.9%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.72.
Notable Days 2015-09-01 : Highest Volume — 460,091 contracts2015-09-28 : Largest IV spike — 17.6% change2015-09-01 : Highest IV Rank — 92.9%2015-09-01 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $15.81 $15.34 $16.35 $15.58 $15.56 Max Pain $16.10 $16.00 $17.00 $17.00 $16.00 ATM IV 30.6% 27.0% 39.6% 39.6% 31.3% Expected Move 9.0% 7.8% 12.8% 12.8% 9.4% HV 20d 34.9% 28.2% 39.2% 34.3% 28.2% HV 60d 28.1% 26.7% 29.4% 26.8% 29.4% IV Rank 60.4% 47.3% 92.9% 92.9% 62.9% IV Percentile 93.7% 87.7% 99.6% 99.6% 94.8% Term Structure -0.0% -2.2% 2.1% -0.8% -0.4% VWIV 31.7% 25.9% 45.0% 45.0% 32.8% Skew 25d 6.3% 4.5% 9.3% 9.3% 6.1% Skew 10d 14.6% 9.1% 23.9% 18.0% 15.3% Call IV 25d 28.3% 24.3% 35.3% 35.3% 29.1% Put IV 25d 34.5% 29.8% 44.6% 44.6% 35.1% Bid-Ask Spread % 1.61 1.21 2.24 1.63 1.56 Gamma HHI 0.15 0.13 0.20 0.14 0.17 Net GEX 19.9M -19.9M 50.7M 19.7M 18.1M Net DEX 316.2M -233.5M 756.9M 461.8M 484.6M Net VEX -19.4M -20.7M -17.9M -20.4M -18.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.33 1.05 0.61 0.33 Total Volume 255,979.762 106,997 460,091 460,091 170,209 Total OI 7,724,724.619 7,489,324 7,962,381 7,530,346 7,676,753
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 2015-09-01 $15.58 $17.00 39.6% 12.8% 34.3% 92.9% 45.0% 9.3% -0.8% 19.7M 461.8M -20.4M 0.61 1.63 285,610 174,481 4,578,661 2,951,685 2015-09-02 $15.83 $17.00 33.8% 9.4% 35.0% 71.8% 33.2% 8.3% -0.0% 22.2M 322.8M -20.7M 0.85 1.38 168,547 144,114 4,631,201 3,021,928 2015-09-03 $15.95 $16.00 30.2% 8.9% 35.3% 58.9% 29.7% 7.3% -0.8% 27.6M 177.2M -20.5M 0.66 1.58 196,845 129,719 4,673,341 3,048,004 2015-09-04 $15.70 $16.00 34.8% 9.6% 35.5% 75.3% 35.1% 8.7% -0.7% 16.4M 425.6M -20.4M 0.68 1.53 213,526 144,835 4,698,171 3,091,671 2015-09-08 $16.16 $16.00 30.3% 9.0% 36.9% 59.4% 30.9% 6.8% 0.5% 30.7M -15.7M -20.6M 0.62 2.24 118,443 73,980 4,634,407 3,057,946 2015-09-09 $15.86 $16.00 29.6% 9.0% 37.1% 56.9% 31.8% 6.7% 2.1% 24.1M 268.6M -20.1M 0.84 1.48 128,671 107,678 4,670,685 3,082,166 2015-09-10 $16.03 $16.00 30.0% 8.9% 37.3% 58.3% 31.5% 6.9% 1.1% 29.4M 123.3M -20.2M 0.57 1.44 112,990 64,024 4,695,111 3,111,595 2015-09-11 $15.99 $16.00 30.3% 8.9% 37.0% 59.1% 31.6% 6.4% 1.1% 50.7M 190.4M -19.7M 0.73 1.53 127,329 93,018 4,727,038 3,116,956 2015-09-14 $15.96 $16.00 30.6% 8.9% 36.9% 60.3% 31.9% 5.7% -0.2% 23.2M 176.3M -19.8M 1.02 1.67 52,842 54,155 4,676,450 3,081,540 2015-09-15 $16.31 $16.00 29.5% 8.6% 37.9% 56.4% 29.2% 6.1% -2.2% 38.4M -203.7M -20.1M 0.48 1.67 136,091 65,121 4,691,569 3,091,761 2015-09-16 $16.35 $16.00 28.4% 8.1% 38.0% 52.4% 28.3% 5.2% -0.6% 43.6M -233.5M -20.0M 0.70 1.97 161,180 113,326 4,740,033 3,118,751 2015-09-17 $15.83 $16.00 27.7% 8.0% 39.2% 49.9% 28.2% 4.5% -0.6% 10.7M 421.9M -18.6M 0.54 1.95 268,662 144,774 4,803,910 3,136,860 2015-09-18 $15.53 $16.00 28.5% 8.1% 37.3% 52.9% 29.8% 5.5% 1.0% -19.9M 756.9M -17.9M 0.90 1.48 191,508 171,673 4,825,458 3,136,923 2015-09-21 $15.72 $16.00 27.0% 7.8% 35.5% 47.3% 25.9% 5.4% 0.4% 5.5M 468.4M -18.0M 0.62 1.38 178,705 111,392 4,501,997 2,987,327 2015-09-22 $15.51 $16.00 28.6% 8.3% 32.3% 52.9% 28.5% 5.3% 0.1% 4.1M 629.6M -18.0M 0.91 1.79 65,709 59,624 4,584,809 3,031,548 2015-09-23 $15.75 $16.00 28.6% 8.6% 32.8% 52.9% 29.4% 5.5% 0.6% 15.8M 357.3M -18.7M 0.71 1.76 93,296 66,691 4,627,052 3,052,842 2015-09-24 $15.55 $16.00 30.3% 8.8% 31.1% 59.2% 32.1% 5.0% 0.0% 1.1M 516.6M -18.6M 0.94 1.40 125,313 118,006 4,641,327 3,065,861 2015-09-25 $15.91 $16.00 27.7% 8.1% 31.1% 50.0% 28.8% 5.2% 0.3% 26.7M 147.5M -18.9M 0.38 1.21 218,905 82,445 4,677,188 3,085,396 2015-09-28 $15.51 $16.00 32.6% 10.0% 32.3% 67.6% 34.6% 5.9% -0.7% 16.9M 527.2M -18.6M 1.05 1.78 125,566 132,185 4,558,646 3,003,416 2015-09-29 $15.34 $16.00 33.5% 10.1% 32.4% 70.8% 36.8% 6.2% -0.7% 13.7M 637.9M -18.4M 0.88 1.41 98,062 86,325 4,596,645 3,034,589 2015-09-30 $15.56 $16.00 31.3% 9.4% 28.2% 62.9% 32.8% 6.1% -0.4% 18.1M 484.6M -18.9M 0.33 1.56 127,751 42,458 4,625,341 3,051,412
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