BAC Options History — October 2015

In October 2015, BAC traded between $15.34 and $17.27. ATM implied volatility averaged 23.5%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.4% (HV 20d: 24.9%). 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 9 of 22 days. Put/call ratio averaged 0.62.

Notable Days

2015-10-28: Highest Volume — 750,505 contracts
2015-10-29: Largest IV spike — 14.6% change
2015-10-01: Highest IV Rank — 63.0%
2015-10-02: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.06	$15.34	$17.27	$15.45	$16.83
Max Pain	$16.00	$16.00	$16.00	$16.00	$16.00
ATM IV	23.5%	17.9%	31.4%	31.4%	20.3%
Expected Move	6.7%	5.3%	9.6%	9.3%	5.9%
HV 20d	24.9%	21.0%	28.3%	27.6%	28.0%
HV 60d	28.6%	27.5%	30.7%	29.0%	30.7%
IV Rank	34.6%	14.3%	63.0%	63.0%	23.1%
IV Percentile	60.1%	22.2%	94.8%	94.8%	42.5%
Term Structure	-0.1%	-1.1%	1.1%	-0.9%	0.2%
VWIV	24.4%	19.5%	36.5%	32.5%	22.3%
Skew 25d	3.9%	2.2%	5.5%	5.5%	2.6%
Skew 10d	8.7%	4.7%	18.4%	11.0%	5.1%
Call IV 25d	22.0%	17.5%	29.9%	29.6%	19.6%
Put IV 25d	25.9%	20.3%	35.1%	35.1%	22.2%
Bid-Ask Spread %	1.78	1.33	2.59	1.80	1.62
Gamma HHI	0.19	0.16	0.30	0.18	0.23
Net GEX	41.9M	7.1M	120.7M	18.7M	52.5M
Net DEX	-55.4M	-1.50B	692.7M	542.5M	-829.0M
Net VEX	-18.0M	-19.4M	-17.3M	-18.5M	-19.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.28	1.03	0.72	0.47
Total Volume	330,574.182	78,471	750,505	78,471	399,961
Total OI	7,952,319.045	7,650,969	8,333,248	7,735,890	8,255,063

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
2015-10-01	$15.45	$16.00	31.4%	9.3%	27.6%	63.0%	32.5%	5.5%	-0.9%	18.7M	542.5M	-18.5M	0.72	1.80	45,666	32,805	4,681,888	3,054,002
2015-10-02	$15.34	$16.00	31.2%	9.6%	27.5%	62.4%	36.5%	5.2%	-0.8%	11.7M	676.3M	-17.9M	0.59	1.40	420,458	246,054	4,719,227	3,065,265
2015-10-05	$15.69	$16.00	28.2%	7.5%	28.3%	51.7%	27.8%	5.4%	-0.2%	22.2M	315.7M	-18.3M	0.48	2.12	174,614	83,982	4,678,667	3,089,771
2015-10-06	$15.69	$16.00	27.8%	7.5%	26.1%	50.3%	28.0%	4.7%	-0.4%	28.5M	358.5M	-18.2M	0.62	1.68	79,469	49,570	4,732,940	3,125,944
2015-10-07	$15.73	$16.00	27.7%	7.3%	25.4%	49.8%	29.2%	4.6%	-0.5%	32.8M	315.9M	-18.1M	0.60	1.68	113,906	68,152	4,745,415	3,139,271
2015-10-08	$15.74	$16.00	27.5%	7.3%	25.0%	49.1%	26.4%	4.9%	0.4%	31.0M	343.0M	-18.0M	0.46	1.81	146,597	67,162	4,734,072	3,162,425
2015-10-09	$15.57	$16.00	27.7%	7.4%	25.3%	49.9%	28.8%	5.1%	-0.3%	21.1M	503.2M	-17.7M	0.68	1.74	114,094	77,712	4,793,863	3,183,350
2015-10-12	$15.49	$16.00	26.3%	7.8%	25.3%	44.7%	25.9%	4.8%	1.0%	7.1M	692.7M	-17.3M	0.63	1.55	103,236	65,262	4,742,912	3,175,406
2015-10-13	$15.51	$16.00	26.6%	7.3%	23.8%	45.8%	27.0%	4.7%	-1.0%	11.4M	592.9M	-17.3M	0.28	2.18	425,168	119,228	4,792,589	3,195,115
2015-10-14	$15.64	$16.00	23.7%	6.5%	24.1%	35.4%	23.7%	4.4%	-1.1%	41.3M	394.7M	-17.6M	0.48	1.34	347,897	167,154	5,029,440	3,259,451
2015-10-15	$16.20	$16.00	21.2%	6.1%	24.8%	26.4%	21.4%	3.6%	-0.1%	65.2M	-372.0M	-18.1M	0.56	2.26	318,686	178,158	4,994,809	3,304,654
2015-10-16	$16.13	$16.00	20.4%	5.9%	23.7%	23.4%	20.9%	3.7%	0.1%	38.6M	-352.9M	-18.0M	0.47	1.83	172,846	81,185	4,995,858	3,337,390
2015-10-19	$16.14	$16.00	20.3%	5.8%	23.4%	22.9%	19.8%	3.2%	-0.5%	47.6M	-149.4M	-17.5M	0.89	1.33	80,458	71,578	4,588,294	3,062,675
2015-10-20	$16.20	$16.00	20.3%	5.8%	22.8%	23.2%	19.8%	3.1%	-0.4%	45.9M	-174.9M	-17.4M	1.03	1.82	60,724	62,796	4,608,290	3,103,654
2015-10-21	$15.90	$16.00	20.9%	6.0%	23.3%	25.1%	22.6%	2.8%	-1.1%	30.1M	151.8M	-17.4M	0.96	2.59	119,391	114,937	4,636,109	3,111,649
2015-10-22	$16.16	$16.00	20.3%	5.9%	23.4%	23.1%	21.5%	3.1%	-0.7%	43.1M	-151.3M	-17.8M	0.52	1.81	137,722	71,853	4,659,040	3,176,514
2015-10-23	$16.55	$16.00	18.6%	5.3%	23.5%	16.8%	19.5%	2.5%	0.2%	120.7M	-695.9M	-18.0M	0.44	1.94	289,276	128,147	4,684,518	3,184,891
2015-10-26	$16.50	$16.00	18.9%	5.6%	21.3%	18.0%	20.2%	3.8%	0.9%	55.9M	-475.1M	-17.8M	0.88	1.89	302,312	267,324	4,646,845	3,167,431
2015-10-27	$16.39	$16.00	19.3%	5.5%	21.0%	19.5%	20.2%	2.7%	1.1%	49.7M	-177.5M	-18.0M	1.02	1.62	111,201	113,890	4,793,681	3,262,774
2015-10-28	$17.27	$16.00	17.9%	5.4%	27.1%	14.3%	20.1%	2.5%	1.0%	79.4M	-1.50B	-19.4M	0.29	1.61	579,991	170,514	4,808,670	3,285,408
2015-10-29	$17.11	$16.00	20.5%	6.0%	27.2%	23.7%	21.9%	2.2%	1.0%	68.3M	-1.23B	-19.3M	0.53	1.46	321,667	169,829	4,836,266	3,345,523
2015-10-30	$16.83	$16.00	20.3%	5.9%	28.0%	23.1%	22.3%	2.6%	0.2%	52.5M	-829.0M	-19.3M	0.47	1.62	271,313	128,648	4,873,718	3,381,345