BAC Options History — November 2015

In November 2015, BAC traded between $16.97 and $17.97. ATM implied volatility averaged 24.0%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 5.9% (HV 20d: 29.9%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.47.

Notable Days

2015-11-06: Highest Volume — 996,729 contracts
2015-11-09: Largest IV spike — 11.0% change
2015-11-17: Highest IV Rank — 45.2%
2015-11-13: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.49	$16.97	$17.97	$17.05	$17.43
Max Pain	$17.63	$16.00	$18.00	$16.00	$18.00
ATM IV	24.0%	21.2%	26.4%	21.2%	24.4%
Expected Move	7.1%	6.1%	7.7%	6.1%	7.6%
HV 20d	29.9%	24.5%	32.6%	27.4%	24.5%
HV 60d	29.9%	26.6%	32.5%	30.8%	26.6%
IV Rank	36.3%	26.2%	45.2%	26.2%	36.8%
IV Percentile	69.7%	50.8%	82.9%	50.8%	71.0%
Term Structure	-0.0%	-1.7%	2.8%	-0.4%	-0.2%
VWIV	25.4%	21.6%	27.4%	21.6%	27.1%
Skew 25d	2.5%	1.9%	3.2%	2.7%	2.5%
Skew 10d	4.9%	2.2%	7.3%	5.5%	5.2%
Call IV 25d	23.5%	20.4%	25.5%	20.4%	23.7%
Put IV 25d	26.1%	23.1%	28.2%	23.1%	26.2%
Bid-Ask Spread %	2.03	1.16	4.21	2.04	2.44
Gamma HHI	0.20	0.16	0.25	0.23	0.19
Net GEX	92.6M	63.4M	154.6M	75.4M	79.0M
Net DEX	-1.72B	-2.80B	-976.1M	-1.14B	-1.41B
Net VEX	-20.1M	-20.9M	-19.3M	-19.3M	-19.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.23	1.06	0.46	0.52
Total Volume	302,788.05	112,247	996,729	312,160	177,032
Total OI	8,330,833.55	7,994,635	8,678,629	8,104,172	8,037,369

Daily Data (20 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
2015-11-02	$17.05	$16.00	21.2%	6.1%	27.4%	26.2%	21.6%	2.7%	-0.4%	75.4M	-1.14B	-19.3M	0.46	2.04	213,657	98,503	4,798,012	3,306,160
2015-11-03	$17.21	$16.00	21.5%	6.2%	27.4%	27.4%	21.7%	1.9%	0.1%	79.0M	-1.29B	-19.5M	0.51	1.95	188,491	96,556	4,850,064	3,313,486
2015-11-04	$16.97	$16.00	22.4%	6.5%	28.2%	30.7%	22.5%	2.4%	0.2%	67.4M	-976.1M	-19.5M	0.42	1.74	204,481	86,333	4,878,463	3,343,781
2015-11-05	$17.31	$18.00	23.2%	7.1%	28.7%	33.4%	24.7%	2.6%	-0.1%	88.3M	-1.55B	-20.1M	0.45	1.83	456,175	204,479	4,928,533	3,360,264
2015-11-06	$17.95	$17.00	22.9%	6.9%	30.1%	32.4%	24.4%	2.7%	-0.3%	121.7M	-2.80B	-20.7M	0.23	4.21	810,214	186,515	5,081,082	3,476,246
2015-11-09	$17.68	$18.00	25.4%	7.5%	30.9%	41.4%	27.1%	2.1%	0.6%	87.2M	-2.11B	-20.9M	0.37	2.58	243,428	90,295	4,886,369	3,417,061
2015-11-10	$17.85	$18.00	24.0%	7.3%	30.8%	36.4%	26.5%	2.6%	1.3%	98.5M	-2.32B	-20.7M	0.51	2.12	134,743	68,855	4,947,522	3,434,695
2015-11-11	$17.97	$18.00	24.5%	7.2%	30.8%	38.2%	25.4%	2.2%	1.1%	106.8M	-2.54B	-20.9M	1.06	2.57	54,619	57,628	4,954,124	3,450,866
2015-11-12	$17.37	$18.00	23.7%	7.4%	32.2%	35.3%	26.6%	2.7%	2.8%	73.4M	-1.54B	-20.9M	0.72	1.98	181,253	130,184	4,968,722	3,467,971
2015-11-13	$17.20	$18.00	26.0%	7.7%	32.4%	43.5%	27.4%	3.2%	1.4%	63.4M	-1.18B	-20.6M	0.49	1.92	218,140	105,920	5,001,722	3,508,113
2015-11-16	$17.43	$18.00	26.0%	7.6%	32.6%	43.6%	26.9%	3.1%	-1.5%	78.6M	-1.55B	-20.5M	0.31	2.26	154,475	48,143	4,972,819	3,452,996
2015-11-17	$17.45	$18.00	26.4%	7.7%	32.6%	45.2%	26.4%	2.8%	-1.7%	89.1M	-1.69B	-20.4M	0.24	1.73	271,317	65,060	5,018,698	3,460,171
2015-11-18	$17.83	$18.00	24.8%	7.1%	32.1%	39.2%	25.8%	2.3%	-0.8%	117.0M	-2.37B	-20.2M	0.33	1.45	281,389	91,663	5,133,734	3,483,615
2015-11-19	$17.70	$18.00	24.4%	7.0%	32.1%	38.1%	25.7%	2.5%	0.2%	116.5M	-2.08B	-20.3M	0.28	1.95	163,377	45,324	5,141,342	3,516,238
2015-11-20	$17.63	$18.00	23.4%	6.7%	31.4%	34.4%	24.4%	2.1%	0.0%	89.6M	-2.03B	-20.1M	0.41	1.16	171,069	70,910	5,152,044	3,526,585
2015-11-23	$17.47	$18.00	23.5%	6.9%	31.6%	34.8%	25.1%	2.4%	-0.6%	86.1M	-1.49B	-19.7M	0.51	1.67	145,818	73,729	4,789,157	3,205,478
2015-11-24	$17.47	$18.00	24.1%	7.2%	31.5%	36.7%	26.0%	2.7%	-0.5%	86.0M	-1.47B	-19.9M	0.45	1.94	131,849	58,858	4,836,047	3,228,145
2015-11-25	$17.43	$17.50	23.8%	7.2%	25.6%	35.6%	25.7%	2.5%	-0.9%	93.7M	-1.42B	-19.3M	0.66	1.36	83,914	55,449	4,874,390	3,255,431
2015-11-27	$17.48	$18.00	24.1%	7.3%	25.3%	36.6%	26.3%	2.6%	-0.5%	154.6M	-1.47B	-19.5M	0.45	1.69	93,996	41,920	4,884,460	3,274,696
2015-11-30	$17.43	$18.00	24.4%	7.6%	24.5%	36.8%	27.1%	2.5%	-0.2%	79.0M	-1.41B	-19.3M	0.52	2.44	116,605	60,427	4,812,619	3,224,750