BAC Options History — December 2015

In December 2015, BAC traded between $16.72 and $17.81. ATM implied volatility averaged 26.6%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.1% (HV 20d: 26.5%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.48.

Notable Days

2015-12-14: Highest Volume — 997,184 contracts
2015-12-11: Largest IV spike — 26.5% change
2015-12-11: Highest IV Rank — 78.1%
2015-12-11: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.24	$16.72	$17.81	$17.81	$16.90
Max Pain	$17.07	$17.00	$18.00	$17.50	$17.00
ATM IV	26.6%	22.4%	35.9%	23.0%	26.1%
Expected Move	7.5%	6.0%	10.1%	7.3%	7.0%
HV 20d	26.5%	22.2%	29.6%	25.2%	28.5%
HV 60d	27.0%	26.1%	28.2%	26.7%	27.1%
IV Rank	42.5%	26.7%	78.1%	29.6%	40.9%
IV Percentile	77.5%	50.4%	98.8%	59.5%	77.4%
Term Structure	0.4%	-0.5%	3.1%	0.1%	-0.2%
VWIV	27.0%	22.3%	36.0%	26.5%	24.8%
Skew 25d	2.9%	2.1%	3.7%	2.3%	3.1%
Skew 10d	6.3%	4.2%	9.1%	5.7%	7.4%
Call IV 25d	26.1%	22.7%	35.6%	22.8%	25.4%
Put IV 25d	29.0%	25.1%	38.9%	25.1%	28.4%
Bid-Ask Spread %	1.73	1.24	2.72	2.66	1.24
Gamma HHI	0.19	0.15	0.26	0.20	0.20
Net GEX	82.4M	48.9M	136.5M	98.7M	64.7M
Net DEX	-1.39B	-2.45B	-309.2M	-2.01B	-1.00B
Net VEX	-19.1M	-20.3M	-17.7M	-19.1M	-17.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.21	0.82	0.27	0.42
Total Volume	395,597.182	126,995	997,184	408,598	183,039
Total OI	8,441,874.591	8,047,366	9,110,195	8,109,302	8,482,987

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
2015-12-01	$17.81	$17.50	23.0%	7.3%	25.2%	29.6%	26.5%	2.3%	0.1%	98.7M	-2.01B	-19.1M	0.27	2.66	321,156	87,442	4,856,219	3,253,083
2015-12-02	$17.58	$18.00	25.5%	8.2%	25.6%	38.3%	30.1%	3.1%	-0.4%	93.1M	-1.59B	-19.5M	0.60	1.60	402,876	240,363	4,780,437	3,283,073
2015-12-03	$17.32	$17.00	26.3%	8.0%	25.7%	41.6%	27.9%	2.6%	-0.1%	74.0M	-1.23B	-19.7M	0.30	1.98	279,402	84,388	4,860,083	3,306,513
2015-12-04	$17.79	$17.00	23.0%	6.8%	26.5%	28.8%	24.5%	2.3%	-0.1%	97.4M	-2.03B	-19.4M	0.25	2.00	372,962	94,153	4,909,368	3,340,457
2015-12-07	$17.54	$17.00	25.4%	7.5%	23.5%	38.2%	27.1%	3.1%	0.4%	91.4M	-1.66B	-19.4M	0.74	2.16	124,350	91,755	4,844,734	3,202,632
2015-12-08	$17.20	$17.00	27.8%	8.2%	23.9%	47.2%	29.7%	2.6%	0.9%	74.0M	-1.18B	-19.3M	0.53	2.17	257,642	137,109	4,902,871	3,233,497
2015-12-09	$17.10	$17.00	29.0%	8.6%	23.6%	51.8%	30.6%	3.0%	1.0%	69.1M	-1.04B	-19.6M	0.42	2.72	268,079	111,422	4,958,889	3,272,242
2015-12-10	$17.17	$17.00	28.3%	8.2%	23.5%	49.3%	29.6%	3.0%	0.8%	74.8M	-1.14B	-19.1M	0.31	1.54	249,499	77,414	5,000,883	3,289,737
2015-12-11	$16.72	$17.00	35.9%	10.1%	22.3%	78.1%	36.0%	3.2%	-0.5%	48.9M	-569.5M	-19.4M	0.45	1.98	345,869	156,341	5,029,051	3,309,907
2015-12-14	$16.78	$17.00	33.8%	9.7%	22.2%	70.1%	33.7%	3.6%	0.9%	53.9M	-640.6M	-19.3M	0.53	1.57	651,903	345,281	5,018,575	3,292,028
2015-12-15	$17.45	$17.00	28.7%	8.2%	26.0%	50.5%	28.6%	3.2%	0.5%	106.7M	-1.94B	-20.3M	0.21	1.53	410,434	86,161	5,398,339	3,567,410
2015-12-16	$17.74	$17.00	22.4%	6.4%	26.6%	26.7%	23.8%	3.3%	3.1%	136.5M	-2.45B	-19.3M	0.24	1.39	548,459	131,247	5,438,396	3,573,439
2015-12-17	$17.34	$17.00	24.7%	7.1%	26.7%	35.4%	24.5%	2.3%	-0.1%	102.2M	-1.56B	-19.3M	0.63	1.31	235,792	149,678	5,474,804	3,604,501
2015-12-18	$16.83	$17.00	26.5%	7.5%	28.5%	42.1%	26.4%	2.3%	-0.5%	50.6M	-309.2M	-18.7M	0.82	1.35	434,830	358,468	5,497,268	3,612,927
2015-12-21	$16.94	$17.00	26.7%	7.3%	28.7%	43.0%	25.8%	2.5%	0.2%	59.0M	-959.9M	-19.3M	0.37	1.61	203,704	76,155	5,113,096	3,381,885
2015-12-22	$17.06	$17.00	26.2%	7.0%	28.7%	41.2%	24.7%	3.3%	0.1%	69.4M	-1.20B	-19.2M	0.44	2.18	159,338	70,635	5,099,461	3,311,452
2015-12-23	$17.33	$17.00	24.9%	6.1%	29.4%	36.2%	22.3%	2.1%	0.5%	100.3M	-1.81B	-18.8M	0.41	1.49	181,552	74,834	5,146,839	3,331,672
2015-12-24	$17.27	$17.00	23.6%	6.0%	29.4%	31.3%	23.4%	2.8%	0.3%	100.9M	-1.75B	-18.8M	0.69	1.58	84,262	58,521	5,186,523	3,334,591
2015-12-28	$17.13	$17.00	26.3%	6.9%	29.5%	41.5%	24.9%	2.7%	0.3%	82.0M	-1.43B	-18.5M	0.52	1.31	173,943	91,037	5,097,980	3,308,449
2015-12-29	$17.26	$17.00	24.7%	6.5%	29.6%	35.2%	23.7%	2.9%	0.3%	93.5M	-1.77B	-18.0M	0.55	1.32	106,231	58,417	5,099,202	3,269,735
2015-12-30	$17.06	$17.00	25.5%	6.8%	28.7%	38.5%	24.6%	3.7%	0.3%	72.0M	-1.21B	-17.8M	0.76	1.36	72,207	54,788	5,151,045	3,294,961
2015-12-31	$16.90	$17.00	26.1%	7.0%	28.5%	40.9%	24.8%	3.1%	-0.2%	64.7M	-1.00B	-17.7M	0.42	1.24	129,320	53,719	5,168,060	3,314,927