BAC Options History — January 2016

In January 2016, BAC traded between $12.97 and $16.46. ATM implied volatility averaged 33.9%, placing in the 70.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.8% (HV 20d: 29.0%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.54.

Notable Days

2016-01-14: Highest Volume — 1,268,460 contracts
2016-01-20: Largest IV spike — 25.0% change
2016-01-20: Highest IV Rank — 95.5%
2016-01-20: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.55	$12.97	$16.46	$16.46	$13.66
Max Pain	$16.47	$16.00	$17.00	$17.00	$16.00
ATM IV	33.9%	28.7%	40.4%	29.8%	32.3%
Expected Move	9.6%	8.1%	11.6%	8.5%	9.5%
HV 20d	29.0%	25.7%	33.4%	29.5%	33.4%
HV 60d	29.4%	27.7%	31.7%	27.7%	30.1%
IV Rank	70.5%	50.7%	95.5%	55.0%	64.4%
IV Percentile	94.8%	88.5%	99.6%	90.9%	90.1%
Term Structure	-0.8%	-3.1%	0.7%	-1.0%	-0.5%
VWIV	33.5%	28.3%	40.1%	28.9%	32.8%
Skew 25d	4.6%	2.3%	7.0%	3.1%	4.7%
Skew 10d	10.0%	4.5%	18.1%	8.3%	10.2%
Call IV 25d	32.6%	28.3%	37.7%	29.2%	30.7%
Put IV 25d	37.1%	30.6%	43.8%	32.3%	35.4%
Bid-Ask Spread %	1.68	1.41	1.95	1.53	1.69
Gamma HHI	0.19	0.12	0.44	0.19	0.15
Net GEX	2.1M	-41.9M	38.5M	38.5M	18.6M
Net DEX	1.08B	-134.2M	2.16B	-134.2M	880.8M
Net VEX	-13.9M	-16.7M	-11.4M	-16.7M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.36	0.73	0.62	0.40
Total Volume	427,316	169,357	1,268,460	344,440	169,357
Total OI	7,197,187.263	5,199,128	9,075,176	8,379,014	5,814,316

Daily Data (19 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
2016-01-04	$16.46	$17.00	29.8%	8.5%	29.5%	55.0%	28.9%	3.1%	-1.0%	38.5M	-134.2M	-16.7M	0.62	1.53	212,685	131,755	5,111,437	3,267,577
2016-01-05	$16.43	$17.00	28.7%	8.1%	27.4%	50.7%	28.3%	2.3%	-0.6%	36.1M	-7.4M	-16.4M	0.57	1.41	116,928	66,660	5,169,177	3,312,949
2016-01-06	$16.08	$17.00	29.9%	8.4%	27.9%	55.1%	29.6%	2.8%	-0.3%	14.8M	469.7M	-15.8M	0.70	1.81	155,219	107,944	5,216,235	3,331,390
2016-01-07	$15.56	$17.00	34.3%	9.2%	29.2%	72.0%	33.2%	3.0%	-1.2%	-9.2M	1.20B	-15.0M	0.73	1.82	280,529	205,468	5,245,718	3,353,255
2016-01-08	$15.20	$17.00	34.5%	9.1%	29.9%	73.1%	32.1%	4.2%	-3.1%	-15.0M	1.49B	-14.5M	0.61	1.56	292,173	178,068	5,346,166	3,362,712
2016-01-11	$15.28	$17.00	33.0%	9.1%	30.0%	67.1%	31.3%	3.2%	-0.2%	-21.8M	1.42B	-14.2M	0.50	1.52	316,483	157,720	5,263,436	3,352,136
2016-01-12	$15.36	$16.00	32.9%	9.2%	29.2%	66.7%	31.2%	2.8%	-0.8%	-19.4M	1.28B	-14.4M	0.36	1.95	322,011	117,219	5,327,900	3,356,455
2016-01-13	$14.91	$16.00	37.0%	10.2%	30.4%	82.7%	34.9%	3.7%	-1.6%	-26.7M	1.74B	-14.6M	0.46	1.91	340,973	158,347	5,382,814	3,393,806
2016-01-14	$14.99	$16.00	34.8%	9.6%	25.7%	74.2%	33.3%	3.7%	-1.2%	-41.9M	1.63B	-14.7M	0.72	1.93	738,848	529,612	5,520,775	3,421,529
2016-01-15	$14.44	$17.00	38.9%	11.1%	26.1%	89.8%	36.1%	5.4%	-0.5%	11.8M	2.16B	-14.0M	0.59	1.55	423,291	249,511	5,670,515	3,404,661
2016-01-19	$14.30	$17.00	32.3%	9.2%	25.7%	64.6%	32.5%	5.3%	0.7%	6.6M	819.6M	-13.6M	0.48	1.81	260,932	124,907	3,238,499	1,960,629
2016-01-20	$13.68	$17.00	40.4%	11.6%	27.7%	95.5%	40.1%	6.4%	-2.3%	3.6M	1.00B	-12.9M	0.47	1.45	383,506	179,038	3,325,876	1,999,226
2016-01-21	$13.40	$16.00	36.1%	10.4%	27.1%	78.9%	36.3%	5.8%	-1.3%	2.8M	1.18B	-11.4M	0.53	1.95	264,866	140,235	3,461,784	2,027,810
2016-01-22	$13.58	$16.00	33.1%	9.5%	27.8%	67.7%	36.4%	5.8%	-0.4%	5.4M	1.08B	-12.4M	0.67	1.52	217,665	145,310	3,549,505	2,079,979
2016-01-25	$12.97	$16.00	36.1%	10.6%	28.4%	79.0%	37.1%	7.0%	-1.2%	2.6M	1.22B	-11.5M	0.48	1.50	230,528	109,666	3,356,573	2,067,656
2016-01-26	$13.29	$16.00	33.4%	9.8%	31.4%	68.8%	34.4%	5.9%	-0.0%	6.3M	1.11B	-12.1M	0.38	1.45	239,063	90,390	3,469,783	2,123,009
2016-01-27	$13.37	$16.00	32.7%	9.6%	32.1%	66.1%	34.2%	5.8%	0.3%	11.1M	1.04B	-12.7M	0.54	1.81	166,334	89,196	3,553,252	2,137,218
2016-01-28	$13.56	$16.00	33.1%	9.7%	32.7%	67.6%	33.5%	5.7%	-0.5%	15.7M	942.5M	-13.3M	0.52	1.72	136,146	70,421	3,610,201	2,160,599
2016-01-29	$13.66	$16.00	32.3%	9.5%	33.4%	64.4%	32.8%	4.7%	-0.5%	18.6M	880.8M	-13.6M	0.40	1.69	121,318	48,039	3,648,279	2,166,037