BAC Options History — February 2016

In February 2016, BAC traded between $11.18 and $13.97. ATM implied volatility averaged 40.5%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 6.3% (HV 20d: 46.8%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.49.

Notable Days

2016-02-11: Highest Volume — 741,661 contracts
2016-02-11: Largest IV spike — 22.7% change
2016-02-08: Highest IV Rank — 100.0%
2016-02-11: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.47	$11.18	$13.97	$13.97	$12.56
Max Pain	$13.80	$13.00	$16.00	$16.00	$13.00
ATM IV	40.5%	31.1%	56.3%	31.1%	35.7%
Expected Move	11.7%	9.2%	16.1%	9.2%	10.9%
HV 20d	46.8%	35.5%	54.1%	35.5%	53.1%
HV 60d	35.5%	30.5%	40.0%	30.5%	39.6%
IV Rank	71.9%	44.5%	100.0%	59.7%	49.6%
IV Percentile	95.5%	86.9%	100.0%	86.9%	90.1%
Term Structure	-0.3%	-1.8%	0.9%	-0.4%	-0.6%
VWIV	41.3%	32.8%	55.4%	32.8%	37.5%
Skew 25d	6.9%	4.1%	10.1%	4.6%	4.1%
Skew 10d	14.3%	9.2%	20.4%	9.2%	9.4%
Call IV 25d	38.1%	29.6%	52.3%	29.6%	34.0%
Put IV 25d	45.0%	34.2%	62.4%	34.2%	38.1%
Bid-Ask Spread %	2.26	1.27	9.14	1.61	9.14
Gamma HHI	0.13	0.10	0.21	0.21	0.11
Net GEX	13.6M	4.2M	26.4M	26.4M	19.8M
Net DEX	943.8M	406.9M	1.39B	658.9M	549.4M
Net VEX	-13.4M	-14.3M	-11.3M	-14.3M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.28	0.91	0.50	0.49
Total Volume	394,042.5	204,606	741,661	243,722	224,406
Total OI	6,440,977.25	5,784,460	7,322,641	5,784,460	6,180,425

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
2016-02-01	$13.97	$16.00	31.1%	9.2%	35.5%	59.7%	32.8%	4.6%	-0.4%	26.4M	658.9M	-14.3M	0.50	1.61	162,805	80,917	3,634,477	2,149,983
2016-02-02	$13.23	$16.00	37.6%	11.3%	38.5%	84.6%	39.2%	6.0%	0.2%	12.3M	1.02B	-13.3M	0.44	1.69	292,286	128,861	3,693,943	2,189,465
2016-02-03	$13.05	$16.00	38.9%	11.6%	38.4%	89.7%	41.2%	5.9%	-0.6%	9.5M	1.11B	-13.0M	0.47	1.74	443,984	208,664	3,776,969	2,262,511
2016-02-04	$13.22	$14.00	39.1%	10.9%	39.2%	90.4%	37.3%	5.8%	-1.6%	17.8M	937.0M	-13.8M	0.28	1.95	423,438	119,646	3,968,194	2,328,615
2016-02-05	$12.91	$14.00	39.1%	11.1%	38.6%	90.7%	39.3%	7.7%	-0.1%	9.6M	1.05B	-13.7M	0.63	1.39	163,189	102,477	4,069,115	2,356,564
2016-02-08	$12.28	$14.00	47.0%	13.5%	40.9%	100.0%	45.9%	7.1%	0.9%	5.5M	1.16B	-12.7M	0.42	1.94	363,152	151,612	3,914,553	2,336,499
2016-02-09	$12.20	$14.00	48.1%	13.5%	40.5%	100.0%	46.0%	8.4%	-0.7%	8.9M	1.18B	-12.8M	0.53	1.54	220,589	116,836	4,116,035	2,395,759
2016-02-10	$11.96	$14.00	45.9%	13.0%	40.2%	93.0%	44.5%	8.7%	0.1%	8.5M	1.26B	-12.2M	0.39	1.63	184,325	71,231	4,198,418	2,428,523
2016-02-11	$11.18	$14.00	56.3%	16.1%	44.3%	100.0%	55.4%	10.1%	-0.0%	4.2M	1.39B	-11.3M	0.54	1.64	481,702	259,959	4,254,447	2,439,830
2016-02-12	$11.95	$13.00	50.8%	14.6%	52.5%	86.6%	52.4%	9.9%	-0.1%	9.4M	1.05B	-13.4M	0.37	2.00	465,527	172,588	4,479,784	2,544,678
2016-02-16	$12.20	$13.00	46.0%	13.2%	52.7%	74.8%	44.9%	8.2%	-0.9%	15.6M	1.01B	-13.7M	0.48	1.63	226,671	109,072	4,399,984	2,556,005
2016-02-17	$12.52	$13.00	37.4%	10.7%	54.1%	53.9%	40.0%	7.8%	0.7%	20.6M	902.1M	-14.1M	0.45	1.30	300,301	135,603	4,476,462	2,589,434
2016-02-18	$12.21	$13.00	39.3%	11.3%	52.8%	58.3%	41.3%	6.9%	0.1%	15.8M	1.10B	-13.2M	0.91	1.27	258,582	234,894	4,548,745	2,618,120
2016-02-19	$12.12	$14.00	36.4%	10.4%	52.5%	51.4%	37.4%	6.6%	0.2%	9.8M	1.21B	-13.0M	0.59	1.34	202,552	120,112	4,588,454	2,734,187
2016-02-22	$12.53	$13.00	33.6%	9.8%	53.9%	44.5%	34.7%	5.5%	0.3%	16.2M	625.3M	-13.7M	0.46	1.48	199,547	90,941	3,632,361	2,314,826
2016-02-23	$12.18	$13.00	37.2%	10.9%	52.4%	53.4%	39.0%	5.7%	-0.5%	13.3M	782.4M	-13.4M	0.91	1.42	126,023	114,256	3,705,184	2,365,833
2016-02-24	$12.11	$13.00	39.3%	11.7%	51.4%	58.4%	41.4%	6.5%	-0.6%	12.4M	798.0M	-13.4M	0.36	1.42	216,967	77,231	3,761,020	2,394,496
2016-02-25	$12.31	$13.00	35.5%	10.5%	51.8%	49.0%	38.6%	6.6%	-0.8%	17.7M	680.1M	-13.8M	0.29	1.60	158,480	46,126	3,796,409	2,410,393
2016-02-26	$12.73	$13.00	35.6%	10.5%	53.1%	49.3%	36.1%	6.5%	-1.8%	18.9M	406.9M	-14.3M	0.32	7.40	323,184	102,114	3,787,170	2,421,675
2016-02-29	$12.56	$13.00	35.7%	10.9%	53.1%	49.6%	37.5%	4.1%	-0.6%	19.8M	549.4M	-14.1M	0.49	9.14	150,220	74,186	3,769,543	2,410,882