BAC Options History — March 2016

In March 2016, BAC traded between $13.07 and $13.89. ATM implied volatility averaged 31.4%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 8.8% (HV 20d: 40.2%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.53.

Notable Days

2016-03-04: Highest Volume — 503,831 contracts
2016-03-18: Largest IV drop — 11.2% change
2016-03-16: Highest IV Rank — 49.0%
2016-03-10: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.49	$13.07	$13.89	$13.15	$13.53
Max Pain	$13.00	$13.00	$13.00	$13.00	$13.00
ATM IV	31.4%	29.0%	35.4%	33.5%	29.2%
Expected Move	9.4%	8.4%	10.7%	10.5%	8.8%
HV 20d	40.2%	27.1%	55.3%	55.3%	27.1%
HV 60d	41.0%	40.3%	41.9%	41.0%	40.8%
IV Rank	39.0%	33.1%	49.0%	44.2%	33.6%
IV Percentile	77.4%	66.7%	88.9%	85.7%	67.1%
Term Structure	0.6%	-2.5%	5.0%	0.5%	-0.3%
VWIV	33.3%	30.3%	36.9%	35.9%	30.9%
Skew 25d	5.0%	3.7%	6.7%	6.4%	4.0%
Skew 10d	10.7%	7.6%	16.4%	16.4%	7.6%
Call IV 25d	29.8%	27.7%	33.3%	30.7%	27.7%
Put IV 25d	34.8%	31.7%	38.7%	37.1%	31.7%
Bid-Ask Spread %	6.22	3.98	17.63	5.03	9.20
Gamma HHI	0.20	0.14	0.26	0.15	0.22
Net GEX	37.3M	28.8M	45.9M	29.8M	34.5M
Net DEX	-65.5M	-454.9M	257.1M	205.0M	86.0M
Net VEX	-15.9M	-16.8M	-14.4M	-14.6M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.24	0.92	0.34	0.50
Total Volume	285,839.5	162,575	503,831	380,826	210,831
Total OI	6,486,504.455	6,166,043	6,965,669	6,265,102	6,436,346

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
2016-03-01	$13.15	$13.00	33.5%	10.5%	55.3%	44.2%	35.9%	6.4%	0.5%	29.8M	205.0M	-14.6M	0.34	5.03	284,547	96,279	3,825,838	2,439,264
2016-03-02	$13.39	$13.00	30.3%	9.4%	52.2%	36.3%	34.4%	5.1%	0.9%	35.2M	-75.7M	-16.0M	0.67	6.37	255,022	170,059	3,844,740	2,468,923
2016-03-03	$13.50	$13.00	31.1%	10.0%	52.0%	38.4%	32.7%	6.7%	-0.1%	37.6M	-139.7M	-16.3M	0.25	4.95	303,655	76,144	3,910,101	2,520,894
2016-03-04	$13.56	$13.00	29.9%	9.0%	51.9%	35.3%	32.5%	5.5%	0.3%	34.9M	-318.4M	-16.3M	0.29	8.62	391,827	112,004	4,023,006	2,529,657
2016-03-07	$13.51	$13.00	31.1%	9.3%	51.1%	38.4%	33.1%	5.8%	1.0%	38.6M	-160.8M	-16.4M	0.55	4.52	144,238	79,600	3,977,603	2,479,911
2016-03-08	$13.07	$13.00	34.0%	10.4%	49.1%	45.3%	36.1%	5.6%	3.2%	28.8M	257.1M	-15.3M	0.48	6.61	156,344	75,814	3,981,379	2,501,626
2016-03-09	$13.10	$13.00	34.8%	10.6%	48.9%	47.3%	36.3%	5.6%	2.8%	32.7M	170.8M	-15.7M	0.51	5.38	148,521	75,125	4,037,046	2,513,530
2016-03-10	$13.26	$13.00	32.9%	10.7%	48.2%	42.7%	36.9%	5.0%	5.0%	39.4M	50.7M	-16.2M	0.44	5.51	166,146	73,515	4,069,906	2,540,436
2016-03-11	$13.79	$13.00	30.4%	9.2%	41.3%	36.6%	34.1%	5.2%	2.2%	38.3M	-454.9M	-16.8M	0.40	6.38	287,471	113,671	4,107,484	2,556,958
2016-03-14	$13.60	$13.00	33.7%	9.7%	36.4%	44.7%	36.5%	5.7%	1.3%	42.3M	-240.9M	-16.5M	0.82	5.40	112,030	91,917	4,078,387	2,536,352
2016-03-15	$13.55	$13.00	33.5%	9.6%	36.1%	44.1%	36.6%	5.0%	1.4%	43.1M	-188.3M	-16.5M	0.38	6.63	121,631	46,813	4,134,867	2,591,441
2016-03-16	$13.32	$13.00	35.4%	10.2%	36.1%	49.0%	35.1%	5.0%	-2.5%	38.6M	41.4M	-15.6M	0.51	17.63	236,807	121,618	4,186,803	2,592,093
2016-03-17	$13.27	$13.00	33.2%	9.6%	34.7%	43.5%	34.4%	3.7%	-1.6%	33.4M	242.4M	-14.4M	0.49	3.98	158,276	77,501	4,230,981	2,634,753
2016-03-18	$13.80	$13.00	29.5%	8.5%	36.5%	34.4%	31.2%	4.8%	0.3%	39.5M	-428.9M	-16.5M	0.33	5.24	313,994	104,850	4,294,933	2,670,736
2016-03-21	$13.89	$13.00	29.8%	8.6%	35.1%	35.0%	30.6%	4.4%	0.2%	45.3M	-319.1M	-16.2M	0.65	6.05	130,552	84,750	3,806,289	2,359,754
2016-03-22	$13.77	$13.00	29.3%	8.4%	33.3%	34.0%	31.2%	3.9%	-0.3%	45.9M	-191.7M	-16.1M	0.79	4.48	124,614	98,588	3,842,484	2,393,069
2016-03-23	$13.63	$13.00	29.5%	8.7%	33.5%	34.5%	30.3%	4.0%	-0.1%	44.7M	-85.4M	-16.0M	0.70	4.20	96,215	67,208	3,888,388	2,428,147
2016-03-24	$13.66	$13.00	30.4%	8.8%	33.3%	36.7%	31.1%	4.6%	-0.2%	35.8M	-166.9M	-16.4M	0.63	5.86	140,494	88,310	3,918,234	2,441,370
2016-03-28	$13.61	$13.00	30.2%	8.9%	31.7%	36.2%	30.4%	5.0%	-0.2%	38.1M	-18.3M	-16.0M	0.80	5.61	90,544	72,031	3,839,433	2,408,929
2016-03-29	$13.38	$13.00	30.0%	8.8%	32.0%	35.6%	31.0%	4.7%	0.1%	30.4M	215.7M	-15.3M	0.24	4.68	364,346	88,095	3,865,375	2,426,549
2016-03-30	$13.49	$13.00	29.0%	8.5%	27.8%	33.1%	30.5%	4.1%	0.2%	34.3M	79.2M	-15.8M	0.92	4.56	123,168	113,304	3,910,489	2,458,594
2016-03-31	$13.53	$13.00	29.2%	8.8%	27.1%	33.6%	30.9%	4.0%	-0.3%	34.5M	86.0M	-15.6M	0.50	9.20	140,172	70,659	3,936,641	2,499,705