BAC Options History — April 2016

In April 2016, BAC traded between $12.85 and $15.09. ATM implied volatility averaged 28.1%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.4% (HV 20d: 27.7%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2016-04-14: Highest Volume — 679,834 contracts
2016-04-14: Largest IV drop — 11.7% change
2016-04-07: Highest IV Rank — 44.9%
2016-04-07: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.07	$12.85	$15.09	$13.58	$14.54
Max Pain	$13.95	$13.00	$14.00	$13.00	$14.00
ATM IV	28.1%	24.5%	33.8%	28.7%	27.0%
Expected Move	8.0%	7.0%	9.5%	8.8%	7.8%
HV 20d	27.7%	23.7%	30.0%	27.0%	30.0%
HV 60d	39.8%	37.3%	41.1%	40.9%	37.4%
IV Rank	30.9%	22.1%	44.9%	32.5%	28.3%
IV Percentile	60.6%	44.8%	86.1%	65.9%	56.0%
Term Structure	-0.3%	-1.5%	1.1%	-0.1%	-0.4%
VWIV	28.5%	25.3%	33.0%	30.4%	27.8%
Skew 25d	4.0%	3.1%	5.2%	4.6%	4.0%
Skew 10d	8.4%	5.2%	11.6%	10.1%	7.7%
Call IV 25d	26.9%	23.7%	32.9%	27.5%	25.3%
Put IV 25d	30.9%	27.3%	37.8%	32.1%	29.3%
Bid-Ask Spread %	3.92	1.66	11.82	4.17	3.13
Gamma HHI	0.20	0.14	0.30	0.21	0.21
Net GEX	42.3M	13.0M	71.7M	29.6M	18.3M
Net DEX	-489.8M	-1.68B	651.1M	-16.8M	-836.9M
Net VEX	-16.7M	-19.0M	-14.5M	-15.7M	-18.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.23	1.04	0.60	0.91
Total Volume	337,969.524	152,108	679,834	167,996	312,301
Total OI	6,668,617.048	6,228,397	7,132,402	6,494,738	7,132,402

Daily Data (21 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
2016-04-01	$13.58	$13.00	28.7%	8.8%	27.0%	32.5%	30.4%	4.6%	-0.1%	29.6M	-16.8M	-15.7M	0.60	4.17	105,093	62,903	3,981,272	2,513,466
2016-04-04	$13.51	$14.00	29.1%	8.0%	27.0%	33.4%	29.4%	4.5%	-0.1%	29.5M	131.2M	-15.2M	1.04	2.08	74,577	77,735	3,865,726	2,483,443
2016-04-05	$13.19	$14.00	32.2%	8.9%	28.3%	41.1%	31.6%	4.3%	-0.7%	21.6M	379.9M	-15.1M	1.01	3.82	108,907	110,327	3,892,572	2,509,161
2016-04-06	$13.27	$14.00	30.9%	9.0%	25.7%	37.9%	31.5%	4.8%	-0.5%	22.5M	356.4M	-15.0M	0.84	4.89	82,524	69,584	3,915,780	2,551,497
2016-04-07	$12.85	$14.00	33.8%	9.5%	28.2%	44.9%	33.0%	4.9%	-1.1%	13.0M	651.1M	-14.7M	0.66	5.35	183,393	120,474	3,941,692	2,572,700
2016-04-08	$12.87	$14.00	32.6%	9.2%	27.8%	42.1%	32.8%	4.1%	-0.7%	16.0M	637.0M	-14.7M	0.82	4.28	96,232	79,143	3,990,883	2,608,785
2016-04-11	$12.98	$14.00	32.3%	9.1%	23.7%	41.1%	31.8%	5.2%	-0.2%	17.5M	581.0M	-14.5M	0.53	2.00	140,615	74,761	3,935,780	2,591,134
2016-04-12	$13.28	$14.00	31.8%	9.5%	25.0%	40.1%	32.0%	4.5%	1.1%	25.7M	273.1M	-15.5M	0.48	5.50	227,317	109,036	3,976,422	2,613,728
2016-04-13	$13.75	$14.00	29.8%	8.1%	28.0%	35.2%	28.9%	4.7%	-1.5%	38.5M	-148.0M	-15.8M	0.48	1.66	373,869	178,613	4,058,585	2,664,540
2016-04-14	$14.15	$14.00	26.3%	7.4%	28.9%	26.6%	26.0%	4.2%	-0.7%	59.3M	-615.7M	-16.3M	0.49	3.60	457,123	222,711	4,132,691	2,718,812
2016-04-15	$13.99	$14.00	24.9%	7.0%	29.2%	23.1%	26.2%	4.0%	-0.8%	39.0M	-380.6M	-16.3M	0.73	3.45	184,049	134,506	4,204,753	2,760,150
2016-04-18	$14.19	$14.00	27.1%	7.8%	26.3%	28.5%	26.3%	3.2%	-0.2%	45.3M	-389.4M	-16.4M	0.23	2.03	357,373	82,425	3,784,753	2,443,644
2016-04-19	$14.45	$14.00	25.8%	7.4%	26.9%	25.2%	26.7%	3.2%	-0.5%	65.7M	-788.0M	-17.1M	0.29	3.66	408,598	120,256	4,034,585	2,477,554
2016-04-20	$14.94	$14.00	24.5%	7.0%	28.8%	22.1%	25.3%	3.6%	0.3%	60.6M	-1.38B	-17.7M	0.31	4.16	433,977	132,540	4,060,126	2,522,944
2016-04-21	$14.90	$14.00	25.6%	7.3%	28.4%	24.7%	27.1%	3.2%	-0.6%	66.5M	-1.46B	-18.2M	0.49	4.70	268,047	132,196	4,206,307	2,584,767
2016-04-22	$15.09	$14.00	25.4%	7.3%	28.5%	24.2%	26.5%	3.1%	-0.4%	57.9M	-1.68B	-18.6M	0.29	2.45	321,343	94,151	4,225,635	2,626,309
2016-04-25	$14.93	$14.00	26.1%	7.6%	28.9%	26.0%	26.9%	3.5%	0.1%	64.6M	-1.39B	-19.0M	0.69	2.87	119,495	82,536	4,179,529	2,583,145
2016-04-26	$15.07	$14.00	25.5%	7.4%	27.8%	24.7%	26.7%	3.2%	0.2%	68.0M	-1.55B	-18.7M	0.54	2.40	110,481	59,129	4,197,273	2,603,416
2016-04-27	$15.05	$14.00	25.1%	7.2%	27.9%	23.6%	26.0%	3.2%	-0.2%	71.7M	-1.51B	-18.7M	0.48	11.82	357,231	171,581	4,221,126	2,622,550
2016-04-28	$14.80	$14.00	25.1%	7.4%	29.0%	23.6%	26.3%	3.9%	-0.2%	57.3M	-1.15B	-18.4M	0.58	4.30	164,742	95,466	4,328,197	2,723,124
2016-04-29	$14.54	$14.00	27.0%	7.8%	30.0%	28.3%	27.8%	4.0%	-0.4%	18.3M	-836.9M	-18.6M	0.91	3.13	163,653	148,648	4,385,655	2,746,747