BAC Options History — May 2016

In May 2016, BAC traded between $13.89 and $14.88. ATM implied volatility averaged 27.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.0% (HV 20d: 27.2%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.65.

Notable Days

2016-05-18: Highest Volume — 469,377 contracts
2016-05-04: Largest IV spike — 12.5% change
2016-05-05: Highest IV Rank — 35.2%
2016-05-04: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.38	$13.89	$14.88	$14.76	$14.78
Max Pain	$14.00	$14.00	$14.00	$14.00	$14.00
ATM IV	27.2%	24.9%	29.8%	25.7%	25.3%
Expected Move	7.8%	6.7%	8.8%	7.2%	7.3%
HV 20d	27.2%	23.9%	31.4%	30.1%	25.6%
HV 60d	31.0%	27.3%	37.6%	37.4%	27.4%
IV Rank	28.5%	22.0%	35.2%	25.1%	22.5%
IV Percentile	52.7%	36.5%	66.7%	48.8%	38.5%
Term Structure	0.5%	-1.3%	2.4%	-0.1%	-0.3%
VWIV	28.1%	24.3%	31.8%	27.0%	26.8%
Skew 25d	4.1%	2.8%	4.9%	4.0%	3.1%
Skew 10d	7.6%	3.6%	10.6%	9.2%	5.5%
Call IV 25d	25.9%	23.7%	28.2%	24.5%	25.0%
Put IV 25d	30.0%	26.5%	32.6%	28.5%	28.1%
Bid-Ask Spread %	5.02	2.68	14.49	4.23	6.18
Gamma HHI	0.24	0.18	0.34	0.26	0.34
Net GEX	50.6M	38.5M	67.5M	60.1M	58.4M
Net DEX	-509.6M	-1.04B	186.1M	-1.04B	-815.9M
Net VEX	-17.3M	-18.3M	-16.2M	-18.3M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.29	1.57	0.63	0.69
Total Volume	228,412.333	62,556	469,377	158,416	250,421
Total OI	6,778,372.476	5,864,915	7,215,369	6,930,812	6,055,526

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
2016-05-02	$14.76	$14.00	25.7%	7.2%	30.1%	25.1%	27.0%	4.0%	-0.1%	60.1M	-1.04B	-18.3M	0.63	4.23	97,029	61,387	4,269,737	2,661,075
2016-05-03	$14.34	$14.00	26.5%	7.7%	30.8%	26.9%	26.3%	4.9%	0.3%	48.0M	-498.0M	-18.1M	0.56	4.47	198,562	111,747	4,306,864	2,684,366
2016-05-04	$14.14	$14.00	29.8%	8.8%	31.4%	35.0%	31.8%	3.9%	0.1%	42.1M	-283.8M	-17.8M	0.71	4.90	137,507	97,300	4,348,696	2,709,186
2016-05-05	$14.03	$14.00	29.8%	8.5%	28.9%	35.2%	31.2%	4.8%	-0.5%	41.0M	-163.2M	-17.5M	0.59	4.93	96,599	56,946	4,333,955	2,721,536
2016-05-06	$14.10	$14.00	29.0%	8.3%	28.9%	33.1%	29.6%	4.9%	-0.3%	38.9M	-235.4M	-17.6M	0.49	3.92	169,112	83,568	4,362,204	2,737,195
2016-05-09	$14.00	$14.00	27.8%	8.1%	29.1%	30.3%	29.1%	4.1%	1.0%	38.6M	-100.0M	-17.0M	0.71	3.27	86,214	61,421	4,281,790	2,697,075
2016-05-10	$14.31	$14.00	25.6%	8.0%	29.0%	24.9%	27.5%	3.6%	2.4%	49.9M	-487.7M	-17.8M	1.57	3.51	97,911	153,921	4,293,968	2,707,380
2016-05-11	$14.20	$14.00	27.9%	8.1%	26.9%	30.5%	29.9%	4.9%	0.4%	48.7M	-206.6M	-17.3M	0.50	8.63	125,396	62,888	4,315,562	2,823,495
2016-05-12	$14.13	$14.00	28.1%	8.2%	25.0%	31.0%	28.8%	4.3%	0.8%	47.1M	-137.1M	-17.3M	0.74	4.30	68,449	50,334	4,350,805	2,841,626
2016-05-13	$13.89	$14.00	27.9%	8.3%	25.4%	30.5%	29.6%	4.5%	1.8%	38.5M	186.1M	-16.6M	0.61	4.28	174,791	106,417	4,369,262	2,844,075
2016-05-16	$13.93	$14.00	28.1%	8.1%	24.8%	31.1%	28.9%	4.7%	0.5%	43.1M	-32.6M	-16.2M	0.65	3.37	107,385	70,113	4,296,823	2,714,096
2016-05-17	$13.99	$14.00	28.5%	8.2%	23.9%	32.0%	28.9%	4.3%	1.5%	48.8M	-109.7M	-16.3M	0.93	2.68	32,399	30,157	4,340,281	2,730,558
2016-05-18	$14.66	$14.00	26.5%	7.6%	26.8%	27.0%	28.6%	4.2%	2.2%	67.5M	-991.7M	-17.7M	0.43	8.44	328,976	140,401	4,363,345	2,746,364
2016-05-19	$14.57	$14.00	27.4%	7.8%	26.8%	29.1%	28.6%	4.3%	1.5%	54.2M	-832.0M	-17.6M	0.66	4.13	171,487	112,979	4,401,213	2,780,523
2016-05-20	$14.50	$14.00	27.9%	8.1%	26.4%	30.4%	27.4%	4.8%	-1.3%	47.0M	-762.8M	-17.3M	0.68	3.31	194,059	132,174	4,436,469	2,778,900
2016-05-23	$14.49	$14.00	26.3%	7.4%	26.2%	26.6%	28.0%	4.3%	-0.1%	49.2M	-606.4M	-16.8M	0.67	4.14	102,458	68,870	3,598,393	2,266,522
2016-05-24	$14.67	$14.00	26.4%	7.5%	26.4%	25.8%	26.1%	4.0%	0.5%	57.6M	-811.0M	-17.1M	0.38	3.92	140,986	53,565	3,637,706	2,298,119
2016-05-25	$14.88	$14.00	25.4%	7.3%	26.9%	23.2%	26.0%	3.7%	0.1%	66.2M	-1.02B	-17.2M	0.38	2.97	250,281	95,372	3,676,014	2,320,103
2016-05-26	$14.71	$14.00	26.2%	7.2%	26.6%	25.4%	25.2%	3.0%	-0.4%	59.3M	-790.3M	-17.0M	0.68	5.33	129,805	88,488	3,717,593	2,357,637
2016-05-27	$14.87	$14.00	24.9%	6.7%	26.0%	22.0%	24.3%	2.8%	0.2%	57.5M	-962.4M	-17.3M	0.29	14.49	154,236	44,548	3,767,119	2,402,666
2016-05-31	$14.78	$14.00	25.3%	7.3%	25.6%	22.5%	26.8%	3.1%	-0.3%	58.4M	-815.9M	-17.2M	0.69	6.18	147,943	102,478	3,705,855	2,349,671