BAC Options History — June 2016

In June 2016, BAC traded between $12.18 and $14.93. ATM implied volatility averaged 31.8%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.7% (HV 20d: 29.1%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.57.

Notable Days

2016-06-27: Highest Volume — 659,039 contracts
2016-06-24: Largest IV spike — 26.5% change
2016-06-27: Highest IV Rank — 73.7%
2016-06-27: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.71	$12.18	$14.93	$14.86	$13.23
Max Pain	$14.00	$14.00	$14.00	$14.00	$14.00
ATM IV	31.8%	24.3%	45.8%	25.7%	33.2%
Expected Move	9.1%	6.9%	13.8%	7.1%	9.0%
HV 20d	29.1%	21.9%	47.5%	23.2%	47.4%
HV 60d	28.3%	26.1%	35.4%	27.4%	35.4%
IV Rank	38.9%	20.1%	73.7%	23.5%	42.3%
IV Percentile	69.3%	31.0%	97.6%	42.1%	78.6%
Term Structure	-0.4%	-2.2%	2.0%	-0.9%	-0.8%
VWIV	31.9%	25.3%	48.2%	26.2%	31.7%
Skew 25d	4.6%	2.6%	7.0%	3.1%	4.8%
Skew 10d	10.0%	5.4%	17.3%	5.6%	9.7%
Call IV 25d	30.2%	23.5%	41.6%	24.6%	31.5%
Put IV 25d	34.8%	26.5%	48.6%	27.7%	36.2%
Bid-Ask Spread %	8.56	1.61	61.62	6.46	61.62
Gamma HHI	0.22	0.14	0.36	0.32	0.17
Net GEX	32.6M	2.7M	70.0M	59.2M	41.6M
Net DEX	72.8M	-974.0M	1.03B	-874.6M	288.9M
Net VEX	-15.3M	-17.3M	-12.7M	-17.3M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.24	0.88	0.31	0.54
Total Volume	324,895.5	166,336	659,039	213,301	288,435
Total OI	6,466,513.909	6,121,418	7,192,496	6,121,418	7,187,249

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
2016-06-01	$14.86	$14.00	25.7%	7.1%	23.2%	23.5%	26.2%	3.1%	-0.9%	59.2M	-874.6M	-17.3M	0.31	6.46	162,764	50,537	3,713,178	2,408,240
2016-06-02	$14.93	$14.00	25.1%	7.2%	22.5%	22.1%	25.3%	3.6%	-0.2%	70.0M	-974.0M	-17.2M	0.55	2.73	107,407	58,929	3,758,136	2,418,898
2016-06-03	$14.42	$14.00	26.8%	8.0%	25.9%	26.2%	27.0%	3.0%	-0.6%	46.1M	-387.2M	-16.7M	0.46	10.86	345,717	157,537	3,792,733	2,436,108
2016-06-06	$14.54	$14.00	25.3%	6.9%	26.0%	22.5%	25.4%	3.5%	-1.2%	59.1M	-618.6M	-16.6M	0.63	3.53	140,900	89,203	3,791,107	2,437,018
2016-06-07	$14.36	$14.00	24.3%	7.5%	26.3%	20.1%	26.4%	3.5%	2.0%	48.2M	-401.7M	-16.2M	0.88	3.28	91,605	80,590	3,801,847	2,447,267
2016-06-08	$14.43	$14.00	24.4%	7.3%	25.2%	20.3%	25.9%	3.0%	1.3%	55.0M	-500.3M	-16.2M	0.63	2.87	122,885	77,336	3,824,791	2,443,873
2016-06-09	$14.19	$14.00	26.2%	7.6%	25.8%	24.8%	26.0%	2.6%	0.3%	36.9M	-217.0M	-15.9M	0.38	11.35	125,711	48,001	3,852,539	2,468,176
2016-06-10	$13.83	$14.00	28.4%	8.2%	27.3%	30.4%	29.5%	4.1%	0.3%	23.8M	147.0M	-15.6M	0.73	8.32	184,805	134,217	3,878,509	2,477,764
2016-06-13	$13.58	$14.00	32.3%	9.2%	27.4%	40.0%	32.8%	4.3%	0.8%	18.4M	268.5M	-15.2M	0.68	4.20	136,709	92,412	3,809,264	2,455,772
2016-06-14	$13.26	$14.00	35.3%	10.1%	28.5%	47.5%	34.8%	5.4%	-0.6%	10.4M	541.0M	-14.5M	0.74	4.68	195,656	144,210	3,849,221	2,497,038
2016-06-15	$13.33	$14.00	35.0%	10.0%	28.6%	46.8%	33.8%	5.3%	-1.2%	12.5M	513.0M	-14.6M	0.65	12.53	179,377	116,193	3,920,125	2,535,159
2016-06-16	$13.29	$14.00	33.9%	9.7%	21.9%	44.1%	33.7%	5.3%	0.3%	10.8M	567.2M	-14.3M	0.60	2.99	162,939	97,955	3,981,123	2,566,729
2016-06-17	$13.36	$14.00	34.0%	9.8%	22.2%	44.4%	32.3%	5.1%	-0.3%	17.9M	475.3M	-14.5M	0.57	6.58	174,596	100,362	4,034,931	2,584,706
2016-06-20	$13.54	$14.00	32.1%	8.9%	23.0%	39.6%	31.4%	5.2%	-0.7%	25.7M	233.1M	-14.4M	0.36	4.25	234,347	85,044	3,813,019	2,412,686
2016-06-21	$13.64	$14.00	32.6%	9.2%	23.3%	40.7%	31.7%	5.1%	-0.3%	32.9M	129.9M	-15.0M	0.57	8.07	156,407	89,804	3,937,820	2,442,323
2016-06-22	$13.64	$14.00	35.4%	9.9%	22.7%	47.8%	34.0%	6.0%	-1.3%	34.0M	78.9M	-15.2M	0.76	10.64	126,655	96,708	3,998,269	2,478,543
2016-06-23	$14.04	$14.00	30.6%	8.4%	24.7%	35.7%	30.3%	5.1%	-0.7%	49.2M	-249.8M	-15.7M	0.63	7.28	208,264	132,218	4,030,535	2,514,092
2016-06-24	$13.04	$14.00	38.7%	11.1%	35.3%	56.0%	38.9%	6.1%	-2.2%	14.6M	592.9M	-14.4M	0.67	6.78	338,214	226,798	4,070,680	2,584,963
2016-06-27	$12.18	$14.00	45.8%	13.8%	40.9%	73.7%	48.2%	7.0%	-1.8%	2.7M	1.03B	-12.7M	0.62	5.95	408,004	251,035	4,026,653	2,556,623
2016-06-28	$12.71	$14.00	39.0%	11.1%	45.0%	56.7%	39.0%	5.5%	-1.0%	13.2M	707.7M	-13.8M	0.24	1.61	510,049	124,581	4,216,011	2,617,092
2016-06-29	$13.18	$14.00	36.4%	10.4%	47.5%	50.2%	36.6%	4.9%	-0.9%	35.9M	248.7M	-15.1M	0.36	1.69	362,554	130,031	4,553,675	2,638,821
2016-06-30	$13.23	$14.00	33.2%	9.0%	47.4%	42.3%	31.7%	4.8%	-0.8%	41.6M	288.9M	-14.8M	0.54	61.62	187,135	101,300	4,514,167	2,673,082