BAC Options History — July 2016

In July 2016, BAC traded between $12.75 and $14.68. ATM implied volatility averaged 26.3%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 16.2% (HV 20d: 42.5%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2016-07-18: Highest Volume — 577,043 contracts
2016-07-18: Largest IV drop — 14.7% change
2016-07-05: Highest IV Rank — 47.8%
2016-07-07: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.83	$12.75	$14.68	$13.12	$14.50
Max Pain	$14.00	$14.00	$14.00	$14.00	$14.00
ATM IV	26.3%	21.1%	35.4%	32.1%	21.6%
Expected Move	7.3%	6.0%	9.6%	8.6%	6.0%
HV 20d	42.5%	22.3%	49.0%	46.2%	23.2%
HV 60d	34.3%	33.3%	35.3%	34.8%	33.4%
IV Rank	23.9%	9.8%	47.8%	39.5%	9.8%
IV Percentile	38.3%	11.1%	86.5%	72.2%	11.9%
Term Structure	-0.1%	-1.7%	1.3%	-0.4%	1.3%
VWIV	26.3%	21.3%	34.5%	29.8%	21.3%
Skew 25d	3.6%	1.8%	4.8%	4.0%	1.8%
Skew 10d	7.6%	2.8%	11.0%	7.3%	4.4%
Call IV 25d	25.2%	19.8%	33.2%	30.5%	21.0%
Put IV 25d	28.8%	22.9%	38.1%	34.5%	22.9%
Bid-Ask Spread %	3.89	2.24	8.79	3.40	5.95
Gamma HHI	0.18	0.13	0.23	0.14	0.23
Net GEX	52.1M	15.3M	87.4M	25.8M	77.0M
Net DEX	-315.5M	-1.25B	720.2M	409.7M	-990.6M
Net VEX	-15.2M	-16.3M	-13.7M	-14.4M	-16.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.24	0.93	0.51	0.51
Total Volume	302,932.85	166,748	577,043	319,948	166,748
Total OI	7,087,061.65	6,669,240	7,478,248	7,216,487	7,072,440

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
2016-07-01	$13.12	$14.00	32.1%	8.6%	46.2%	39.5%	29.8%	4.0%	-0.4%	25.8M	409.7M	-14.4M	0.51	3.40	212,308	107,640	4,540,314	2,676,173
2016-07-05	$12.75	$14.00	35.4%	9.5%	46.7%	47.8%	34.5%	4.5%	-0.3%	15.3M	720.2M	-13.7M	0.61	4.12	192,010	116,223	4,377,521	2,612,866
2016-07-06	$12.88	$14.00	34.4%	9.5%	47.0%	45.4%	34.0%	4.3%	-1.0%	18.8M	619.8M	-14.1M	0.59	8.79	216,624	128,507	4,445,784	2,642,914
2016-07-07	$12.98	$14.00	34.8%	9.6%	47.1%	46.2%	33.8%	4.8%	-0.3%	24.6M	518.3M	-14.2M	0.38	3.00	257,061	98,835	4,489,867	2,702,809
2016-07-08	$13.18	$14.00	31.2%	8.7%	47.4%	37.4%	30.4%	4.3%	-0.5%	25.4M	339.7M	-14.1M	0.57	2.24	173,426	98,715	4,613,494	2,739,355
2016-07-11	$13.22	$14.00	29.5%	8.2%	46.8%	33.1%	28.7%	4.5%	-0.8%	27.2M	401.1M	-13.9M	0.52	2.71	199,036	104,296	4,450,864	2,697,637
2016-07-12	$13.56	$14.00	28.7%	7.7%	47.3%	31.1%	28.5%	4.6%	-1.7%	43.6M	15.9M	-14.8M	0.43	2.37	253,700	109,521	4,528,107	2,737,401
2016-07-13	$13.44	$14.00	28.0%	8.1%	46.6%	29.3%	27.8%	4.0%	0.4%	40.1M	130.7M	-14.5M	0.61	2.73	156,396	95,430	4,585,077	2,761,989
2016-07-14	$13.66	$14.00	27.6%	7.5%	46.9%	28.3%	27.6%	2.2%	-1.7%	56.2M	-166.0M	-15.0M	0.52	3.88	244,886	128,255	4,618,662	2,804,933
2016-07-15	$13.61	$14.00	26.1%	7.3%	47.0%	24.6%	27.0%	2.7%	-1.2%	37.1M	-75.6M	-14.5M	0.48	2.69	239,484	116,045	4,651,037	2,827,211
2016-07-18	$14.17	$14.00	22.3%	6.3%	49.0%	14.7%	23.1%	3.4%	0.6%	63.1M	-573.7M	-15.4M	0.49	4.56	386,251	190,792	4,121,649	2,547,591
2016-07-19	$14.26	$14.00	22.3%	6.4%	48.8%	14.7%	23.8%	3.7%	-0.0%	64.4M	-717.7M	-15.5M	0.56	3.53	210,534	118,076	4,209,008	2,581,988
2016-07-20	$14.39	$14.00	21.6%	6.2%	48.9%	12.3%	22.2%	3.3%	0.0%	69.5M	-912.6M	-15.9M	0.24	2.78	315,793	77,197	4,242,007	2,599,247
2016-07-21	$14.28	$14.00	21.9%	6.3%	49.0%	13.0%	23.8%	2.6%	0.0%	69.0M	-802.0M	-16.0M	0.93	3.27	105,804	98,492	4,338,913	2,635,815
2016-07-22	$14.37	$14.00	21.1%	6.0%	48.0%	10.5%	21.8%	2.2%	0.4%	59.6M	-910.4M	-16.2M	0.36	3.43	185,844	67,246	4,355,883	2,684,508
2016-07-25	$14.37	$14.00	21.8%	6.2%	39.0%	10.4%	23.0%	4.1%	1.2%	69.1M	-833.5M	-16.0M	0.41	2.95	153,491	63,615	4,276,536	2,592,505
2016-07-26	$14.54	$14.00	21.7%	6.1%	27.9%	9.9%	21.4%	3.4%	0.6%	80.8M	-1.03B	-16.1M	0.58	4.93	131,492	75,672	4,328,259	2,608,717
2016-07-27	$14.62	$14.00	21.9%	6.3%	24.9%	10.4%	22.2%	3.2%	1.0%	87.1M	-1.20B	-16.3M	0.46	5.45	202,061	93,318	4,370,404	2,624,906
2016-07-28	$14.68	$14.00	22.0%	6.2%	22.3%	10.7%	21.8%	4.2%	1.2%	87.4M	-1.25B	-16.3M	0.62	5.02	103,548	64,285	4,391,229	2,655,613
2016-07-29	$14.50	$14.00	21.6%	6.0%	23.2%	9.8%	21.3%	1.8%	1.3%	77.0M	-990.6M	-16.0M	0.51	5.95	110,157	56,591	4,404,731	2,667,709