BAC Options History — August 2016

In August 2016, BAC traded between $14.16 and $16.20. ATM implied volatility averaged 22.9%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.9% (HV 20d: 22.0%). Max pain ranged from $14.00 to $15.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.60.

Notable Days

2016-08-30: Highest Volume — 1,021,182 contracts
2016-08-24: Largest IV spike — 10.8% change
2016-08-31: Highest IV Rank — 25.1%
2016-08-31: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.15	$14.16	$16.20	$14.30	$16.11
Max Pain	$14.07	$14.00	$15.50	$14.00	$15.50
ATM IV	22.9%	20.2%	27.5%	22.6%	27.5%
Expected Move	6.5%	5.7%	7.8%	6.1%	7.8%
HV 20d	22.0%	19.2%	25.5%	23.7%	19.2%
HV 60d	33.4%	32.3%	34.6%	33.5%	32.4%
IV Rank	13.0%	6.2%	25.1%	12.4%	25.1%
IV Percentile	15.8%	1.6%	46.0%	15.9%	46.0%
Term Structure	0.2%	-1.0%	1.7%	-0.7%	-1.0%
VWIV	23.3%	20.2%	28.4%	21.7%	28.4%
Skew 25d	3.7%	2.8%	4.5%	3.1%	4.3%
Skew 10d	7.1%	3.8%	17.4%	4.3%	10.8%
Call IV 25d	21.7%	19.5%	25.6%	22.0%	25.6%
Put IV 25d	25.4%	23.0%	29.9%	25.1%	29.9%
Bid-Ask Spread %	5.52	3.21	25.03	6.53	25.03
Gamma HHI	0.27	0.20	0.46	0.22	0.26
Net GEX	87.5M	57.9M	116.9M	68.8M	94.0M
Net DEX	-1.49B	-2.71B	-450.2M	-636.4M	-1.95B
Net VEX	-15.9M	-17.1M	-15.3M	-15.3M	-17.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.15	1.00	0.92	0.60
Total Volume	315,699.739	141,633	1,021,182	234,630	383,168
Total OI	6,940,756.783	6,393,516	7,358,109	6,913,962	6,675,745

Daily Data (23 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
2016-08-01	$14.30	$14.00	22.6%	6.1%	23.7%	12.4%	21.7%	3.1%	-0.7%	68.8M	-636.4M	-15.3M	0.92	6.53	122,321	112,309	4,291,711	2,622,251
2016-08-02	$14.16	$14.00	24.5%	6.7%	21.0%	17.3%	23.7%	3.8%	-0.6%	57.9M	-450.2M	-15.3M	0.76	4.26	132,080	101,032	4,320,154	2,674,517
2016-08-03	$14.47	$14.00	23.5%	6.4%	21.8%	14.7%	22.3%	4.4%	-0.5%	87.4M	-844.5M	-15.9M	0.74	4.33	87,629	65,037	4,362,400	2,697,272
2016-08-04	$14.49	$14.00	23.6%	7.1%	21.8%	14.9%	23.9%	3.5%	0.0%	87.3M	-846.1M	-15.8M	0.44	3.24	169,711	75,200	4,362,960	2,709,186
2016-08-05	$15.05	$14.00	21.7%	6.4%	24.5%	9.9%	23.2%	3.1%	-0.5%	116.9M	-1.71B	-16.0M	0.38	5.24	447,997	172,093	4,378,516	2,741,552
2016-08-08	$15.11	$14.00	22.4%	6.8%	24.4%	11.7%	23.7%	4.2%	1.5%	79.8M	-1.57B	-15.9M	0.76	3.41	125,146	94,512	4,227,933	2,707,453
2016-08-09	$15.18	$14.00	21.8%	6.4%	23.4%	10.2%	22.6%	3.4%	0.6%	81.3M	-1.64B	-16.0M	0.93	3.26	100,041	93,424	4,244,818	2,760,539
2016-08-10	$14.79	$14.00	22.5%	6.7%	25.5%	12.0%	23.9%	2.8%	1.0%	70.3M	-1.09B	-15.7M	0.75	4.01	113,772	85,615	4,234,594	2,789,710
2016-08-11	$14.89	$14.00	21.9%	6.4%	25.2%	10.5%	23.5%	3.5%	0.7%	77.0M	-1.21B	-15.7M	1.00	4.29	100,933	100,886	4,254,676	2,812,705
2016-08-12	$14.89	$14.00	21.2%	6.2%	25.1%	8.8%	21.7%	3.9%	0.4%	74.4M	-1.20B	-15.6M	0.65	3.75	105,270	67,914	4,273,596	2,846,770
2016-08-15	$15.02	$14.00	21.2%	6.1%	21.3%	8.8%	21.9%	4.0%	1.0%	82.5M	-1.36B	-15.6M	0.93	3.73	73,319	68,314	4,203,571	2,807,737
2016-08-16	$15.17	$14.00	22.4%	6.4%	21.4%	11.8%	22.8%	3.7%	0.7%	83.3M	-1.57B	-15.4M	0.56	3.33	124,323	69,605	4,223,907	2,820,445
2016-08-17	$15.15	$14.00	21.9%	6.3%	21.4%	10.6%	22.1%	4.2%	1.7%	97.3M	-1.56B	-15.5M	0.33	4.28	297,798	99,548	4,271,798	2,824,634
2016-08-18	$15.16	$14.00	20.2%	5.7%	21.0%	6.2%	20.2%	3.3%	1.6%	98.8M	-1.60B	-15.7M	0.42	3.34	182,050	76,042	4,400,537	2,891,420
2016-08-19	$15.22	$14.00	21.1%	5.9%	21.0%	8.4%	21.0%	3.6%	1.3%	77.9M	-1.70B	-15.8M	0.51	3.71	201,447	103,454	4,422,806	2,935,303
2016-08-22	$15.19	$14.00	21.6%	5.8%	21.0%	9.8%	22.3%	3.4%	-0.0%	82.5M	-1.25B	-15.5M	0.87	3.21	84,608	73,798	3,962,156	2,431,360
2016-08-23	$15.37	$14.00	21.7%	5.9%	21.0%	10.0%	22.9%	3.2%	-0.1%	87.7M	-1.51B	-15.8M	0.49	3.36	165,446	80,443	3,999,745	2,466,288
2016-08-24	$15.40	$14.00	24.1%	6.8%	21.0%	16.1%	24.4%	4.0%	-0.4%	94.1M	-1.60B	-16.4M	0.43	7.08	256,924	110,969	4,098,606	2,498,490
2016-08-25	$15.54	$14.00	25.3%	6.9%	21.1%	19.4%	25.3%	4.4%	-0.3%	106.0M	-1.82B	-16.6M	0.44	6.93	235,120	102,615	4,205,085	2,560,930
2016-08-26	$15.77	$14.00	24.7%	6.7%	20.7%	17.8%	24.8%	4.5%	-0.8%	95.0M	-2.18B	-16.6M	0.44	8.57	385,217	169,589	4,254,950	2,611,910
2016-08-29	$15.85	$14.00	23.4%	6.5%	19.6%	14.4%	25.1%	2.8%	-0.3%	106.5M	-2.19B	-16.4M	0.34	6.33	314,663	108,530	4,231,060	2,607,679
2016-08-30	$16.20	$14.00	25.3%	7.0%	19.6%	19.4%	23.4%	4.3%	-0.5%	105.7M	-2.71B	-16.5M	0.15	5.63	888,673	132,509	4,258,236	2,659,695
2016-08-31	$16.11	$15.50	27.5%	7.8%	19.2%	25.1%	28.4%	4.3%	-1.0%	94.0M	-1.95B	-17.1M	0.60	25.03	239,985	143,183	3,947,176	2,728,569