BAC Options History — September 2016

In September 2016, BAC traded between $15.08 and $15.98. ATM implied volatility averaged 26.7%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 11.5% (HV 20d: 15.2%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2016-09-01: Highest Volume — 547,382 contracts
2016-09-13: Largest IV spike — 19.3% change
2016-09-13: Highest IV Rank — 34.4%
2016-09-29: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.63	$15.08	$15.98	$15.98	$15.71
Max Pain	$15.05	$15.00	$15.50	$15.50	$15.00
ATM IV	26.7%	23.0%	31.1%	27.8%	28.4%
Expected Move	7.7%	6.0%	9.3%	8.0%	8.5%
HV 20d	15.2%	13.1%	19.8%	19.8%	19.4%
HV 60d	27.0%	19.5%	32.5%	32.5%	20.5%
IV Rank	23.0%	13.3%	34.4%	25.9%	27.4%
IV Percentile	43.1%	16.7%	70.2%	49.2%	58.3%
Term Structure	-0.4%	-1.2%	1.0%	-0.7%	-1.1%
VWIV	27.5%	21.1%	32.4%	29.0%	29.1%
Skew 25d	4.1%	2.8%	5.9%	3.7%	5.9%
Skew 10d	7.6%	3.7%	12.9%	6.2%	10.5%
Call IV 25d	25.3%	22.3%	29.0%	26.9%	25.6%
Put IV 25d	29.3%	25.4%	34.0%	30.7%	31.5%
Bid-Ask Spread %	6.56	2.88	28.30	28.30	12.39
Gamma HHI	0.28	0.20	0.65	0.26	0.27
Net GEX	97.7M	50.9M	288.7M	91.9M	91.6M
Net DEX	-1.33B	-1.82B	-535.9M	-1.82B	-1.61B
Net VEX	-16.0M	-16.8M	-14.9M	-16.7M	-16.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.25	0.76	0.58	0.27
Total Volume	313,946.095	156,638	547,382	547,382	453,887
Total OI	6,796,626.476	6,405,129	7,071,189	6,794,483	6,962,778

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
2016-09-01	$15.98	$15.50	27.8%	8.0%	19.8%	25.9%	29.0%	3.7%	-0.7%	91.9M	-1.82B	-16.7M	0.58	28.30	346,835	200,547	4,017,380	2,777,103
2016-09-02	$15.96	$15.50	23.6%	6.0%	15.6%	14.9%	21.1%	3.6%	0.2%	288.7M	-1.77B	-16.8M	0.32	3.84	376,385	120,844	4,130,630	2,877,936
2016-09-06	$15.77	$15.00	24.1%	7.3%	16.4%	16.3%	25.7%	3.2%	0.3%	72.2M	-1.47B	-16.3M	0.61	3.45	160,028	96,944	3,951,892	2,757,336
2016-09-07	$15.72	$15.00	24.6%	7.2%	16.5%	17.4%	25.9%	2.8%	0.2%	76.9M	-1.41B	-16.4M	0.76	3.96	147,573	112,465	3,985,075	2,757,007
2016-09-08	$15.88	$15.00	23.0%	6.9%	13.1%	13.3%	24.6%	3.1%	-0.3%	108.9M	-1.68B	-16.1M	0.48	6.89	130,818	63,210	4,040,193	2,792,962
2016-09-09	$15.82	$15.00	26.4%	7.8%	13.3%	22.1%	28.7%	3.9%	-0.8%	81.5M	-1.60B	-16.5M	0.36	5.05	366,144	132,021	4,076,766	2,791,975
2016-09-12	$15.90	$15.00	26.1%	7.8%	13.2%	21.3%	28.4%	4.1%	1.0%	104.1M	-1.74B	-16.4M	0.44	8.08	255,987	111,665	4,060,898	2,791,991
2016-09-13	$15.72	$15.00	31.1%	8.6%	14.0%	34.4%	30.7%	4.1%	-1.2%	86.6M	-1.47B	-16.6M	0.55	5.33	158,648	87,529	4,104,932	2,822,816
2016-09-14	$15.63	$15.00	29.2%	8.2%	14.0%	29.5%	29.6%	4.9%	-0.4%	81.8M	-1.30B	-16.5M	0.41	3.80	175,427	71,846	4,125,493	2,841,643
2016-09-15	$15.69	$15.00	27.4%	7.8%	14.0%	24.8%	27.6%	3.9%	-0.4%	94.6M	-1.43B	-16.2M	0.39	5.85	120,355	47,179	4,191,175	2,856,927
2016-09-16	$15.53	$15.00	26.7%	7.7%	14.6%	23.0%	27.6%	3.2%	0.2%	67.1M	-1.24B	-15.9M	0.52	2.99	203,457	106,631	4,204,611	2,866,578
2016-09-19	$15.60	$15.00	27.3%	7.9%	14.6%	24.7%	27.3%	4.3%	-1.0%	86.6M	-1.24B	-15.5M	0.68	5.17	142,782	97,274	3,956,830	2,448,299
2016-09-20	$15.62	$15.00	27.1%	7.8%	14.6%	24.0%	27.7%	4.8%	-0.2%	89.8M	-1.26B	-15.4M	0.25	2.88	222,987	55,842	4,000,632	2,488,167
2016-09-21	$15.68	$15.00	26.2%	7.5%	14.1%	21.8%	26.1%	4.4%	-0.6%	111.6M	-1.40B	-15.9M	0.37	7.44	327,173	119,981	4,157,103	2,505,340
2016-09-22	$15.63	$15.00	25.2%	7.2%	14.2%	19.0%	24.6%	4.0%	-0.5%	111.4M	-1.29B	-15.8M	0.38	5.49	184,591	69,234	4,207,507	2,554,048
2016-09-23	$15.52	$15.00	24.3%	7.0%	14.1%	16.6%	25.4%	3.2%	-0.4%	136.4M	-1.12B	-15.5M	0.46	3.88	109,091	49,859	4,221,119	2,576,769
2016-09-26	$15.08	$15.00	27.9%	8.2%	16.3%	26.2%	28.6%	4.0%	0.2%	50.9M	-535.9M	-14.9M	0.68	5.70	211,310	142,672	3,979,047	2,515,583
2016-09-27	$15.30	$15.00	27.1%	8.0%	17.2%	24.0%	28.4%	4.7%	-0.4%	63.6M	-867.4M	-15.6M	0.34	6.63	250,439	85,285	4,089,770	2,578,747
2016-09-28	$15.34	$15.00	26.2%	7.8%	14.9%	21.8%	28.1%	4.7%	-1.1%	82.9M	-940.2M	-15.5M	0.42	3.39	110,644	45,994	4,202,337	2,601,564
2016-09-29	$15.21	$15.00	30.9%	9.3%	15.0%	34.1%	32.4%	5.0%	-0.8%	72.7M	-796.0M	-15.7M	0.70	7.22	188,535	132,750	4,243,290	2,616,907
2016-09-30	$15.71	$15.00	28.4%	8.5%	19.4%	27.4%	29.1%	5.9%	-1.1%	91.6M	-1.61B	-16.2M	0.27	12.39	357,056	96,831	4,297,223	2,665,555