BAC Options History — October 2016

In October 2016, BAC traded between $15.67 and $16.95. ATM implied volatility averaged 25.0%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.8% (HV 20d: 19.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2016-10-20: Highest Volume — 474,200 contracts
2016-10-19: Largest IV drop — 13.5% change
2016-10-13: Highest IV Rank — 29.4%
2016-10-03: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.33	$15.67	$16.95	$15.67	$16.58
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	25.0%	20.4%	29.2%	29.0%	23.7%
Expected Move	7.3%	5.9%	8.9%	8.9%	7.0%
HV 20d	19.3%	14.8%	21.4%	19.4%	15.0%
HV 60d	18.9%	16.7%	20.5%	20.4%	16.7%
IV Rank	18.1%	6.5%	29.4%	28.9%	9.6%
IV Percentile	32.9%	2.4%	63.5%	61.9%	19.0%
Term Structure	0.3%	-0.9%	1.5%	-0.2%	-0.2%
VWIV	26.2%	22.9%	31.6%	31.6%	24.8%
Skew 25d	4.3%	2.9%	5.7%	5.7%	4.0%
Skew 10d	8.8%	5.7%	11.2%	9.9%	9.1%
Call IV 25d	23.6%	19.1%	28.0%	26.0%	22.0%
Put IV 25d	27.9%	23.0%	32.2%	31.8%	25.9%
Bid-Ask Spread %	7.02	3.64	33.28	4.78	9.69
Gamma HHI	0.26	0.22	0.35	0.30	0.28
Net GEX	104.2M	78.2M	131.8M	102.8M	99.6M
Net DEX	-2.28B	-2.97B	-1.47B	-1.47B	-2.29B
Net VEX	-15.4M	-16.0M	-14.7M	-15.9M	-15.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.24	1.47	0.53	1.37
Total Volume	307,016.476	137,287	474,200	171,109	150,298
Total OI	7,084,776.762	6,781,921	7,626,514	6,784,531	7,101,046

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
2016-10-03	$15.67	$15.00	29.0%	8.9%	19.4%	28.9%	31.6%	5.7%	-0.2%	102.8M	-1.47B	-15.9M	0.53	4.78	111,895	59,214	4,204,475	2,580,056
2016-10-04	$15.84	$15.00	28.1%	8.6%	19.3%	26.6%	30.4%	4.7%	-0.7%	113.3M	-1.77B	-16.0M	0.26	3.69	364,091	93,181	4,260,431	2,606,772
2016-10-05	$16.15	$15.00	27.4%	8.4%	20.4%	24.7%	29.6%	4.0%	0.6%	131.8M	-2.37B	-15.8M	0.53	33.28	278,136	146,598	4,355,234	2,629,758
2016-10-06	$16.20	$15.00	27.2%	7.9%	20.2%	24.4%	27.5%	4.7%	0.9%	122.4M	-2.38B	-16.0M	0.83	8.14	181,798	150,569	4,380,084	2,715,460
2016-10-07	$16.13	$15.00	26.5%	7.8%	20.2%	22.6%	27.3%	4.0%	0.8%	89.5M	-2.40B	-15.6M	0.75	6.21	212,958	160,236	4,403,895	2,781,701
2016-10-10	$16.29	$15.00	25.7%	7.8%	20.4%	20.3%	26.0%	4.2%	1.5%	91.1M	-2.19B	-15.4M	0.53	4.69	231,738	121,750	4,088,917	2,693,004
2016-10-11	$16.11	$15.00	28.4%	8.1%	20.4%	27.4%	28.2%	4.9%	0.1%	86.2M	-1.89B	-15.7M	0.52	3.64	144,670	74,980	4,156,798	2,748,622
2016-10-12	$16.03	$15.00	28.7%	8.0%	20.3%	28.3%	28.4%	4.5%	-0.1%	85.4M	-1.80B	-15.6M	0.28	4.34	110,837	30,995	4,189,539	2,770,463
2016-10-13	$15.88	$15.00	29.2%	8.2%	20.7%	29.4%	28.6%	4.2%	-0.9%	78.2M	-1.49B	-15.6M	0.63	5.60	247,287	155,373	4,225,785	2,779,570
2016-10-14	$16.06	$15.00	28.8%	8.3%	20.6%	28.4%	28.4%	3.8%	0.7%	83.2M	-1.91B	-15.7M	0.42	4.39	274,385	115,370	4,343,160	2,837,367
2016-10-17	$16.08	$15.00	26.4%	7.5%	20.5%	22.3%	26.1%	4.6%	-0.2%	95.9M	-1.83B	-15.1M	0.38	5.06	275,333	103,554	4,286,939	2,846,272
2016-10-18	$16.24	$15.00	24.5%	7.0%	20.8%	17.4%	23.9%	4.7%	-0.9%	110.6M	-2.11B	-15.1M	0.42	4.66	112,191	47,120	4,329,773	2,870,040
2016-10-19	$16.52	$15.00	21.2%	6.1%	21.4%	8.8%	24.4%	4.7%	0.6%	127.5M	-2.61B	-14.7M	0.54	4.39	264,887	143,625	4,320,572	2,896,608
2016-10-20	$16.55	$15.00	22.1%	6.3%	21.3%	10.9%	24.2%	4.4%	0.8%	121.6M	-2.67B	-15.0M	0.24	5.86	381,976	92,224	4,386,916	2,966,543
2016-10-21	$16.65	$15.00	21.0%	5.9%	21.0%	8.3%	22.9%	4.3%	1.0%	106.0M	-2.97B	-15.4M	0.42	5.36	295,841	125,740	4,610,171	3,016,343
2016-10-24	$16.77	$15.00	20.4%	6.2%	17.2%	6.5%	23.2%	4.0%	1.0%	113.9M	-2.73B	-15.1M	0.69	7.02	124,734	85,950	4,304,187	2,685,266
2016-10-25	$16.72	$15.00	21.6%	6.3%	17.1%	9.6%	23.7%	4.0%	0.4%	113.3M	-2.62B	-15.2M	0.51	9.28	91,029	46,258	4,325,802	2,714,735
2016-10-26	$16.85	$15.00	20.7%	6.1%	17.2%	7.3%	23.4%	4.2%	0.4%	111.5M	-2.83B	-14.9M	1.47	6.14	90,607	133,133	4,326,797	2,724,971
2016-10-27	$16.95	$15.00	21.2%	6.3%	16.4%	8.6%	22.9%	2.9%	0.6%	109.3M	-2.96B	-15.2M	0.35	4.88	260,549	90,785	4,345,140	2,771,493
2016-10-28	$16.68	$15.00	23.9%	7.3%	14.8%	10.2%	25.3%	4.2%	0.6%	96.0M	-2.50B	-15.4M	0.66	6.31	159,731	105,720	4,398,746	2,800,861
2016-10-31	$16.58	$15.00	23.7%	7.0%	15.0%	9.6%	24.8%	4.0%	-0.2%	99.6M	-2.29B	-15.1M	1.37	9.69	63,496	86,802	4,321,521	2,779,525