BAC Options History — February 2017

In February 2017, BAC traded between $22.67 and $24.78. ATM implied volatility averaged 23.2%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.9% (HV 20d: 24.1%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.42.

Notable Days

2017-02-15: Highest Volume — 861,583 contracts
2017-02-15: Largest IV spike — 7.8% change
2017-02-28: Highest IV Rank — 16.3%
2017-02-02: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.82	$22.67	$24.78	$22.94	$24.63
Max Pain	$22.37	$20.00	$23.00	$20.00	$23.00
ATM IV	23.2%	22.0%	24.8%	24.6%	24.4%
Expected Move	6.7%	6.3%	7.2%	6.8%	7.0%
HV 20d	24.1%	21.6%	27.1%	25.4%	21.6%
HV 60d	25.5%	22.7%	28.8%	28.5%	22.7%
IV Rank	10.1%	5.0%	16.3%	12.2%	16.3%
IV Percentile	17.5%	9.9%	28.6%	24.2%	28.6%
Term Structure	0.3%	-0.3%	1.4%	0.1%	0.3%
VWIV	23.9%	22.7%	25.8%	24.1%	24.7%
Skew 25d	1.8%	1.1%	3.1%	3.1%	1.6%
Skew 10d	3.4%	2.3%	5.1%	5.0%	3.3%
Call IV 25d	22.8%	21.4%	24.4%	23.5%	24.3%
Put IV 25d	24.6%	22.9%	26.6%	26.6%	25.9%
Bid-Ask Spread %	4.86	2.35	10.12	10.12	4.37
Gamma HHI	0.20	0.14	0.28	0.15	0.25
Net GEX	117.0M	69.2M	193.3M	93.0M	128.6M
Net DEX	-4.07B	-5.53B	-3.04B	-3.44B	-4.11B
Net VEX	-18.4M	-19.4M	-17.5M	-18.6M	-19.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.26	0.76	0.34	0.31
Total Volume	412,802.842	222,343	861,583	431,540	443,504
Total OI	5,704,357.789	5,014,489	6,276,011	5,699,870	5,305,838

Daily Data (19 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
2017-02-01	$22.94	$20.00	24.6%	6.8%	25.4%	12.2%	24.1%	3.1%	0.1%	93.0M	-3.44B	-18.6M	0.34	10.12	321,828	109,712	3,590,473	2,109,397
2017-02-02	$22.70	$22.00	24.8%	7.2%	24.8%	12.5%	25.8%	2.5%	-0.1%	80.5M	-3.11B	-18.6M	0.26	2.99	191,963	50,026	3,665,000	2,144,934
2017-02-03	$23.32	$22.00	23.4%	7.1%	26.2%	8.7%	24.7%	1.9%	0.5%	103.3M	-4.08B	-18.6M	0.30	4.40	483,852	145,670	3,770,846	2,159,903
2017-02-06	$23.09	$22.00	23.2%	6.9%	26.4%	8.3%	24.3%	1.8%	1.1%	101.3M	-3.57B	-18.2M	0.48	3.82	154,014	73,963	3,602,080	2,119,258
2017-02-07	$22.88	$22.00	22.5%	6.8%	26.6%	6.2%	24.2%	2.1%	1.4%	84.7M	-3.29B	-18.4M	0.36	3.32	163,707	58,636	3,663,166	2,148,726
2017-02-08	$22.67	$22.00	23.0%	6.7%	25.7%	7.5%	24.3%	2.3%	0.4%	69.2M	-3.04B	-18.2M	0.76	8.19	217,685	166,047	3,716,697	2,161,850
2017-02-09	$23.13	$22.00	22.5%	6.7%	26.8%	6.3%	23.6%	1.7%	0.8%	129.1M	-3.68B	-18.8M	0.45	3.70	253,768	114,501	3,801,237	2,239,073
2017-02-10	$23.14	$22.00	22.0%	6.5%	26.7%	5.0%	22.7%	1.5%	0.7%	99.6M	-3.70B	-18.8M	0.44	4.08	283,779	124,016	3,830,643	2,273,897
2017-02-13	$23.46	$22.00	22.8%	6.6%	27.1%	8.2%	23.3%	2.4%	-0.3%	130.6M	-3.98B	-18.6M	0.56	3.19	207,155	116,107	3,609,264	2,237,241
2017-02-14	$24.07	$22.00	22.4%	6.4%	22.5%	8.4%	22.8%	1.9%	0.5%	153.1M	-4.87B	-17.8M	0.38	5.77	524,840	198,453	3,641,837	2,288,473
2017-02-15	$24.59	$23.00	24.1%	6.9%	22.1%	15.3%	24.7%	1.4%	-0.1%	147.0M	-5.53B	-18.4M	0.29	9.44	669,490	192,093	3,711,965	2,324,439
2017-02-16	$24.50	$23.00	23.2%	6.7%	22.1%	11.7%	24.0%	1.1%	-0.2%	132.7M	-5.39B	-18.0M	0.27	2.98	393,045	105,822	3,785,974	2,391,965
2017-02-17	$24.48	$23.00	22.5%	6.5%	22.2%	8.8%	22.9%	1.1%	-0.0%	193.3M	-5.34B	-18.0M	0.56	2.74	285,489	159,919	3,845,887	2,430,124
2017-02-21	$24.78	$23.00	22.1%	6.3%	22.3%	7.4%	22.9%	1.4%	0.1%	133.4M	-4.30B	-17.5M	0.67	3.05	153,222	101,962	3,088,802	1,925,687
2017-02-22	$24.78	$23.00	23.1%	6.7%	21.8%	11.4%	24.1%	1.6%	0.6%	125.2M	-4.29B	-18.7M	0.38	7.75	290,362	109,794	3,115,958	1,960,074
2017-02-23	$24.57	$23.00	23.1%	6.6%	21.6%	11.1%	23.4%	1.5%	0.2%	119.1M	-4.05B	-18.6M	0.39	2.73	206,406	81,227	3,226,624	2,003,318
2017-02-24	$24.17	$23.00	23.3%	6.8%	22.6%	11.9%	23.6%	1.8%	0.6%	80.0M	-3.55B	-18.7M	0.41	7.30	270,667	112,048	3,286,565	2,032,022
2017-02-27	$24.59	$23.00	23.8%	6.9%	23.1%	14.0%	24.3%	1.6%	0.0%	118.5M	-4.03B	-18.4M	0.42	2.35	217,892	90,590	3,204,228	1,969,333
2017-02-28	$24.63	$23.00	24.4%	7.0%	21.6%	16.3%	24.7%	1.6%	0.3%	128.6M	-4.11B	-19.4M	0.31	4.37	338,865	104,639	3,291,238	2,014,600