BAC Options History — March 2017

In March 2017, BAC traded between $23.00 and $25.56. ATM implied volatility averaged 24.4%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.0% (HV 20d: 24.4%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.44.

Notable Days

2017-03-21: Highest Volume — 1,178,733 contracts
2017-03-21: Largest IV spike — 31.1% change
2017-03-24: Highest IV Rank — 36.2%
2017-03-24: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.47	$23.00	$25.56	$25.56	$23.69
Max Pain	$23.09	$23.00	$24.00	$23.00	$23.00
ATM IV	24.4%	20.6%	29.5%	23.5%	25.7%
Expected Move	7.2%	6.1%	8.5%	6.8%	7.3%
HV 20d	24.4%	18.1%	30.1%	24.1%	27.2%
HV 60d	23.9%	21.6%	26.0%	23.7%	25.8%
IV Rank	16.3%	1.3%	36.2%	12.7%	21.5%
IV Percentile	32.6%	0.8%	78.6%	21.8%	48.0%
Term Structure	0.4%	-0.5%	2.1%	0.0%	1.6%
VWIV	25.2%	21.3%	30.1%	24.2%	25.7%
Skew 25d	2.0%	1.0%	3.2%	1.3%	2.8%
Skew 10d	4.0%	1.8%	7.4%	2.8%	6.1%
Call IV 25d	23.8%	19.5%	28.8%	23.3%	24.6%
Put IV 25d	25.9%	21.4%	31.6%	24.6%	27.4%
Bid-Ask Spread %	4.51	2.33	7.95	5.25	2.68
Gamma HHI	0.19	0.11	0.49	0.25	0.15
Net GEX	126.0M	39.2M	222.0M	145.8M	153.8M
Net DEX	-3.38B	-4.75B	-1.53B	-4.75B	-2.76B
Net VEX	-20.3M	-21.6M	-19.0M	-19.0M	-21.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.25	0.69	0.33	0.42
Total Volume	499,724.913	228,525	1,178,733	886,092	316,479
Total OI	5,770,176.435	5,177,298	6,484,344	5,193,651	6,484,344

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
2017-03-01	$25.56	$23.00	23.5%	6.8%	24.1%	12.7%	24.2%	1.3%	0.0%	145.8M	-4.75B	-19.0M	0.33	5.25	666,912	219,180	3,140,553	2,053,098
2017-03-02	$25.25	$24.00	23.8%	6.7%	24.9%	13.8%	23.3%	1.5%	0.3%	133.3M	-4.25B	-19.6M	0.37	5.19	426,612	159,635	3,239,517	2,114,545
2017-03-03	$25.45	$24.00	23.6%	6.6%	24.3%	13.0%	23.6%	1.0%	0.6%	126.8M	-4.50B	-19.3M	0.31	6.67	384,331	120,455	3,354,106	2,179,867
2017-03-06	$25.30	$23.00	23.4%	7.4%	23.2%	12.6%	25.9%	1.8%	0.2%	141.6M	-4.26B	-19.8M	0.51	3.56	241,449	122,251	3,247,170	2,074,886
2017-03-07	$25.20	$23.00	23.7%	7.3%	22.8%	13.6%	25.6%	1.8%	0.2%	142.7M	-4.15B	-19.9M	0.41	2.48	162,102	66,423	3,318,843	2,129,576
2017-03-08	$25.26	$23.00	24.1%	7.4%	22.3%	15.0%	25.6%	1.7%	-0.5%	147.3M	-4.22B	-19.9M	0.25	3.84	475,395	121,098	3,340,327	2,153,284
2017-03-09	$25.36	$23.00	24.4%	7.4%	21.7%	16.3%	25.7%	1.5%	0.1%	160.0M	-4.37B	-20.7M	0.31	5.82	293,002	90,215	3,519,285	2,191,013
2017-03-10	$25.33	$23.00	22.4%	6.9%	21.1%	8.4%	23.7%	1.8%	-0.3%	148.7M	-4.32B	-20.2M	0.33	3.58	420,545	138,767	3,584,629	2,217,152
2017-03-13	$25.31	$23.00	21.8%	6.8%	21.1%	6.2%	24.1%	2.3%	2.1%	152.4M	-4.30B	-20.2M	0.67	2.33	160,972	108,530	3,499,414	2,165,822
2017-03-14	$25.28	$23.00	22.4%	6.9%	20.9%	8.3%	24.6%	1.6%	1.6%	156.3M	-4.32B	-20.2M	0.53	2.51	214,326	113,600	3,523,360	2,207,889
2017-03-15	$25.15	$23.00	22.0%	6.6%	19.4%	6.9%	23.1%	1.5%	1.1%	167.2M	-4.10B	-20.4M	0.43	5.85	351,927	150,135	3,592,063	2,257,711
2017-03-16	$25.22	$23.00	21.1%	6.3%	18.1%	3.3%	22.1%	1.8%	1.6%	180.2M	-4.20B	-19.9M	0.44	2.57	228,974	100,107	3,626,307	2,300,280
2017-03-17	$24.90	$23.00	20.6%	6.1%	18.7%	1.3%	21.5%	1.9%	1.8%	222.0M	-3.55B	-19.7M	0.45	4.26	318,069	143,443	3,666,690	2,328,728
2017-03-20	$24.58	$23.00	20.9%	6.1%	19.3%	2.6%	21.3%	1.2%	0.6%	73.0M	-3.01B	-19.1M	0.37	3.33	259,938	95,172	3,122,571	2,054,727
2017-03-21	$23.00	$23.00	27.4%	7.9%	30.0%	28.2%	27.1%	2.4%	-0.2%	39.2M	-1.53B	-19.4M	0.50	7.95	785,634	393,099	3,211,015	2,095,925
2017-03-22	$23.02	$23.00	27.1%	7.8%	30.1%	27.0%	27.3%	3.2%	0.4%	52.7M	-1.64B	-19.8M	0.34	4.91	700,367	238,003	3,581,480	2,246,972
2017-03-23	$23.06	$23.00	27.5%	7.9%	30.1%	28.6%	27.5%	2.6%	0.1%	60.6M	-1.78B	-20.7M	0.42	4.07	357,244	148,912	3,686,657	2,330,375
2017-03-24	$23.08	$23.00	29.5%	8.5%	29.7%	36.2%	29.5%	2.9%	-0.3%	61.0M	-1.85B	-21.2M	0.62	5.90	322,087	198,669	3,804,234	2,380,357
2017-03-27	$23.03	$23.00	28.8%	8.5%	28.8%	33.6%	30.1%	2.4%	0.0%	66.6M	-1.85B	-20.6M	0.57	7.82	320,538	181,725	3,661,838	2,325,411
2017-03-28	$23.51	$23.00	26.6%	7.8%	30.0%	24.8%	27.3%	2.6%	-0.3%	111.0M	-2.52B	-21.6M	0.44	4.13	284,939	126,048	3,777,397	2,376,306
2017-03-29	$23.36	$23.00	24.8%	7.3%	26.1%	18.0%	25.7%	2.9%	-0.3%	107.7M	-2.29B	-21.5M	0.69	4.08	149,001	102,727	3,838,421	2,392,449
2017-03-30	$23.87	$23.00	25.9%	7.4%	27.5%	22.2%	26.1%	2.5%	-0.4%	147.0M	-3.10B	-21.6M	0.35	4.89	381,138	133,498	3,884,400	2,433,064
2017-03-31	$23.69	$23.00	25.7%	7.3%	27.2%	21.5%	25.7%	2.8%	1.6%	153.8M	-2.76B	-21.6M	0.42	2.68	223,454	93,025	4,003,267	2,481,077