BAC Options History — May 2017

In May 2017, BAC traded between $22.28 and $24.15. ATM implied volatility averaged 21.3%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.7% (HV 20d: 24.0%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.57.

Notable Days

2017-05-17: Highest Volume — 915,505 contracts
2017-05-17: Largest IV spike — 36.3% change
2017-05-17: Highest IV Rank — 26.1%
2017-05-17: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.48	$22.28	$24.15	$23.66	$22.28
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	21.3%	19.1%	26.1%	21.3%	23.9%
Expected Move	6.2%	5.5%	7.5%	6.1%	6.9%
HV 20d	24.0%	19.0%	29.7%	21.4%	27.5%
HV 60d	24.5%	22.8%	26.1%	24.8%	25.2%
IV Rank	7.0%	0.0%	26.1%	4.0%	17.8%
IV Percentile	11.0%	0.0%	54.4%	5.2%	39.3%
Term Structure	0.5%	-0.6%	1.2%	0.2%	-0.6%
VWIV	21.9%	19.8%	26.2%	20.9%	23.9%
Skew 25d	2.5%	1.8%	4.0%	2.5%	3.0%
Skew 10d	4.8%	3.8%	7.8%	5.3%	4.6%
Call IV 25d	20.5%	18.3%	25.2%	20.0%	22.8%
Put IV 25d	23.0%	20.5%	29.2%	22.5%	25.8%
Bid-Ask Spread %	2.68	-3.12	14.45	14.45	4.91
Gamma HHI	0.16	0.12	0.23	0.16	0.12
Net GEX	101.2M	13.3M	169.5M	106.7M	18.3M
Net DEX	-2.26B	-3.24B	-570.8M	-2.54B	-570.8M
Net VEX	-21.2M	-21.8M	-20.0M	-21.4M	-20.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.31	1.13	0.49	0.62
Total Volume	316,590.727	170,729	915,505	312,514	548,843
Total OI	6,355,090.318	5,811,793	6,968,478	6,138,063	6,088,834

Daily Data (22 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
2017-05-01	$23.66	$23.00	21.3%	6.1%	21.4%	4.0%	20.9%	2.5%	0.2%	106.7M	-2.54B	-21.4M	0.49	14.45	209,264	103,250	3,678,687	2,459,376
2017-05-02	$23.45	$23.00	20.9%	5.9%	21.6%	2.8%	20.4%	2.4%	0.4%	88.6M	-2.25B	-21.3M	0.49	2.47	200,361	98,823	3,761,061	2,492,696
2017-05-03	$23.73	$23.00	21.0%	6.0%	21.9%	3.0%	20.7%	2.6%	0.3%	130.9M	-2.72B	-21.2M	0.69	5.94	135,435	92,865	3,854,219	2,526,914
2017-05-04	$23.83	$23.00	20.5%	6.2%	21.6%	1.1%	22.7%	2.6%	0.2%	146.9M	-2.85B	-21.8M	1.13	2.01	122,549	138,228	3,880,289	2,561,943
2017-05-05	$23.71	$23.00	21.0%	6.2%	21.7%	2.9%	22.5%	2.6%	0.1%	99.1M	-2.60B	-21.2M	0.67	2.17	134,406	90,187	3,900,147	2,622,644
2017-05-08	$23.93	$23.00	19.3%	5.9%	21.9%	0.0%	21.3%	2.0%	1.2%	127.0M	-2.86B	-21.3M	0.45	-3.12	173,875	78,238	3,738,970	2,541,944
2017-05-09	$23.92	$23.00	19.9%	6.0%	21.5%	2.1%	21.9%	2.7%	1.1%	132.0M	-2.90B	-21.0M	0.52	3.13	208,138	107,631	3,802,015	2,558,095
2017-05-10	$24.15	$23.00	19.2%	5.8%	21.5%	0.0%	20.5%	2.3%	1.1%	169.5M	-3.24B	-21.6M	0.46	1.75	117,281	53,448	3,846,143	2,579,201
2017-05-11	$24.04	$23.00	20.4%	6.0%	21.1%	4.2%	21.0%	2.1%	0.8%	156.7M	-3.11B	-21.1M	0.51	1.84	185,608	94,334	3,889,813	2,587,670
2017-05-12	$23.93	$23.00	20.5%	6.1%	20.9%	4.9%	21.5%	2.1%	1.0%	167.7M	-2.89B	-21.7M	0.44	1.83	195,545	85,607	3,959,691	2,634,966
2017-05-15	$24.05	$23.00	19.9%	5.8%	20.5%	2.5%	20.2%	2.7%	-0.0%	138.7M	-3.03B	-21.2M	0.35	1.59	161,178	56,195	3,884,188	2,600,263
2017-05-16	$24.03	$23.00	19.1%	5.5%	19.0%	0.0%	19.8%	2.4%	0.3%	146.4M	-3.07B	-21.1M	0.50	1.74	126,727	63,695	3,924,154	2,609,409
2017-05-17	$22.59	$23.00	26.1%	7.5%	29.7%	26.1%	26.2%	4.0%	0.0%	13.3M	-1.03B	-20.2M	0.49	1.73	615,044	300,461	3,945,136	2,619,249
2017-05-18	$22.88	$23.00	24.3%	6.9%	29.3%	19.4%	24.8%	3.8%	0.2%	34.6M	-1.43B	-21.0M	0.64	1.78	286,442	182,460	4,175,240	2,696,846
2017-05-19	$23.03	$23.00	22.5%	6.4%	29.1%	12.7%	22.7%	2.8%	0.3%	31.8M	-1.72B	-21.3M	0.75	1.83	217,348	163,564	4,218,546	2,749,932
2017-05-22	$23.02	$23.00	21.3%	6.1%	26.4%	8.3%	21.0%	2.0%	0.9%	56.8M	-1.51B	-20.9M	0.31	2.15	284,693	87,100	3,493,277	2,318,516
2017-05-23	$23.41	$23.00	20.3%	5.9%	26.5%	4.5%	21.6%	2.5%	1.2%	103.5M	-2.06B	-21.7M	0.58	2.25	239,497	139,049	3,674,563	2,340,532
2017-05-24	$23.37	$23.00	21.1%	6.1%	26.5%	7.3%	22.0%	2.2%	0.5%	107.5M	-2.05B	-21.6M	0.70	2.19	134,865	95,035	3,729,055	2,387,862
2017-05-25	$23.29	$23.00	20.9%	6.0%	26.3%	6.6%	21.2%	1.8%	0.6%	100.5M	-1.92B	-21.3M	0.59	2.06	145,516	86,383	3,754,164	2,410,981
2017-05-26	$23.30	$23.00	21.3%	6.1%	25.7%	8.3%	21.5%	2.2%	0.6%	91.2M	-1.95B	-21.4M	0.64	1.95	108,613	69,522	3,819,109	2,431,944
2017-05-30	$22.93	$23.00	23.0%	6.6%	25.8%	14.7%	23.1%	2.4%	-0.4%	59.1M	-1.44B	-21.5M	0.44	2.28	158,107	69,586	3,684,162	2,379,541
2017-05-31	$22.28	$23.00	23.9%	6.9%	27.5%	17.8%	23.9%	3.0%	-0.6%	18.3M	-570.8M	-20.0M	0.62	4.91	338,671	210,172	3,678,411	2,410,423