BAC Options History — June 2017

In June 2017, BAC traded between $22.26 and $24.42. ATM implied volatility averaged 23.2%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 1.5% (HV 20d: 24.7%). 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 14 of 22 days. Put/call ratio averaged 0.50.

Notable Days

2017-06-29: Highest Volume — 876,891 contracts
2017-06-09: Largest IV spike — 11.4% change
2017-06-29: Highest IV Rank — 30.8%
2017-06-28: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.29	$22.26	$24.42	$22.53	$24.33
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	23.2%	20.8%	25.3%	23.4%	23.4%
Expected Move	6.9%	6.3%	7.4%	6.7%	6.7%
HV 20d	24.7%	19.6%	30.1%	27.5%	21.8%
HV 60d	24.4%	22.5%	26.5%	25.4%	23.8%
IV Rank	16.5%	6.4%	30.8%	15.9%	26.3%
IV Percentile	33.7%	5.2%	56.0%	33.3%	38.1%
Term Structure	0.3%	-0.6%	2.5%	-0.2%	-0.5%
VWIV	24.3%	21.9%	26.2%	23.8%	24.0%
Skew 25d	2.4%	1.8%	3.1%	2.1%	2.1%
Skew 10d	4.8%	3.6%	7.4%	4.4%	4.3%
Call IV 25d	22.4%	19.0%	24.6%	23.0%	22.8%
Put IV 25d	24.8%	22.1%	27.1%	25.1%	24.9%
Bid-Ask Spread %	2.59	2.06	4.03	2.51	2.27
Gamma HHI	0.17	0.11	0.28	0.11	0.17
Net GEX	117.4M	28.2M	212.0M	43.2M	146.5M
Net DEX	-1.99B	-3.76B	-623.3M	-921.3M	-3.46B
Net VEX	-22.0M	-23.3M	-20.1M	-20.8M	-23.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.18	0.87	0.87	0.37
Total Volume	415,305.545	245,245	876,891	328,393	397,011
Total OI	6,346,481.727	5,610,487	6,926,392	6,314,027	6,488,605

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
2017-06-01	$22.53	$23.00	23.4%	6.7%	27.5%	15.9%	23.8%	2.1%	-0.2%	43.2M	-921.3M	-20.8M	0.87	2.51	175,278	153,115	3,812,855	2,501,172
2017-06-02	$22.43	$23.00	22.2%	6.3%	27.3%	11.5%	22.8%	2.1%	-0.6%	37.8M	-738.3M	-20.5M	0.81	2.44	145,113	117,083	3,853,939	2,568,523
2017-06-05	$22.42	$23.00	21.5%	6.9%	27.3%	8.7%	23.4%	2.1%	0.7%	28.2M	-743.7M	-20.5M	0.50	2.90	211,109	106,415	3,671,168	2,521,460
2017-06-06	$22.26	$23.00	21.9%	6.9%	27.0%	10.4%	24.8%	1.8%	0.2%	29.9M	-623.3M	-20.1M	0.72	2.50	207,266	150,039	3,806,311	2,550,154
2017-06-07	$22.61	$23.00	21.9%	6.7%	27.8%	10.3%	23.7%	2.5%	0.3%	68.5M	-1.06B	-21.0M	0.37	2.40	292,445	109,325	3,856,235	2,603,559
2017-06-08	$23.01	$23.00	21.2%	6.9%	28.4%	7.9%	23.6%	2.3%	0.7%	135.3M	-1.73B	-21.7M	0.42	2.30	387,751	163,903	3,904,819	2,638,277
2017-06-09	$23.58	$23.00	23.7%	7.2%	30.0%	17.1%	25.3%	2.8%	0.3%	168.4M	-2.70B	-23.0M	0.31	4.03	583,726	183,113	3,957,883	2,669,254
2017-06-12	$23.78	$23.00	23.6%	7.3%	30.1%	16.9%	26.1%	2.8%	1.8%	176.7M	-2.88B	-23.0M	0.46	2.89	316,901	147,285	3,969,171	2,657,547
2017-06-13	$23.76	$23.00	22.7%	7.0%	30.1%	13.4%	25.5%	2.4%	1.5%	190.7M	-2.87B	-22.9M	0.48	2.84	196,930	95,134	4,052,610	2,692,065
2017-06-14	$23.73	$23.00	23.5%	6.9%	30.1%	16.4%	24.7%	2.6%	0.3%	212.0M	-2.82B	-23.0M	0.45	2.79	373,920	168,005	4,092,486	2,729,416
2017-06-15	$23.55	$23.00	23.2%	6.9%	19.9%	15.4%	25.0%	2.5%	1.2%	171.6M	-2.45B	-22.5M	0.43	2.60	237,681	102,903	4,083,898	2,765,952
2017-06-16	$23.43	$23.00	20.8%	6.5%	19.6%	6.4%	21.9%	3.1%	2.5%	181.1M	-2.16B	-22.1M	0.60	2.06	163,298	98,771	4,133,789	2,792,603
2017-06-19	$23.93	$23.00	22.0%	6.4%	20.8%	10.7%	22.8%	2.8%	0.1%	131.7M	-2.61B	-21.9M	0.50	2.40	255,647	128,314	3,315,918	2,294,569
2017-06-20	$23.53	$23.00	22.2%	6.4%	21.8%	11.7%	23.2%	2.4%	-0.4%	117.5M	-2.07B	-21.9M	0.78	2.61	137,771	107,474	3,421,050	2,360,410
2017-06-21	$23.12	$23.00	24.3%	7.0%	21.9%	19.5%	24.4%	2.2%	0.0%	77.1M	-1.58B	-21.9M	0.58	2.17	221,090	127,415	3,462,637	2,419,786
2017-06-22	$22.94	$23.00	24.7%	7.1%	22.1%	21.0%	24.9%	1.9%	-0.3%	60.5M	-1.33B	-22.4M	0.34	2.67	282,355	95,127	3,548,456	2,486,764
2017-06-23	$22.79	$23.00	24.4%	7.0%	22.2%	19.9%	24.6%	1.8%	0.1%	53.2M	-1.11B	-21.9M	0.65	2.67	199,759	130,110	3,617,049	2,518,135
2017-06-26	$22.93	$23.00	23.9%	6.9%	22.3%	18.1%	23.9%	2.5%	0.1%	58.0M	-1.34B	-21.6M	0.18	2.26	241,854	42,702	3,511,676	2,524,820
2017-06-27	$23.31	$23.00	25.3%	7.3%	22.4%	23.0%	25.6%	2.5%	-0.2%	113.6M	-1.95B	-22.5M	0.41	2.66	357,339	144,875	3,582,874	2,520,577
2017-06-28	$23.88	$23.00	25.2%	7.4%	20.9%	30.7%	26.2%	2.5%	-0.1%	177.2M	-2.87B	-23.3M	0.35	2.40	373,310	131,169	3,693,468	2,596,279
2017-06-29	$24.42	$23.00	24.4%	7.1%	21.8%	30.8%	25.2%	2.7%	-0.3%	204.8M	-3.76B	-23.0M	0.34	2.72	656,793	220,098	3,733,540	2,640,839
2017-06-30	$24.33	$23.00	23.4%	6.7%	21.8%	26.3%	24.0%	2.1%	-0.5%	146.5M	-3.46B	-23.1M	0.37	2.27	288,986	108,025	3,784,991	2,703,614