BAC Options History — July 2017

In July 2017, BAC traded between $23.71 and $24.94. ATM implied volatility averaged 21.3%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.4% (HV 20d: 20.0%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2017-07-14: Highest Volume — 542,366 contracts
2017-07-18: Largest IV drop — 9.6% change
2017-07-06: Highest IV Rank — 39.9%
2017-07-05: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.34	$23.71	$24.94	$24.68	$24.19
Max Pain	$23.13	$23.00	$24.00	$23.00	$24.00
ATM IV	21.3%	17.9%	25.4%	24.2%	18.9%
Expected Move	6.1%	5.0%	7.3%	7.1%	5.1%
HV 20d	20.0%	16.9%	22.0%	22.0%	16.9%
HV 60d	23.2%	22.2%	24.0%	24.0%	22.5%
IV Rank	17.4%	0.0%	39.9%	31.1%	6.2%
IV Percentile	21.2%	0.0%	60.3%	48.8%	1.2%
Term Structure	0.2%	-0.7%	1.1%	-0.1%	-0.3%
VWIV	21.4%	16.9%	26.3%	25.0%	17.9%
Skew 25d	1.8%	1.3%	2.6%	1.9%	2.3%
Skew 10d	3.7%	2.3%	5.1%	4.4%	4.1%
Call IV 25d	20.8%	17.3%	24.1%	23.6%	17.8%
Put IV 25d	22.6%	19.2%	26.6%	25.5%	20.1%
Bid-Ask Spread %	1.82	1.37	2.83	2.83	1.62
Gamma HHI	0.17	0.14	0.36	0.16	0.16
Net GEX	135.5M	56.1M	226.7M	160.8M	103.0M
Net DEX	-2.80B	-3.91B	-1.77B	-3.59B	-2.23B
Net VEX	-21.5M	-23.0M	-20.4M	-22.6M	-20.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.23	0.70	0.70	0.66
Total Volume	332,576.3	189,822	542,366	446,919	189,822
Total OI	6,174,170.05	5,645,811	6,656,639	6,035,675	5,891,977

Daily Data (20 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
2017-07-03	$24.68	$23.00	24.2%	7.1%	22.0%	31.1%	25.0%	1.9%	-0.1%	160.8M	-3.59B	-22.6M	0.70	2.83	263,300	183,619	3,521,997	2,513,678
2017-07-05	$24.94	$23.00	24.4%	7.3%	21.6%	32.3%	26.3%	2.4%	-0.3%	170.1M	-3.91B	-22.5M	0.38	2.28	221,323	83,298	3,562,830	2,556,495
2017-07-06	$24.73	$23.00	25.4%	7.0%	21.8%	39.9%	24.9%	2.6%	-0.4%	162.7M	-3.59B	-23.0M	0.49	1.97	287,293	140,884	3,603,546	2,584,071
2017-07-07	$24.82	$23.00	23.7%	6.7%	21.3%	29.3%	23.2%	2.5%	-0.2%	143.2M	-3.73B	-22.7M	0.29	1.82	236,881	68,951	3,630,866	2,635,852
2017-07-10	$24.91	$23.00	22.6%	6.5%	19.8%	24.8%	23.7%	2.3%	0.1%	159.1M	-3.73B	-22.1M	0.38	1.82	189,990	71,244	3,482,157	2,526,216
2017-07-11	$24.64	$23.00	23.9%	6.7%	20.3%	34.3%	23.9%	2.2%	-0.6%	150.1M	-3.34B	-22.1M	0.55	1.81	165,917	90,846	3,559,730	2,553,361
2017-07-12	$24.42	$23.00	23.3%	6.8%	20.6%	29.6%	23.8%	1.7%	0.5%	136.2M	-3.01B	-21.9M	0.43	1.37	179,162	76,783	3,617,202	2,598,408
2017-07-13	$24.60	$23.00	23.5%	6.6%	20.7%	31.4%	23.2%	1.6%	-0.7%	155.3M	-3.29B	-22.1M	0.27	1.51	224,998	59,808	3,663,633	2,633,424
2017-07-14	$24.25	$23.00	22.2%	6.3%	21.2%	21.9%	22.1%	1.5%	-0.2%	128.3M	-2.74B	-21.5M	0.28	1.59	424,379	117,987	3,733,595	2,652,708
2017-07-17	$23.97	$23.00	22.6%	6.5%	21.6%	24.9%	23.0%	1.3%	0.2%	127.3M	-2.37B	-21.3M	0.48	1.89	290,229	140,621	3,653,810	2,620,357
2017-07-18	$23.91	$23.00	20.4%	5.9%	20.3%	9.5%	20.9%	1.3%	0.3%	140.5M	-2.20B	-20.9M	0.32	1.69	339,273	107,924	3,763,400	2,705,405
2017-07-19	$24.05	$23.00	19.8%	5.7%	19.4%	4.5%	19.8%	1.5%	0.3%	181.0M	-2.54B	-21.0M	0.37	1.63	169,713	62,157	3,860,758	2,727,653
2017-07-20	$24.03	$23.00	19.3%	5.5%	18.1%	1.0%	19.8%	1.6%	0.4%	226.7M	-2.47B	-20.7M	0.23	2.22	322,037	75,472	3,865,344	2,740,201
2017-07-21	$23.71	$23.00	18.7%	5.3%	18.6%	0.0%	18.7%	1.7%	0.7%	56.1M	-1.77B	-20.8M	0.54	1.60	208,478	112,051	3,890,563	2,766,076
2017-07-24	$23.97	$23.00	17.9%	5.1%	18.6%	0.0%	18.0%	1.9%	1.1%	78.9M	-2.02B	-20.5M	0.34	1.62	228,560	76,660	3,237,764	2,408,047
2017-07-25	$24.54	$23.00	19.4%	5.6%	20.1%	9.6%	19.7%	1.5%	0.8%	123.9M	-2.80B	-21.3M	0.24	1.98	381,826	91,555	3,334,777	2,448,577
2017-07-26	$24.17	$23.50	19.0%	5.3%	20.5%	6.8%	18.3%	1.8%	1.0%	112.1M	-2.31B	-21.1M	0.57	1.54	171,270	97,470	3,447,198	2,462,777
2017-07-27	$24.18	$23.50	19.1%	5.4%	18.7%	7.8%	18.9%	1.6%	0.7%	104.7M	-2.28B	-20.7M	0.64	1.65	161,574	103,724	3,472,004	2,506,013
2017-07-28	$24.10	$23.50	18.4%	5.0%	16.9%	2.9%	16.9%	1.8%	1.0%	90.5M	-2.13B	-20.7M	0.59	1.89	147,536	86,911	3,519,533	2,531,398
2017-07-31	$24.19	$24.00	18.9%	5.1%	16.9%	6.2%	17.9%	2.3%	-0.3%	103.0M	-2.23B	-20.4M	0.66	1.62	114,219	75,603	3,391,388	2,500,589