BAC Options History — August 2017

In August 2017, BAC traded between $23.37 and $24.99. ATM implied volatility averaged 20.3%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.0% (HV 20d: 20.3%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.48.

Notable Days

2017-08-04: Highest Volume — 530,492 contracts
2017-08-14: Largest IV drop — 16.1% change
2017-08-11: Highest IV Rank — 37.7%
2017-08-11: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.14	$23.37	$24.99	$24.43	$23.90
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	20.3%	18.6%	23.6%	18.9%	21.3%
Expected Move	5.8%	5.1%	6.7%	5.1%	5.8%
HV 20d	20.3%	16.1%	22.9%	16.5%	21.1%
HV 60d	21.4%	20.0%	23.7%	22.6%	20.0%
IV Rank	15.7%	4.3%	37.7%	6.4%	22.4%
IV Percentile	11.9%	0.8%	44.4%	1.6%	21.4%
Term Structure	0.3%	-0.5%	1.5%	-0.5%	0.8%
VWIV	20.3%	17.8%	24.2%	17.8%	20.4%
Skew 25d	2.9%	2.2%	4.0%	2.5%	2.6%
Skew 10d	5.5%	4.0%	7.9%	4.0%	5.1%
Call IV 25d	19.2%	17.7%	22.3%	17.8%	20.4%
Put IV 25d	22.1%	19.9%	26.3%	20.3%	23.0%
Bid-Ask Spread %	1.76	1.37	2.20	1.44	1.82
Gamma HHI	0.17	0.12	0.48	0.16	0.15
Net GEX	104.2M	18.2M	362.3M	129.9M	117.8M
Net DEX	-2.02B	-3.40B	-973.9M	-2.55B	-1.57B
Net VEX	-20.7M	-21.4M	-19.5M	-20.5M	-20.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.23	0.98	0.32	0.28
Total Volume	297,838.652	165,110	530,492	283,153	226,804
Total OI	6,162,428	5,728,310	6,634,754	5,956,704	5,975,079

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
2017-08-01	$24.43	$24.00	18.9%	5.1%	16.5%	6.4%	17.8%	2.5%	-0.5%	129.9M	-2.55B	-20.5M	0.32	1.44	214,421	68,732	3,429,346	2,527,358
2017-08-02	$24.56	$24.00	19.2%	5.3%	16.1%	8.2%	18.0%	2.5%	-0.4%	148.9M	-2.74B	-20.6M	0.46	1.52	161,465	74,162	3,491,889	2,561,027
2017-08-03	$24.32	$24.00	18.9%	5.6%	16.2%	6.3%	19.9%	2.2%	-0.1%	122.7M	-2.38B	-20.3M	0.98	2.11	121,921	119,869	3,537,881	2,591,074
2017-08-04	$24.99	$24.00	18.6%	5.5%	19.0%	4.3%	19.5%	2.2%	-0.2%	362.3M	-3.40B	-21.0M	0.42	2.10	373,359	157,133	3,575,289	2,643,414
2017-08-07	$24.97	$24.00	19.3%	5.7%	18.9%	9.0%	20.2%	2.4%	0.9%	165.3M	-3.25B	-21.1M	0.33	1.74	124,540	40,570	3,525,341	2,638,132
2017-08-08	$24.91	$24.00	20.1%	5.9%	18.5%	14.5%	21.1%	2.4%	0.9%	156.8M	-3.12B	-21.2M	0.54	1.66	254,947	138,016	3,548,875	2,644,106
2017-08-09	$24.69	$24.00	20.1%	5.8%	18.5%	14.3%	20.1%	2.5%	-0.1%	136.0M	-2.76B	-20.9M	0.50	1.72	176,660	89,194	3,576,600	2,695,686
2017-08-10	$24.15	$24.00	22.8%	6.5%	20.0%	31.8%	22.3%	3.7%	-0.1%	71.7M	-1.95B	-21.2M	0.69	1.79	206,104	143,191	3,633,641	2,722,156
2017-08-11	$23.89	$24.00	23.6%	6.7%	19.7%	37.7%	24.2%	4.0%	-0.3%	38.6M	-1.55B	-21.0M	0.93	1.52	170,326	158,341	3,683,019	2,742,376
2017-08-14	$24.43	$24.00	19.8%	5.8%	20.9%	12.5%	19.7%	3.1%	-0.3%	92.1M	-2.33B	-20.9M	0.47	1.77	164,485	78,002	3,586,604	2,739,846
2017-08-15	$24.56	$24.00	19.5%	5.6%	20.9%	10.3%	20.2%	3.2%	1.3%	132.1M	-2.60B	-21.4M	0.45	1.54	125,417	56,558	3,646,550	2,751,515
2017-08-16	$24.17	$24.00	20.0%	5.7%	21.7%	13.7%	20.7%	2.5%	0.3%	82.3M	-2.01B	-20.5M	0.52	1.90	172,700	90,504	3,662,665	2,776,640
2017-08-17	$23.68	$24.00	22.3%	6.3%	22.9%	28.8%	22.6%	4.0%	1.5%	19.6M	-1.28B	-21.1M	0.84	1.89	192,561	161,977	3,742,040	2,808,643
2017-08-18	$23.70	$24.00	21.2%	6.0%	22.4%	21.4%	21.1%	3.7%	1.4%	39.2M	-1.30B	-20.7M	0.62	1.86	169,170	104,070	3,786,228	2,848,526
2017-08-21	$23.37	$24.00	21.1%	6.0%	22.5%	21.1%	21.4%	3.5%	0.4%	18.2M	-973.9M	-19.5M	0.23	1.66	397,567	89,790	3,252,909	2,475,401
2017-08-22	$23.85	$24.00	20.7%	5.9%	22.1%	18.4%	21.3%	3.2%	0.2%	78.4M	-1.66B	-20.9M	0.35	2.15	277,709	96,227	3,390,739	2,512,614
2017-08-23	$23.79	$24.00	20.4%	5.7%	21.5%	15.9%	20.5%	2.7%	0.4%	84.2M	-1.60B	-20.8M	0.59	1.37	138,466	82,337	3,482,267	2,546,233
2017-08-24	$23.85	$24.00	20.0%	5.6%	21.5%	13.7%	20.1%	2.5%	0.7%	94.3M	-1.65B	-20.6M	0.37	1.82	141,325	51,683	3,502,465	2,565,762
2017-08-25	$23.82	$24.00	19.0%	5.2%	21.5%	7.2%	18.3%	2.5%	0.6%	76.7M	-1.57B	-20.6M	0.35	1.83	154,154	53,911	3,531,253	2,575,444
2017-08-28	$23.73	$24.00	20.3%	5.7%	21.5%	15.9%	19.6%	2.7%	0.3%	65.5M	-1.43B	-20.0M	0.34	1.63	174,101	58,336	3,390,028	2,520,249
2017-08-29	$23.65	$24.00	19.7%	5.4%	21.1%	11.2%	18.9%	2.6%	0.5%	55.7M	-1.29B	-19.7M	0.25	1.55	391,682	97,982	3,426,652	2,563,141
2017-08-30	$23.89	$24.00	20.3%	5.5%	21.4%	15.4%	19.5%	2.6%	-0.0%	107.6M	-1.46B	-20.6M	0.30	2.20	237,692	72,128	3,310,444	2,598,697
2017-08-31	$23.90	$24.00	21.3%	5.8%	21.1%	22.4%	20.4%	2.6%	0.8%	117.8M	-1.57B	-20.7M	0.28	1.82	177,039	49,765	3,357,123	2,617,956