BAC Options History — October 2017

In October 2017, BAC traded between $25.42 and $27.74. ATM implied volatility averaged 20.9%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.4% (HV 20d: 17.4%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.58.

Notable Days

2017-10-24: Highest Volume — 868,643 contracts
2017-10-13: Largest IV drop — 10.6% change
2017-10-09: Highest IV Rank — 31.1%
2017-10-09: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.54	$25.42	$27.74	$25.63	$27.38
Max Pain	$24.84	$24.00	$25.00	$24.00	$25.00
ATM IV	20.9%	18.8%	22.7%	22.1%	21.4%
Expected Move	6.0%	5.4%	6.6%	6.3%	6.0%
HV 20d	17.4%	14.9%	23.4%	23.4%	17.2%
HV 60d	20.4%	19.9%	20.8%	20.4%	20.0%
IV Rank	19.2%	5.3%	31.1%	27.6%	22.7%
IV Percentile	20.3%	1.6%	42.5%	31.3%	26.2%
Term Structure	0.4%	-1.0%	1.2%	0.1%	0.4%
VWIV	21.4%	19.4%	24.1%	22.3%	21.4%
Skew 25d	1.9%	1.4%	2.4%	2.4%	1.6%
Skew 10d	3.9%	2.7%	5.2%	5.2%	3.1%
Call IV 25d	20.2%	18.6%	22.1%	21.1%	20.9%
Put IV 25d	22.1%	20.1%	24.4%	23.5%	22.5%
Bid-Ask Spread %	1.76	1.22	2.10	1.72	1.85
Gamma HHI	0.16	0.14	0.23	0.14	0.15
Net GEX	172.0M	138.8M	226.9M	150.1M	148.2M
Net DEX	-4.20B	-5.44B	-2.85B	-3.34B	-4.51B
Net VEX	-21.2M	-22.4M	-20.1M	-21.5M	-21.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.39	1.03	0.59	0.46
Total Volume	375,814.182	200,635	868,643	251,572	251,582
Total OI	6,300,282.955	5,890,902	6,571,569	5,999,488	6,355,033

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
2017-10-02	$25.63	$24.00	22.1%	6.3%	23.4%	27.6%	22.3%	2.4%	0.1%	150.1M	-3.34B	-21.5M	0.59	1.72	158,486	93,086	3,314,273	2,685,215
2017-10-03	$25.87	$24.00	21.6%	6.0%	18.7%	24.0%	21.5%	2.3%	0.2%	169.4M	-3.72B	-21.5M	0.56	1.78	231,366	130,293	3,354,411	2,719,170
2017-10-04	$25.73	$24.50	21.9%	6.1%	19.1%	25.9%	20.8%	2.4%	0.1%	163.7M	-3.48B	-21.1M	0.50	1.53	133,561	67,074	3,381,600	2,785,701
2017-10-05	$26.11	$24.00	21.6%	6.4%	16.8%	24.1%	22.8%	1.6%	0.3%	193.0M	-4.09B	-21.3M	0.60	1.94	384,706	231,699	3,411,559	2,812,457
2017-10-06	$26.17	$25.00	21.6%	6.3%	16.6%	24.3%	22.1%	2.0%	0.5%	158.9M	-4.04B	-21.8M	0.40	1.77	199,615	79,284	3,424,636	2,891,653
2017-10-09	$25.84	$25.00	22.7%	6.6%	17.1%	31.1%	24.1%	2.3%	0.6%	152.3M	-3.46B	-21.7M	0.71	1.80	191,785	136,711	3,387,059	2,807,040
2017-10-10	$25.94	$25.00	21.7%	6.4%	15.2%	24.9%	22.9%	1.9%	0.6%	167.2M	-3.58B	-21.2M	0.70	1.50	147,785	102,934	3,437,978	2,858,731
2017-10-11	$25.82	$25.00	22.3%	6.4%	14.9%	28.9%	22.9%	2.1%	-0.0%	161.1M	-3.44B	-21.5M	0.55	1.87	154,634	85,105	3,489,199	2,897,757
2017-10-12	$25.42	$25.00	21.8%	6.4%	16.1%	25.2%	22.3%	1.6%	0.4%	138.8M	-2.85B	-21.3M	0.68	1.76	222,172	151,494	3,521,449	2,916,840
2017-10-13	$25.88	$25.00	19.5%	5.7%	17.0%	10.0%	20.1%	1.7%	0.7%	168.6M	-3.58B	-20.4M	0.48	1.75	287,912	139,457	3,558,754	2,985,742
2017-10-16	$26.27	$25.00	19.7%	5.7%	17.2%	11.8%	19.9%	1.7%	-1.0%	219.0M	-4.12B	-20.7M	0.71	1.78	178,708	126,968	3,442,011	2,897,306
2017-10-17	$26.18	$25.00	19.6%	5.6%	17.3%	10.7%	19.8%	1.7%	-0.1%	211.6M	-4.01B	-20.4M	0.85	1.75	159,099	134,451	3,473,434	2,940,232
2017-10-18	$26.50	$25.00	20.1%	5.8%	17.5%	14.0%	20.0%	2.2%	-0.8%	217.0M	-4.56B	-20.6M	0.61	1.96	291,120	176,790	3,516,648	2,979,600
2017-10-19	$26.52	$25.00	18.8%	5.4%	17.5%	5.3%	19.4%	2.0%	0.5%	226.9M	-4.51B	-20.1M	1.03	2.10	145,997	149,871	3,514,701	3,014,443
2017-10-20	$27.14	$25.00	18.9%	5.4%	18.6%	6.3%	19.4%	1.4%	-0.1%	144.5M	-5.44B	-20.2M	0.45	1.22	500,042	224,351	3,514,058	3,057,511
2017-10-23	$27.14	$25.00	19.5%	5.7%	17.7%	10.3%	20.5%	1.8%	0.9%	155.7M	-4.47B	-20.4M	0.45	1.83	289,867	130,335	3,221,824	2,669,078
2017-10-24	$27.67	$25.00	19.7%	5.8%	18.4%	11.3%	20.8%	1.6%	1.2%	175.1M	-5.12B	-20.5M	0.43	1.65	606,827	261,816	3,289,944	2,733,469
2017-10-25	$27.66	$25.00	21.1%	6.2%	17.0%	20.7%	21.9%	1.7%	1.0%	161.9M	-5.06B	-22.4M	0.49	1.99	306,965	149,556	3,435,554	2,870,742
2017-10-26	$27.74	$25.00	21.2%	6.2%	16.9%	21.6%	21.7%	1.4%	1.0%	194.5M	-5.22B	-22.1M	0.39	1.66	218,401	84,797	3,494,160	2,909,730
2017-10-27	$27.73	$25.00	20.7%	6.0%	16.8%	18.3%	21.3%	1.5%	1.2%	153.5M	-5.10B	-21.7M	0.48	1.86	181,223	87,515	3,483,611	2,934,898
2017-10-30	$27.60	$25.00	21.5%	6.0%	16.9%	23.3%	22.0%	2.2%	0.1%	153.9M	-4.80B	-21.8M	0.69	1.57	167,324	115,148	3,376,681	2,840,333
2017-10-31	$27.38	$25.00	21.4%	6.0%	17.2%	22.7%	21.4%	1.6%	0.4%	148.2M	-4.51B	-21.9M	0.46	1.85	172,829	78,753	3,449,225	2,905,808