BAC Options History — January 2018

In January 2018, BAC traded between $29.79 and $32.27. ATM implied volatility averaged 20.7%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 9.2% (HV 20d: 11.6%). Max pain ranged from $27.00 to $29.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2018-01-17: Highest Volume — 1,091,590 contracts
2018-01-17: Largest IV drop — 14.0% change
2018-01-16: Highest IV Rank — 44.6%
2018-01-16: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.18	$29.79	$32.27	$29.84	$31.99
Max Pain	$27.93	$27.00	$29.50	$27.00	$29.50
ATM IV	20.7%	17.9%	23.8%	21.3%	20.5%
Expected Move	6.0%	5.2%	6.8%	6.3%	5.8%
HV 20d	11.6%	10.1%	17.7%	17.7%	10.5%
HV 60d	17.7%	17.0%	18.6%	18.6%	17.1%
IV Rank	21.1%	0.0%	44.6%	24.0%	19.7%
IV Percentile	28.4%	0.0%	77.8%	29.4%	21.4%
Term Structure	0.2%	-0.7%	0.9%	-0.1%	0.1%
VWIV	21.4%	19.0%	24.3%	22.3%	20.3%
Skew 25d	1.5%	0.8%	2.0%	1.9%	1.7%
Skew 10d	3.1%	1.0%	4.5%	4.1%	2.9%
Call IV 25d	20.3%	17.4%	23.7%	20.8%	19.7%
Put IV 25d	21.8%	18.9%	24.4%	22.7%	21.5%
Bid-Ask Spread %	2.03	1.34	3.42	1.34	2.10
Gamma HHI	0.19	0.13	0.24	0.24	0.15
Net GEX	209.4M	149.8M	273.6M	225.3M	175.9M
Net DEX	-6.08B	-8.14B	-4.55B	-5.72B	-4.74B
Net VEX	-20.5M	-22.6M	-19.4M	-19.8M	-22.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.25	0.93	0.39	0.39
Total Volume	423,952.524	183,919	1,091,590	238,075	259,395
Total OI	5,955,025	4,401,789	7,397,769	6,292,997	4,951,784

Daily Data (21 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
2018-01-02	$29.84	$27.00	21.3%	6.3%	17.7%	24.0%	22.3%	1.9%	-0.1%	225.3M	-5.72B	-19.8M	0.39	1.34	171,392	66,683	3,460,037	2,832,960
2018-01-03	$29.79	$27.00	21.3%	6.4%	12.8%	24.2%	23.2%	1.9%	0.4%	230.4M	-5.58B	-19.8M	0.57	1.89	117,462	66,457	3,518,068	2,851,146
2018-01-04	$30.18	$27.00	22.1%	6.4%	13.1%	31.0%	22.2%	1.3%	0.0%	258.5M	-6.24B	-19.7M	0.25	1.66	595,329	150,794	3,542,150	2,877,418
2018-01-05	$30.31	$27.00	21.6%	6.3%	12.4%	27.6%	22.0%	1.6%	-0.0%	244.6M	-6.63B	-19.7M	0.28	2.22	214,810	60,468	3,717,935	2,934,283
2018-01-08	$30.11	$27.00	22.4%	6.5%	12.8%	33.8%	22.7%	1.2%	0.2%	262.8M	-6.05B	-20.3M	0.39	2.10	214,513	84,398	3,635,959	2,878,266
2018-01-09	$30.28	$27.00	22.2%	6.5%	12.7%	32.5%	23.1%	1.3%	0.4%	268.3M	-6.41B	-19.9M	0.40	2.25	273,390	109,584	3,682,308	2,912,761
2018-01-10	$30.51	$27.00	21.9%	6.2%	12.8%	29.6%	21.7%	1.5%	-0.2%	273.6M	-6.80B	-19.9M	0.40	1.85	277,689	109,900	3,714,182	2,970,674
2018-01-11	$30.63	$28.00	23.3%	6.6%	12.1%	40.7%	23.4%	1.3%	-0.7%	247.3M	-6.90B	-19.8M	0.27	1.84	397,819	105,528	3,704,192	3,007,672
2018-01-12	$31.18	$28.00	21.4%	6.2%	11.2%	26.4%	21.7%	1.3%	0.2%	224.9M	-8.14B	-19.4M	0.47	1.75	440,087	208,008	3,831,244	3,041,962
2018-01-16	$31.18	$28.00	23.8%	6.8%	10.9%	44.6%	24.3%	0.8%	-0.6%	205.4M	-7.49B	-19.7M	0.27	3.42	661,483	181,686	3,707,665	3,042,551
2018-01-17	$31.10	$28.00	20.5%	5.9%	10.9%	19.3%	21.3%	1.5%	0.0%	213.5M	-7.53B	-20.2M	0.42	1.96	769,659	321,931	3,870,031	3,083,270
2018-01-18	$31.49	$28.00	20.0%	5.8%	10.5%	15.6%	20.2%	1.5%	-0.4%	248.5M	-7.92B	-20.4M	0.36	2.08	331,270	119,663	4,091,738	3,306,031
2018-01-19	$31.72	$28.00	18.4%	5.2%	10.5%	3.0%	19.5%	1.7%	0.3%	153.5M	-7.63B	-20.8M	0.37	1.76	284,383	106,223	3,957,217	3,333,986
2018-01-22	$31.94	$28.00	17.9%	5.2%	10.5%	0.0%	19.2%	1.5%	0.7%	167.1M	-4.71B	-20.6M	0.93	2.20	146,546	136,897	2,685,600	1,716,189
2018-01-23	$31.92	$28.00	18.3%	5.3%	10.4%	2.5%	19.0%	1.2%	0.8%	166.3M	-4.78B	-20.3M	0.63	1.95	166,036	104,733	2,721,532	1,800,645
2018-01-24	$32.12	$28.00	18.7%	5.5%	10.4%	5.6%	19.4%	1.3%	0.8%	174.0M	-5.01B	-20.5M	0.44	2.22	334,177	147,536	2,760,435	1,854,374
2018-01-25	$32.07	$29.00	18.9%	5.5%	10.3%	7.1%	20.0%	1.6%	0.7%	197.3M	-4.91B	-21.9M	0.57	1.88	194,316	111,208	2,866,791	1,895,075
2018-01-26	$32.16	$29.00	18.8%	5.4%	10.2%	7.0%	20.0%	1.4%	0.9%	150.1M	-5.01B	-21.9M	0.33	2.30	212,420	71,030	2,875,486	1,958,080
2018-01-29	$32.27	$29.00	20.7%	5.9%	10.1%	21.1%	21.2%	1.9%	0.4%	159.4M	-4.99B	-22.1M	0.68	1.81	148,944	101,629	2,808,833	1,876,125
2018-01-30	$31.96	$29.00	21.6%	6.2%	10.6%	28.0%	22.2%	2.0%	0.1%	149.8M	-4.55B	-22.6M	0.37	2.11	239,215	88,312	2,855,822	1,923,048
2018-01-31	$31.99	$29.50	20.5%	5.8%	10.5%	19.7%	20.3%	1.7%	0.1%	175.9M	-4.74B	-22.2M	0.39	2.10	186,130	73,265	2,990,009	1,961,775