BAC Options History — February 2018

In February 2018, BAC traded between $29.93 and $32.44. ATM implied volatility averaged 24.2%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 3.1% (HV 20d: 27.3%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.49.

Notable Days

2018-02-05: Highest Volume — 725,297 contracts
2018-02-08: Largest IV spike — 36.9% change
2018-02-08: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.62	$29.93	$32.44	$32.44	$32.17
Max Pain	$31.58	$31.00	$32.00	$32.00	$32.00
ATM IV	24.2%	19.4%	34.0%	19.4%	21.3%
Expected Move	6.9%	5.4%	9.6%	5.8%	6.4%
HV 20d	27.3%	10.9%	31.3%	10.9%	31.2%
HV 60d	21.5%	17.2%	22.9%	17.2%	21.4%
IV Rank	41.2%	9.7%	100.0%	11.1%	20.7%
IV Percentile	59.8%	9.5%	100.0%	9.5%	34.9%
Term Structure	0.1%	-1.0%	2.7%	0.1%	-0.6%
VWIV	24.1%	19.9%	32.5%	20.2%	22.7%
Skew 25d	4.7%	2.1%	8.2%	2.1%	3.3%
Skew 10d	8.8%	3.5%	16.5%	3.5%	6.3%
Call IV 25d	22.3%	18.3%	31.3%	18.3%	20.0%
Put IV 25d	27.0%	20.4%	38.9%	20.4%	23.3%
Bid-Ask Spread %	2.78	1.91	5.45	2.09	2.67
Gamma HHI	0.20	0.11	0.75	0.15	0.15
Net GEX	211.8M	75.2M	908.1M	218.0M	171.3M
Net DEX	-4.14B	-5.51B	-2.05B	-5.32B	-4.30B
Net VEX	-24.9M	-26.6M	-22.2M	-22.2M	-24.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.34	0.70	0.52	0.36
Total Volume	423,110.842	191,596	725,297	292,737	416,019
Total OI	5,436,715.842	5,018,061	5,953,770	5,029,735	5,363,875

Daily Data (19 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
2018-02-01	$32.44	$32.00	19.4%	5.8%	10.9%	11.1%	20.2%	2.1%	0.1%	218.0M	-5.32B	-22.2M	0.52	2.09	192,485	100,252	3,033,646	1,996,089
2018-02-02	$31.90	$32.00	22.7%	6.5%	12.7%	35.9%	21.9%	2.9%	-0.4%	144.6M	-4.47B	-22.9M	0.45	1.99	373,746	167,602	3,082,846	2,039,784
2018-02-05	$30.46	$32.00	27.8%	8.4%	21.5%	74.3%	27.8%	8.2%	2.7%	101.0M	-2.76B	-23.9M	0.38	5.45	525,360	199,937	3,005,158	2,012,903
2018-02-06	$31.20	$32.00	28.8%	8.2%	22.9%	81.9%	28.3%	5.7%	-0.4%	148.2M	-3.66B	-25.4M	0.65	4.04	379,087	244,810	3,222,573	2,074,541
2018-02-07	$31.36	$32.00	24.7%	7.5%	22.9%	51.4%	27.0%	4.8%	1.6%	183.5M	-3.89B	-25.3M	0.66	3.55	309,046	203,732	3,348,702	2,190,230
2018-02-08	$29.93	$32.00	33.9%	9.6%	28.5%	100.0%	32.5%	7.6%	-0.6%	75.2M	-2.05B	-26.0M	0.44	2.56	384,065	170,765	3,453,532	2,285,058
2018-02-09	$30.35	$31.00	34.0%	9.0%	28.9%	100.0%	30.7%	8.1%	-1.0%	110.2M	-2.56B	-26.6M	0.70	5.06	384,366	269,719	3,629,693	2,324,077
2018-02-12	$31.16	$31.00	27.9%	8.0%	29.8%	62.2%	27.4%	6.2%	-0.2%	161.4M	-3.81B	-25.8M	0.45	2.36	287,320	128,855	3,404,934	2,235,009
2018-02-13	$31.18	$31.00	26.5%	7.6%	29.8%	53.3%	26.3%	5.5%	-0.0%	175.7M	-3.90B	-26.1M	0.58	2.54	121,365	70,231	3,472,470	2,277,098
2018-02-14	$32.01	$31.00	23.0%	6.6%	31.2%	31.6%	22.9%	5.1%	0.1%	237.8M	-5.26B	-25.4M	0.55	2.02	289,533	158,605	3,506,945	2,298,437
2018-02-15	$32.16	$31.00	22.0%	6.3%	31.0%	25.3%	22.6%	3.9%	0.5%	267.8M	-5.51B	-25.5M	0.48	2.51	247,222	119,368	3,550,242	2,344,975
2018-02-16	$32.01	$31.00	21.3%	6.1%	30.9%	21.2%	21.0%	3.9%	0.5%	908.1M	-5.22B	-25.3M	0.47	2.57	265,843	123,667	3,566,952	2,370,954
2018-02-20	$31.97	$31.00	22.6%	6.5%	30.8%	29.0%	22.8%	4.2%	-0.1%	156.4M	-4.16B	-25.1M	0.52	2.29	138,704	71,988	3,041,812	2,007,819
2018-02-21	$31.91	$31.50	21.5%	6.2%	30.8%	22.4%	21.6%	3.8%	0.3%	163.2M	-4.10B	-25.1M	0.40	1.91	233,888	94,542	3,086,470	2,038,466
2018-02-22	$31.71	$32.00	22.1%	6.3%	30.8%	26.2%	21.3%	3.6%	-0.1%	138.8M	-3.79B	-24.9M	0.41	2.42	241,442	98,686	3,161,712	2,080,066
2018-02-23	$32.03	$31.50	19.9%	5.6%	31.1%	12.3%	20.0%	3.4%	0.2%	282.3M	-4.32B	-24.5M	0.42	1.99	201,084	85,275	3,245,514	2,101,698
2018-02-26	$32.40	$32.00	19.5%	5.4%	31.3%	9.7%	19.9%	3.6%	-0.0%	188.0M	-4.80B	-24.0M	0.59	2.60	233,388	138,217	3,128,287	2,029,419
2018-02-27	$32.40	$32.00	20.4%	5.8%	31.3%	15.3%	20.9%	3.2%	-0.2%	193.4M	-4.75B	-24.2M	0.34	2.29	275,821	93,071	3,175,561	2,110,054
2018-02-28	$32.17	$32.00	21.3%	6.4%	31.2%	20.7%	22.7%	3.3%	-0.6%	171.3M	-4.30B	-24.8M	0.36	2.67	305,386	110,633	3,224,328	2,139,547