BAC Options History — April 2018

In April 2018, BAC traded between $29.30 and $30.73. ATM implied volatility averaged 25.4%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 9.3% (HV 20d: 34.7%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.45.

Notable Days

2018-04-13: Highest Volume — 659,274 contracts
2018-04-16: Largest IV drop — 16.2% change
2018-04-02: Highest IV Rank — 83.6%
2018-04-02: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.04	$29.30	$30.73	$29.30	$30.11
Max Pain	$30.10	$30.00	$31.00	$30.00	$30.00
ATM IV	25.4%	20.4%	31.4%	31.4%	20.4%
Expected Move	7.4%	5.9%	9.8%	9.8%	5.9%
HV 20d	34.7%	25.7%	40.9%	33.6%	25.7%
HV 60d	29.3%	27.4%	30.4%	27.4%	30.1%
IV Rank	46.6%	15.6%	83.6%	83.6%	15.6%
IV Percentile	77.8%	22.2%	98.8%	98.8%	22.2%
Term Structure	-0.5%	-1.5%	0.6%	-0.3%	-0.8%
VWIV	25.2%	19.1%	34.3%	34.3%	20.3%
Skew 25d	3.6%	2.3%	5.4%	5.4%	3.0%
Skew 10d	7.1%	4.4%	11.4%	11.4%	5.6%
Call IV 25d	23.8%	18.7%	29.0%	29.0%	18.7%
Put IV 25d	27.4%	21.8%	34.4%	34.4%	21.8%
Bid-Ask Spread %	2.23	1.79	2.96	2.96	2.05
Gamma HHI	0.11	0.09	0.14	0.09	0.10
Net GEX	123.5M	70.8M	235.7M	70.8M	86.2M
Net DEX	-1.99B	-3.15B	-1.19B	-1.19B	-1.84B
Net VEX	-24.5M	-26.3M	-22.9M	-25.0M	-22.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.23	0.88	0.36	0.56
Total Volume	362,693.048	163,683	659,274	449,445	234,315
Total OI	5,879,688.762	5,018,556	6,486,193	5,659,255	5,148,563

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
2018-04-02	$29.30	$30.00	31.4%	9.8%	33.6%	83.6%	34.3%	5.4%	-0.3%	70.8M	-1.19B	-25.0M	0.36	2.96	330,969	118,476	3,359,967	2,299,288
2018-04-03	$29.57	$30.00	28.7%	8.8%	33.1%	67.2%	30.3%	5.1%	-0.5%	104.4M	-1.48B	-24.7M	0.41	2.74	250,236	102,623	3,478,392	2,352,120
2018-04-04	$29.94	$30.00	27.0%	8.5%	33.6%	56.5%	29.8%	4.4%	-0.9%	166.2M	-1.96B	-25.0M	0.31	2.55	243,236	76,191	3,544,524	2,376,903
2018-04-05	$30.45	$30.00	26.7%	7.7%	34.3%	54.5%	25.7%	4.6%	-0.8%	235.7M	-2.81B	-25.3M	0.58	2.50	241,230	139,961	3,606,384	2,404,293
2018-04-06	$29.51	$31.00	30.0%	8.1%	35.8%	75.0%	28.3%	4.6%	-1.0%	102.7M	-1.31B	-25.3M	0.88	2.35	206,477	182,089	3,655,225	2,482,184
2018-04-09	$30.11	$31.00	28.5%	8.0%	36.2%	65.8%	26.8%	4.7%	-0.4%	116.5M	-2.11B	-25.3M	0.31	2.19	318,304	98,546	3,438,886	2,446,455
2018-04-10	$30.50	$30.00	27.5%	8.0%	36.4%	59.7%	26.6%	4.1%	0.6%	156.4M	-2.66B	-25.5M	0.35	2.38	250,667	88,058	3,558,715	2,516,785
2018-04-11	$29.98	$30.00	29.1%	8.2%	36.4%	69.4%	28.6%	4.1%	-0.3%	120.0M	-2.00B	-25.3M	0.30	1.99	205,705	60,844	3,642,917	2,545,081
2018-04-12	$30.73	$30.00	27.7%	7.8%	37.8%	60.8%	27.2%	3.7%	-0.8%	212.9M	-3.15B	-26.3M	0.41	2.04	322,375	133,026	3,728,567	2,561,422
2018-04-13	$29.76	$30.00	28.1%	8.0%	39.2%	63.5%	27.2%	3.4%	-0.6%	88.0M	-1.56B	-25.1M	0.40	2.14	470,600	188,674	3,751,004	2,578,726
2018-04-16	$30.14	$30.00	23.6%	6.8%	39.6%	35.2%	23.4%	3.0%	0.2%	131.6M	-1.98B	-24.0M	0.25	2.59	479,301	119,302	3,692,965	2,540,416
2018-04-17	$30.13	$30.00	22.9%	6.6%	39.6%	30.9%	22.9%	2.9%	-0.7%	146.8M	-2.04B	-24.0M	0.68	2.04	194,482	131,458	3,772,247	2,576,453
2018-04-18	$29.58	$30.00	23.2%	6.6%	40.0%	32.7%	23.3%	2.7%	0.0%	82.7M	-1.25B	-23.7M	0.46	1.84	179,344	81,805	3,801,172	2,621,445
2018-04-19	$30.20	$30.00	23.4%	6.7%	40.9%	33.8%	23.2%	2.7%	-0.8%	164.9M	-2.21B	-24.3M	0.23	1.79	402,565	91,921	3,850,493	2,623,172
2018-04-20	$30.21	$30.00	23.4%	6.8%	38.2%	34.3%	23.5%	2.6%	-1.5%	102.7M	-2.29B	-24.1M	0.47	1.97	240,217	114,018	3,852,932	2,633,261
2018-04-23	$30.26	$30.00	22.4%	6.5%	34.2%	27.9%	22.7%	2.3%	-0.6%	108.3M	-2.16B	-23.7M	0.41	1.89	149,018	60,741	2,909,560	2,108,996
2018-04-24	$30.06	$30.00	23.8%	7.0%	30.5%	36.3%	24.0%	3.2%	-1.0%	99.8M	-1.99B	-24.0M	0.37	2.40	274,536	100,817	2,974,096	2,132,557
2018-04-25	$30.08	$30.00	23.7%	7.0%	28.1%	35.8%	21.5%	3.3%	-0.3%	100.8M	-1.98B	-23.9M	0.49	2.43	228,946	112,648	3,020,440	2,167,764
2018-04-26	$30.17	$30.00	21.7%	6.3%	28.0%	23.3%	19.1%	2.8%	0.3%	106.3M	-1.95B	-23.8M	0.57	2.04	146,316	82,834	3,105,732	2,222,373
2018-04-27	$30.14	$30.00	20.6%	6.1%	27.1%	16.7%	20.9%	3.0%	0.5%	89.4M	-1.94B	-23.3M	0.65	1.96	99,040	64,643	3,157,931	2,233,058
2018-04-30	$30.11	$30.00	20.4%	5.9%	25.7%	15.6%	20.3%	3.0%	-0.8%	86.2M	-1.84B	-22.9M	0.56	2.05	150,197	84,118	2,956,273	2,192,290