BAC Options History — May 2018

In May 2018, BAC traded between $28.95 and $31.15. ATM implied volatility averaged 19.5%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.2% (HV 20d: 19.7%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.48.

Notable Days

2018-05-29: Highest Volume — 685,240 contracts
2018-05-29: Largest IV spike — 25.7% change
2018-05-29: Highest IV Rank — 35.5%
2018-05-29: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.18	$28.95	$31.15	$29.85	$29.02
Max Pain	$29.68	$29.00	$30.00	$30.00	$30.00
ATM IV	19.5%	17.0%	23.0%	20.0%	22.3%
Expected Move	5.6%	4.8%	6.8%	5.8%	6.3%
HV 20d	19.7%	14.1%	25.7%	25.7%	23.3%
HV 60d	26.9%	26.0%	30.0%	30.0%	27.4%
IV Rank	11.2%	0.0%	35.5%	12.7%	31.3%
IV Percentile	16.6%	0.0%	72.6%	17.1%	61.5%
Term Structure	0.3%	-0.9%	1.4%	-0.1%	-0.9%
VWIV	19.9%	17.2%	24.0%	21.4%	22.1%
Skew 25d	2.5%	1.9%	3.2%	3.2%	2.3%
Skew 10d	4.6%	3.2%	5.9%	5.9%	4.0%
Call IV 25d	18.4%	16.4%	22.3%	18.5%	22.0%
Put IV 25d	20.9%	18.4%	24.7%	21.7%	24.2%
Bid-Ask Spread %	2.11	1.60	2.76	2.56	2.76
Gamma HHI	0.14	0.08	0.45	0.09	0.09
Net GEX	114.1M	16.2M	390.4M	69.2M	39.5M
Net DEX	-2.01B	-3.25B	-471.4M	-1.47B	-519.2M
Net VEX	-23.2M	-23.8M	-22.1M	-22.7M	-23.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.24	1.06	0.39	0.37
Total Volume	358,342.591	233,246	685,240	270,493	371,749
Total OI	5,579,111	5,134,485	5,984,980	5,275,246	5,792,099

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
2018-05-01	$29.85	$30.00	20.0%	5.8%	25.7%	12.7%	21.4%	3.2%	-0.1%	69.2M	-1.47B	-22.7M	0.39	2.56	194,903	75,590	3,045,645	2,229,601
2018-05-02	$29.67	$30.00	20.0%	5.9%	25.4%	13.0%	19.8%	2.7%	0.0%	63.6M	-1.32B	-22.2M	0.47	2.11	159,163	74,083	3,117,075	2,264,462
2018-05-03	$29.14	$29.00	21.9%	6.4%	25.3%	25.0%	22.1%	3.0%	-0.2%	16.2M	-775.1M	-22.1M	0.37	2.10	431,364	160,399	3,191,793	2,289,378
2018-05-04	$29.35	$29.00	20.6%	6.1%	23.0%	16.5%	21.1%	2.7%	0.0%	43.1M	-1.04B	-22.5M	0.44	1.89	199,823	87,697	3,321,728	2,343,236
2018-05-07	$29.65	$29.00	20.1%	5.7%	22.1%	13.4%	20.2%	2.6%	-0.1%	62.1M	-1.40B	-22.7M	0.42	1.75	187,766	78,472	3,119,481	2,308,551
2018-05-08	$29.98	$29.00	19.4%	5.8%	21.9%	9.5%	20.2%	2.9%	0.6%	109.3M	-1.86B	-23.0M	0.58	1.79	157,950	91,665	3,208,252	2,348,603
2018-05-09	$30.68	$29.00	19.2%	5.6%	22.6%	8.2%	20.3%	2.4%	0.2%	181.7M	-2.84B	-23.6M	1.06	2.26	229,502	244,119	3,246,308	2,378,132
2018-05-10	$30.87	$29.00	18.7%	5.5%	20.9%	4.7%	19.5%	2.5%	0.7%	194.2M	-3.14B	-23.8M	0.48	2.13	250,370	119,900	3,270,624	2,438,321
2018-05-11	$30.93	$29.00	18.1%	5.3%	17.1%	1.3%	18.7%	2.5%	0.7%	390.4M	-3.21B	-23.4M	0.27	1.60	217,060	58,340	3,318,409	2,453,189
2018-05-14	$31.14	$30.00	18.2%	5.3%	16.7%	1.7%	18.8%	2.5%	0.2%	183.1M	-3.25B	-23.0M	0.86	1.80	175,356	151,601	3,179,279	2,361,112
2018-05-15	$31.15	$30.00	19.3%	5.6%	16.7%	8.4%	19.7%	2.6%	0.2%	164.7M	-3.24B	-23.6M	0.73	2.41	206,293	150,987	3,253,638	2,405,172
2018-05-16	$31.08	$30.00	18.2%	5.2%	15.0%	2.0%	18.1%	2.0%	0.1%	181.0M	-3.22B	-23.5M	0.43	1.72	227,416	97,144	3,344,285	2,448,139
2018-05-17	$30.74	$30.00	18.3%	5.2%	14.1%	2.4%	18.8%	2.4%	0.6%	135.7M	-2.58B	-23.4M	0.55	2.10	191,439	105,552	3,447,789	2,464,817
2018-05-18	$30.31	$30.00	19.0%	5.5%	15.1%	6.9%	19.3%	1.9%	-0.0%	76.8M	-2.02B	-23.3M	0.73	1.75	166,986	122,004	3,491,958	2,493,022
2018-05-21	$30.53	$30.00	17.9%	5.0%	15.3%	0.0%	17.6%	2.2%	0.8%	102.3M	-2.27B	-23.4M	0.24	1.89	224,264	54,876	2,938,553	2,195,932
2018-05-22	$30.95	$30.00	17.0%	4.8%	15.7%	0.0%	17.2%	2.0%	1.4%	169.3M	-2.85B	-23.4M	0.32	2.32	201,553	65,454	3,022,550	2,219,791
2018-05-23	$30.36	$30.00	18.7%	5.3%	17.4%	10.2%	18.7%	2.4%	1.0%	88.6M	-2.06B	-23.3M	0.39	2.16	314,115	123,193	3,081,553	2,237,668
2018-05-24	$30.20	$30.00	18.7%	5.2%	17.5%	10.3%	18.4%	2.2%	0.9%	79.8M	-1.86B	-23.4M	0.47	2.45	264,970	123,615	3,224,015	2,282,228
2018-05-25	$30.05	$30.00	18.3%	5.0%	17.5%	8.0%	18.0%	2.2%	0.8%	51.2M	-1.64B	-23.4M	0.42	2.33	241,661	101,714	3,306,498	2,338,167
2018-05-29	$28.95	$30.00	23.0%	6.8%	22.0%	35.5%	23.8%	2.4%	-0.3%	17.4M	-471.4M	-22.8M	0.38	2.49	497,086	188,154	3,164,176	2,329,202
2018-05-30	$29.46	$30.00	21.1%	5.8%	22.8%	24.6%	24.0%	2.5%	-0.7%	90.8M	-1.25B	-23.5M	0.24	2.10	402,390	95,799	3,437,705	2,388,306
2018-05-31	$29.02	$30.00	22.3%	6.3%	23.3%	31.3%	22.1%	2.3%	-0.9%	39.5M	-519.2M	-23.5M	0.37	2.76	271,896	99,853	3,367,730	2,424,369