BAC Options History — June 2018

In June 2018, BAC traded between $28.33 and $30.20. ATM implied volatility averaged 21.8%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.1% (HV 20d: 21.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.37.

Notable Days

2018-06-25: Highest Volume — 661,813 contracts
2018-06-15: Largest IV spike — 7.0% change
2018-06-28: Highest IV Rank — 50.8%
2018-06-28: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.32	$28.33	$30.20	$29.37	$28.33
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	21.8%	18.8%	25.6%	20.6%	24.3%
Expected Move	6.5%	5.6%	7.6%	5.6%	7.2%
HV 20d	21.9%	16.8%	24.6%	22.9%	16.8%
HV 60d	25.5%	21.6%	28.1%	27.5%	21.6%
IV Rank	28.3%	10.8%	50.8%	21.2%	42.8%
IV Percentile	49.5%	7.5%	91.3%	28.6%	86.1%
Term Structure	0.3%	-0.7%	2.2%	-0.6%	-0.4%
VWIV	22.9%	19.5%	26.2%	19.5%	25.2%
Skew 25d	1.4%	0.5%	2.2%	2.1%	1.3%
Skew 10d	2.4%	0.7%	3.8%	3.5%	2.5%
Call IV 25d	21.4%	18.0%	25.2%	19.9%	24.4%
Put IV 25d	22.8%	19.6%	26.7%	22.0%	25.7%
Bid-Ask Spread %	2.54	1.98	3.95	2.16	3.26
Gamma HHI	0.14	0.10	0.48	0.11	0.10
Net GEX	126.1M	48.9M	486.4M	99.5M	53.1M
Net DEX	-1.32B	-2.39B	-478.7M	-1.05B	-478.7M
Net VEX	-24.0M	-25.5M	-23.0M	-24.0M	-24.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.17	0.58	0.36	0.39
Total Volume	356,241.143	188,347	661,813	252,134	479,515
Total OI	5,696,748.19	4,931,843	6,323,335	5,941,478	5,848,938

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
2018-06-01	$29.37	$30.00	20.6%	5.6%	22.9%	21.2%	19.5%	2.1%	-0.6%	99.5M	-1.05B	-24.0M	0.36	2.16	184,882	67,252	3,488,012	2,453,466
2018-06-04	$29.41	$30.00	20.0%	6.3%	22.7%	17.5%	21.6%	2.2%	0.0%	69.3M	-1.09B	-23.4M	0.52	1.98	123,891	64,456	3,260,506	2,409,732
2018-06-05	$29.15	$30.00	19.6%	6.2%	22.6%	15.3%	21.4%	1.6%	0.3%	49.0M	-738.9M	-23.0M	0.50	2.70	202,130	100,809	3,327,180	2,433,215
2018-06-06	$30.00	$30.00	19.5%	6.1%	24.6%	15.1%	21.4%	1.4%	0.4%	202.8M	-2.13B	-24.4M	0.27	2.29	396,099	105,734	3,440,880	2,478,695
2018-06-07	$30.13	$30.00	19.3%	6.2%	23.2%	14.0%	21.4%	1.7%	0.2%	237.6M	-2.39B	-24.5M	0.47	2.71	254,230	119,017	3,493,515	2,519,046
2018-06-08	$29.99	$30.00	18.8%	6.0%	23.1%	10.8%	20.7%	1.4%	0.4%	486.4M	-2.12B	-24.3M	0.49	2.60	160,044	77,646	3,547,237	2,556,464
2018-06-11	$30.20	$30.00	18.9%	6.0%	23.2%	11.3%	20.7%	1.8%	1.9%	154.4M	-2.27B	-24.0M	0.35	2.30	183,588	64,396	3,413,599	2,482,524
2018-06-12	$29.87	$30.00	19.0%	6.0%	23.3%	12.2%	21.8%	1.3%	2.2%	129.0M	-1.81B	-23.6M	0.58	2.01	143,882	83,726	3,455,709	2,501,528
2018-06-13	$29.94	$30.00	19.2%	6.1%	23.3%	12.9%	21.3%	1.1%	2.0%	134.3M	-1.91B	-23.5M	0.29	1.99	348,259	100,919	3,502,143	2,546,650
2018-06-14	$29.53	$30.00	20.2%	6.1%	23.7%	19.0%	21.6%	1.0%	1.4%	72.4M	-1.19B	-23.4M	0.32	2.28	302,549	96,951	3,609,401	2,569,394
2018-06-15	$29.27	$30.00	21.6%	6.5%	23.6%	27.3%	22.7%	0.5%	1.8%	80.9M	-934.4M	-23.7M	0.56	2.16	255,944	142,677	3,718,792	2,604,543
2018-06-18	$29.41	$30.00	21.9%	6.4%	23.3%	28.7%	22.6%	1.2%	-0.3%	101.6M	-1.44B	-23.8M	0.33	2.72	233,866	77,344	2,978,232	1,953,611
2018-06-19	$29.28	$30.00	22.8%	6.6%	23.1%	34.0%	22.9%	1.5%	-0.5%	93.4M	-1.30B	-23.9M	0.33	2.08	249,686	82,293	3,053,110	1,982,138
2018-06-20	$29.33	$30.00	23.2%	6.6%	22.4%	36.3%	23.4%	1.0%	-0.5%	119.5M	-1.43B	-24.2M	0.47	2.77	137,940	64,729	3,145,814	2,036,744
2018-06-21	$29.21	$30.00	24.0%	6.9%	21.5%	41.1%	24.0%	1.1%	-0.7%	100.6M	-1.29B	-24.1M	0.29	2.63	205,331	58,625	3,192,442	2,073,196
2018-06-22	$29.03	$30.00	24.1%	6.9%	21.6%	41.8%	24.1%	1.0%	-0.2%	106.9M	-1.06B	-24.0M	0.29	2.50	282,985	82,507	3,283,309	2,093,792
2018-06-25	$28.48	$30.00	25.3%	7.4%	22.4%	49.1%	25.8%	1.8%	-0.6%	48.9M	-554.4M	-23.4M	0.17	3.95	563,723	98,090	3,221,940	2,071,148
2018-06-26	$28.60	$30.00	24.4%	7.2%	18.4%	43.7%	25.7%	1.4%	-0.1%	77.9M	-807.4M	-24.0M	0.18	2.62	560,709	100,912	3,408,740	2,085,414
2018-06-27	$28.41	$30.00	25.5%	7.5%	17.2%	50.1%	26.2%	1.7%	-0.4%	95.4M	-684.1M	-24.6M	0.25	2.88	246,719	61,174	3,514,067	2,147,139
2018-06-28	$28.70	$30.00	25.6%	7.6%	16.9%	50.8%	26.0%	1.2%	-0.5%	134.4M	-1.10B	-25.5M	0.44	2.83	219,213	96,622	3,565,567	2,164,140
2018-06-29	$28.33	$30.00	24.3%	7.2%	16.8%	42.8%	25.2%	1.3%	-0.4%	53.1M	-478.7M	-24.5M	0.39	3.26	344,259	135,256	3,636,100	2,212,838