BAC Options History — August 2018

In August 2018, BAC traded between $30.37 and $31.90. ATM implied volatility averaged 17.2%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.7% (HV 20d: 18.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.48.

Notable Days

2018-08-27: Highest Volume — 418,303 contracts
2018-08-09: Largest IV spike — 9.1% change
2018-08-13: Highest IV Rank — 23.4%
2018-08-15: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.12	$30.37	$31.90	$31.37	$30.93
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	17.2%	15.2%	19.6%	17.8%	17.1%
Expected Move	4.9%	4.5%	5.7%	5.0%	4.7%
HV 20d	18.9%	15.3%	24.8%	24.5%	15.3%
HV 60d	21.2%	19.2%	22.3%	22.1%	19.2%
IV Rank	9.0%	0.0%	23.4%	4.9%	10.0%
IV Percentile	4.4%	0.0%	23.0%	1.6%	4.8%
Term Structure	0.2%	-0.9%	0.7%	-0.2%	0.4%
VWIV	17.6%	15.8%	19.4%	18.3%	17.3%
Skew 25d	2.1%	1.6%	2.9%	1.6%	2.4%
Skew 10d	4.0%	3.0%	6.8%	3.0%	4.4%
Call IV 25d	16.4%	14.3%	18.9%	17.3%	16.2%
Put IV 25d	18.5%	16.4%	20.9%	18.9%	18.6%
Bid-Ask Spread %	2.03	1.74	2.65	1.99	2.51
Gamma HHI	0.15	0.09	0.30	0.14	0.12
Net GEX	182.5M	95.4M	379.4M	235.9M	126.4M
Net DEX	-3.25B	-4.56B	-2.27B	-4.09B	-2.52B
Net VEX	-24.7M	-25.7M	-24.1M	-25.3M	-24.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.23	0.82	0.49	0.42
Total Volume	268,652.043	128,071	418,303	418,296	278,554
Total OI	5,564,004.739	4,993,473	6,123,102	5,652,807	5,549,891

Daily Data (23 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
2018-08-01	$31.37	$30.00	17.8%	5.0%	24.5%	4.9%	18.3%	1.6%	-0.2%	235.9M	-4.09B	-25.3M	0.49	1.99	279,791	138,505	3,423,822	2,228,985
2018-08-02	$31.28	$30.00	17.7%	5.1%	24.8%	4.5%	18.3%	2.1%	0.2%	198.1M	-3.84B	-25.7M	0.47	1.86	198,611	93,612	3,431,903	2,282,100
2018-08-03	$31.49	$30.00	17.0%	4.8%	24.7%	0.3%	17.4%	1.8%	0.3%	379.4M	-4.22B	-25.1M	0.23	1.84	266,606	61,866	3,471,076	2,310,252
2018-08-06	$31.53	$30.00	16.7%	4.8%	22.0%	0.0%	17.7%	2.2%	-0.0%	187.6M	-4.06B	-24.9M	0.61	1.74	121,659	74,761	3,287,505	2,253,125
2018-08-07	$31.58	$30.00	16.0%	4.6%	21.7%	0.0%	17.3%	2.2%	0.1%	201.1M	-4.10B	-24.4M	0.56	1.90	142,703	79,399	3,316,615	2,285,012
2018-08-08	$31.90	$30.00	15.2%	4.5%	21.4%	0.0%	15.8%	2.0%	0.3%	242.2M	-4.56B	-24.4M	0.57	1.80	197,077	111,961	3,341,263	2,303,605
2018-08-09	$31.62	$30.00	16.6%	4.8%	21.9%	7.4%	16.9%	1.7%	-0.1%	194.3M	-4.10B	-24.5M	0.50	1.83	192,831	97,123	3,394,860	2,340,999
2018-08-10	$31.21	$30.00	18.0%	5.2%	22.1%	15.1%	18.3%	1.8%	0.0%	145.3M	-3.47B	-24.9M	0.82	1.88	207,220	170,884	3,485,607	2,390,433
2018-08-13	$30.52	$30.00	19.6%	5.4%	17.9%	23.4%	19.0%	1.8%	-0.9%	106.7M	-2.50B	-24.9M	0.47	2.39	199,878	93,163	3,413,692	2,367,941
2018-08-14	$30.84	$30.00	18.1%	5.2%	18.0%	15.2%	18.1%	2.0%	-0.0%	135.2M	-2.96B	-24.9M	0.34	1.87	168,039	56,657	3,453,473	2,376,011
2018-08-15	$30.37	$30.00	19.3%	5.7%	18.9%	21.7%	19.4%	2.9%	0.7%	95.4M	-2.27B	-24.8M	0.44	1.88	273,601	119,495	3,519,580	2,382,633
2018-08-16	$30.75	$30.00	18.1%	5.1%	18.6%	15.4%	17.5%	2.2%	-0.3%	215.4M	-2.98B	-25.3M	0.27	1.89	192,669	52,254	3,658,575	2,413,253
2018-08-17	$30.78	$30.00	17.1%	5.0%	18.0%	10.3%	18.1%	2.4%	0.4%	117.0M	-2.93B	-25.2M	0.33	2.11	160,596	52,982	3,692,738	2,430,364
2018-08-20	$30.90	$30.00	17.1%	4.9%	16.3%	10.0%	18.5%	2.9%	0.4%	135.4M	-2.62B	-24.6M	0.30	2.00	170,140	51,170	3,003,524	1,989,949
2018-08-21	$31.12	$30.00	16.7%	4.8%	16.5%	8.2%	17.1%	2.6%	-0.1%	184.1M	-3.02B	-24.7M	0.45	2.65	141,235	63,961	3,095,455	2,027,924
2018-08-22	$31.00	$30.00	16.5%	4.7%	16.2%	7.1%	17.2%	2.3%	0.5%	175.1M	-2.85B	-24.6M	0.44	2.14	133,080	57,945	3,143,150	2,051,629
2018-08-23	$30.83	$30.00	16.7%	4.8%	16.2%	7.9%	16.9%	2.2%	0.5%	152.0M	-2.59B	-24.4M	0.44	2.02	142,693	62,892	3,193,903	2,063,728
2018-08-24	$30.90	$30.00	16.1%	4.6%	16.1%	5.0%	16.9%	2.0%	0.6%	267.6M	-2.70B	-24.1M	0.75	2.29	73,213	54,858	3,256,051	2,088,735
2018-08-27	$31.38	$30.00	17.0%	4.9%	16.9%	9.6%	17.1%	1.9%	0.2%	171.5M	-3.25B	-24.3M	0.29	2.15	324,918	93,385	3,078,942	2,042,393
2018-08-28	$31.28	$30.00	17.1%	4.9%	16.2%	10.3%	17.3%	2.2%	0.2%	194.1M	-3.17B	-24.7M	0.55	2.12	106,335	58,416	3,214,791	2,080,279
2018-08-29	$31.23	$30.00	17.0%	4.7%	15.3%	9.3%	17.3%	2.0%	0.3%	187.6M	-3.10B	-24.1M	0.67	1.81	211,794	140,987	3,246,772	2,098,491
2018-08-30	$31.00	$30.00	17.5%	5.0%	15.5%	12.2%	17.7%	2.1%	0.4%	150.6M	-2.76B	-24.9M	0.60	2.12	131,160	78,318	3,332,770	2,158,310
2018-08-31	$30.93	$30.00	17.1%	4.7%	15.3%	10.0%	17.3%	2.4%	0.4%	126.4M	-2.52B	-24.6M	0.42	2.51	196,232	82,322	3,357,927	2,191,964