BAC Options History — October 2018

In October 2018, BAC traded between $26.40 and $30.38. ATM implied volatility averaged 25.7%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.5% (HV 20d: 21.1%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.40.

Notable Days

2018-10-23: Highest Volume — 968,230 contracts
2018-10-16: Largest IV drop — 16.1% change
2018-10-29: Highest IV Rank — 90.2%
2018-10-29: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.41	$26.40	$30.38	$29.59	$27.69
Max Pain	$29.52	$29.00	$30.00	$30.00	$29.00
ATM IV	25.7%	21.2%	32.2%	21.5%	27.1%
Expected Move	7.6%	6.2%	10.2%	6.3%	8.4%
HV 20d	21.1%	16.2%	28.1%	16.5%	28.1%
HV 60d	18.3%	16.3%	20.8%	19.8%	20.8%
IV Rank	55.6%	31.7%	90.2%	33.5%	63.2%
IV Percentile	83.0%	49.6%	98.8%	56.0%	89.3%
Term Structure	-0.1%	-1.3%	0.6%	0.6%	0.5%
VWIV	26.3%	21.8%	35.2%	21.8%	28.9%
Skew 25d	3.8%	1.2%	5.8%	1.5%	5.5%
Skew 10d	7.3%	2.3%	12.1%	2.8%	10.2%
Call IV 25d	24.3%	21.0%	30.0%	21.0%	24.6%
Put IV 25d	28.1%	22.2%	35.8%	22.5%	30.0%
Bid-Ask Spread %	2.26	1.63	3.28	2.43	2.25
Gamma HHI	0.12	0.08	0.33	0.10	0.13
Net GEX	84.2M	7.5M	213.9M	69.7M	154.7M
Net DEX	-534.8M	-2.53B	925.6M	-1.24B	-935.4M
Net VEX	-21.8M	-23.7M	-19.5M	-21.8M	-23.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.15	0.84	0.39	0.54
Total Volume	519,822.87	234,103	968,230	298,826	431,287
Total OI	5,794,256.957	5,225,042	6,280,607	5,225,042	6,280,607

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
2018-10-01	$29.59	$30.00	21.5%	6.3%	16.5%	33.5%	21.8%	1.5%	0.6%	69.7M	-1.24B	-21.8M	0.39	2.43	215,759	83,067	3,154,545	2,070,497
2018-10-02	$29.55	$30.00	21.2%	6.3%	16.2%	31.7%	21.8%	1.2%	0.6%	81.9M	-1.21B	-22.1M	0.29	2.44	217,398	63,471	3,265,983	2,081,083
2018-10-03	$30.02	$30.00	21.7%	6.6%	17.4%	34.6%	22.7%	1.6%	0.2%	161.6M	-1.93B	-22.4M	0.23	2.42	327,535	75,865	3,343,544	2,107,315
2018-10-04	$30.38	$30.00	23.1%	6.7%	17.8%	41.7%	22.9%	2.4%	0.3%	208.3M	-2.53B	-23.7M	0.37	1.96	334,256	122,535	3,443,933	2,128,091
2018-10-05	$30.11	$30.00	23.4%	6.6%	18.0%	43.6%	22.8%	2.6%	0.2%	213.9M	-2.08B	-23.2M	0.46	2.09	205,820	93,754	3,455,259	2,168,017
2018-10-08	$30.34	$30.00	23.0%	6.6%	18.2%	41.3%	22.9%	3.0%	0.2%	139.7M	-2.21B	-22.7M	0.47	2.04	171,223	80,660	3,266,926	2,119,815
2018-10-09	$29.95	$30.00	23.7%	6.7%	18.7%	45.1%	23.3%	2.7%	-0.3%	112.6M	-1.70B	-22.6M	0.42	1.79	165,321	68,782	3,329,334	2,154,599
2018-10-10	$29.42	$30.00	27.2%	7.7%	19.1%	63.9%	26.5%	3.6%	-0.2%	76.4M	-1.07B	-22.7M	0.45	2.17	295,090	132,126	3,388,574	2,167,690
2018-10-11	$28.48	$30.00	30.4%	8.6%	21.8%	80.9%	28.5%	3.6%	-0.7%	27.2M	-80.6M	-21.3M	0.28	2.34	689,170	192,631	3,461,493	2,186,982
2018-10-12	$28.34	$30.00	29.3%	8.3%	21.6%	75.0%	27.9%	4.3%	-0.6%	21.4M	52.3M	-21.4M	0.30	1.92	614,623	184,287	3,664,605	2,209,426
2018-10-15	$28.19	$30.00	25.7%	7.3%	21.6%	55.9%	24.7%	4.1%	-0.5%	15.7M	160.8M	-20.7M	0.20	2.59	674,828	137,739	3,566,165	2,218,268
2018-10-16	$28.53	$30.00	21.6%	6.2%	22.2%	34.0%	21.9%	3.5%	0.4%	71.2M	-390.0M	-20.8M	0.84	1.81	327,369	273,885	3,737,115	2,223,364
2018-10-17	$28.83	$29.00	22.1%	6.3%	19.8%	36.8%	22.2%	3.9%	-0.7%	127.9M	-809.5M	-21.8M	0.48	2.20	299,324	143,181	3,849,339	2,320,135
2018-10-18	$28.29	$29.00	24.3%	7.0%	20.2%	48.3%	24.4%	3.8%	-1.3%	35.6M	-97.4M	-21.3M	0.48	1.63	346,932	165,124	3,892,388	2,316,986
2018-10-19	$28.36	$29.00	23.4%	6.8%	20.3%	43.4%	23.3%	4.1%	-1.3%	171.6M	-220.5M	-21.2M	0.49	2.23	282,475	138,267	3,944,082	2,331,718
2018-10-22	$27.38	$29.00	25.0%	7.4%	23.0%	51.9%	25.4%	4.5%	-0.1%	8.0M	462.7M	-19.5M	0.23	2.36	494,192	113,249	3,209,722	2,161,057
2018-10-23	$27.09	$29.00	26.7%	8.0%	22.9%	61.2%	28.2%	4.8%	-0.0%	16.5M	633.9M	-20.1M	0.21	2.38	802,718	165,512	3,439,518	2,196,832
2018-10-24	$26.40	$29.00	29.2%	8.9%	23.6%	74.2%	33.3%	5.4%	0.1%	14.1M	925.6M	-20.5M	0.15	2.36	735,938	109,081	3,739,326	2,204,162
2018-10-25	$26.79	$29.00	27.7%	8.5%	24.8%	66.4%	30.1%	5.0%	0.2%	86.9M	429.1M	-21.6M	0.83	2.41	168,771	139,641	3,864,986	2,228,757
2018-10-26	$26.45	$29.00	30.5%	9.4%	24.6%	81.3%	33.1%	5.2%	-0.2%	7.5M	735.8M	-21.7M	0.21	3.28	673,480	143,135	3,903,745	2,285,209
2018-10-29	$26.41	$29.00	32.2%	10.2%	24.4%	90.2%	35.2%	5.8%	-0.4%	45.9M	501.3M	-22.2M	0.54	2.51	247,392	133,509	3,747,832	2,266,347
2018-10-30	$26.73	$29.00	30.2%	9.6%	25.2%	79.9%	32.6%	5.8%	0.4%	67.5M	310.8M	-22.2M	0.32	2.27	360,863	114,661	3,864,168	2,308,371
2018-10-31	$27.69	$29.00	27.1%	8.4%	28.1%	63.2%	28.9%	5.5%	0.5%	154.7M	-935.4M	-23.6M	0.54	2.25	280,437	150,850	3,949,772	2,330,835