BAC Options History — November 2018

In November 2018, BAC traded between $26.97 and $28.83. ATM implied volatility averaged 25.9%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.1% (HV 20d: 25.9%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.55.

Notable Days

2018-11-14: Highest Volume — 470,215 contracts
2018-11-12: Largest IV spike — 15.8% change
2018-11-20: Highest IV Rank — 77.3%
2018-11-20: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.92	$26.97	$28.83	$27.79	$28.58
Max Pain	$29.00	$29.00	$29.00	$29.00	$29.00
ATM IV	25.9%	22.6%	29.7%	25.7%	23.5%
Expected Move	7.5%	6.5%	8.5%	7.8%	7.1%
HV 20d	25.9%	22.4%	28.2%	27.6%	23.1%
HV 60d	21.4%	20.2%	23.1%	20.7%	23.1%
IV Rank	56.6%	39.1%	77.3%	55.9%	44.2%
IV Percentile	82.9%	65.5%	95.6%	86.9%	71.0%
Term Structure	-0.2%	-2.5%	0.9%	0.4%	0.2%
VWIV	26.5%	23.5%	30.7%	28.9%	26.1%
Skew 25d	5.0%	4.4%	6.2%	4.8%	4.4%
Skew 10d	9.8%	8.0%	12.2%	9.9%	8.3%
Call IV 25d	23.8%	20.7%	27.1%	24.1%	21.6%
Put IV 25d	28.9%	25.4%	33.3%	28.9%	26.0%
Bid-Ask Spread %	2.86	2.35	4.58	2.57	3.05
Gamma HHI	0.14	0.10	0.20	0.15	0.18
Net GEX	90.6M	-9.8M	175.1M	143.5M	164.9M
Net DEX	-611.1M	-1.64B	484.8M	-1.03B	-1.61B
Net VEX	-22.3M	-23.9M	-20.3M	-23.9M	-21.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.23	0.94	0.88	0.23
Total Volume	270,603.619	146,006	470,215	209,537	313,960
Total OI	5,986,405.571	5,465,304	6,347,083	6,312,267	5,913,802

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
2018-11-01	$27.79	$29.00	25.7%	7.8%	27.6%	55.9%	28.9%	4.8%	0.4%	143.5M	-1.03B	-23.9M	0.88	2.57	111,299	98,238	3,950,444	2,361,823
2018-11-02	$27.83	$29.00	26.6%	8.1%	27.6%	60.4%	30.7%	5.5%	0.2%	144.7M	-1.10B	-23.7M	0.59	3.30	177,285	104,756	3,950,335	2,396,748
2018-11-05	$28.13	$29.00	27.5%	7.8%	27.8%	65.2%	27.3%	5.2%	-0.2%	74.8M	-913.9M	-23.8M	0.94	2.59	106,354	99,733	3,676,495	2,283,190
2018-11-06	$28.07	$29.00	26.8%	7.7%	27.6%	61.6%	27.1%	4.8%	-0.2%	76.6M	-801.5M	-23.8M	0.75	2.37	114,732	85,858	3,708,030	2,340,213
2018-11-07	$28.56	$29.00	23.0%	6.5%	28.0%	41.4%	23.5%	4.7%	0.1%	107.0M	-1.32B	-23.5M	0.45	2.42	230,893	102,888	3,745,921	2,372,732
2018-11-08	$28.83	$29.00	22.6%	6.6%	25.7%	39.1%	24.5%	4.8%	0.3%	150.7M	-1.64B	-23.8M	0.45	2.70	264,038	119,524	3,813,551	2,393,588
2018-11-09	$28.60	$29.00	24.1%	6.8%	25.8%	47.2%	25.7%	5.0%	0.3%	113.5M	-1.26B	-23.7M	0.70	2.64	126,979	89,216	3,865,518	2,425,715
2018-11-12	$27.75	$29.00	27.9%	7.8%	27.9%	67.4%	26.9%	5.0%	-0.6%	45.9M	-235.7M	-22.3M	0.29	3.27	177,423	52,085	3,709,225	2,330,334
2018-11-13	$27.79	$29.00	26.4%	7.6%	27.6%	59.3%	25.5%	5.0%	0.2%	52.4M	-257.8M	-22.1M	0.63	2.35	89,717	56,289	3,809,148	2,338,655
2018-11-14	$27.31	$29.00	27.9%	8.2%	27.7%	67.5%	27.0%	5.2%	0.9%	32.9M	239.4M	-21.8M	0.67	2.43	282,099	188,116	3,851,111	2,353,974
2018-11-15	$27.86	$29.00	26.7%	7.7%	28.2%	61.3%	27.0%	5.2%	0.3%	83.7M	-370.3M	-22.2M	0.47	2.53	137,003	63,885	3,920,775	2,345,239
2018-11-16	$27.82	$29.00	25.1%	7.3%	28.1%	52.9%	26.1%	5.2%	0.6%	53.8M	-305.1M	-22.1M	0.36	3.22	228,512	81,144	3,945,902	2,360,703
2018-11-19	$27.67	$29.00	27.1%	7.7%	25.2%	62.9%	26.9%	5.4%	-1.0%	49.4M	-212.7M	-21.5M	0.49	3.12	184,757	89,930	3,289,651	2,175,653
2018-11-20	$27.52	$29.00	29.7%	8.5%	24.9%	77.3%	29.0%	6.2%	-1.5%	47.8M	-132.2M	-21.8M	0.50	3.27	283,095	140,654	3,400,972	2,207,072
2018-11-21	$27.33	$29.00	26.8%	7.7%	23.1%	61.8%	26.4%	5.4%	-1.0%	39.6M	109.6M	-20.8M	0.58	2.78	131,705	75,902	3,477,814	2,254,016
2018-11-23	$26.97	$29.00	28.1%	8.2%	23.1%	68.8%	28.1%	5.0%	-2.5%	-9.8M	484.8M	-20.3M	0.29	4.58	269,047	77,231	3,534,369	2,274,625
2018-11-26	$27.64	$29.00	25.7%	7.7%	24.1%	55.6%	25.8%	5.2%	-0.1%	90.0M	-187.8M	-20.9M	0.59	2.87	146,753	87,032	3,399,026	2,215,145
2018-11-27	$27.73	$29.00	25.1%	7.5%	24.1%	52.7%	25.7%	4.6%	-0.0%	110.4M	-328.7M	-20.9M	0.68	2.43	120,600	82,132	3,462,292	2,233,917
2018-11-28	$28.41	$29.00	22.9%	6.9%	25.1%	40.9%	24.6%	4.4%	0.0%	156.5M	-1.17B	-21.9M	0.44	2.84	215,468	95,612	3,493,092	2,272,950
2018-11-29	$28.11	$29.00	23.8%	7.2%	22.4%	45.5%	24.3%	4.5%	-0.3%	175.1M	-798.4M	-21.3M	0.54	2.75	117,242	63,490	3,552,021	2,308,731
2018-11-30	$28.58	$29.00	23.5%	7.1%	23.1%	44.2%	26.1%	4.4%	0.2%	164.9M	-1.61B	-21.9M	0.23	3.05	254,381	59,579	3,597,287	2,316,515