BAC Options History — December 2018

In December 2018, BAC traded between $22.81 and $28.47. ATM implied volatility averaged 34.5%, placing in the 85.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.0% (HV 20d: 31.5%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.33.

Notable Days

2018-12-26: Highest Volume — 933,308 contracts
2018-12-04: Largest IV spike — 33.1% change
2018-12-17: Highest IV Rank — 100.0%
2018-12-24: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.89	$22.81	$28.47	$28.47	$24.56
Max Pain	$27.25	$26.00	$29.00	$29.00	$26.00
ATM IV	34.5%	21.2%	45.0%	21.2%	34.9%
Expected Move	10.3%	6.3%	13.3%	6.3%	10.6%
HV 20d	31.5%	23.2%	37.7%	23.2%	35.9%
HV 60d	26.9%	23.1%	29.7%	23.1%	29.4%
IV Rank	85.1%	32.1%	100.0%	32.1%	66.1%
IV Percentile	95.3%	43.7%	100.0%	43.7%	96.4%
Term Structure	-0.2%	-3.4%	2.6%	0.3%	-0.9%
VWIV	36.0%	22.5%	44.8%	22.5%	36.5%
Skew 25d	6.5%	4.0%	9.8%	4.0%	7.2%
Skew 10d	13.1%	6.5%	20.4%	6.5%	15.9%
Call IV 25d	31.9%	19.9%	41.1%	19.9%	31.1%
Put IV 25d	38.4%	23.9%	51.0%	23.9%	38.3%
Bid-Ask Spread %	2.89	1.96	4.83	2.69	2.72
Gamma HHI	0.10	0.07	0.30	0.15	0.07
Net GEX	13.2M	-14.6M	100.8M	100.8M	5.9M
Net DEX	1.09B	-930.4M	1.83B	-930.4M	776.6M
Net VEX	-17.2M	-21.0M	-14.6M	-21.0M	-16.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.11	0.71	0.33	0.46
Total Volume	456,348.25	181,072	933,308	268,790	270,011
Total OI	5,838,729.6	5,316,193	6,220,059	5,626,945	5,366,837

Daily Data (20 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
2018-12-03	$28.47	$29.00	21.2%	6.3%	23.2%	32.1%	22.5%	4.0%	0.3%	100.8M	-930.4M	-21.0M	0.33	2.69	201,372	67,418	3,393,429	2,233,516
2018-12-04	$26.92	$29.00	28.3%	9.0%	30.5%	69.4%	31.0%	5.4%	0.5%	20.1M	552.9M	-19.6M	0.23	2.86	498,324	112,799	3,478,455	2,273,589
2018-12-05	$26.99	$29.00	28.9%	9.4%	30.5%	72.7%	32.4%	5.6%	-0.3%	22.8M	475.1M	-19.9M	0.22	4.83	523,161	116,460	3,478,455	2,273,589
2018-12-06	$26.26	$28.00	30.5%	9.4%	30.9%	81.0%	33.5%	5.6%	0.4%	11.4M	938.0M	-19.2M	0.55	2.84	276,171	152,975	3,691,798	2,318,856
2018-12-07	$25.65	$28.00	31.8%	9.4%	31.2%	88.0%	32.1%	5.7%	0.0%	2.1M	1.30B	-18.4M	0.28	1.96	141,964	39,108	3,739,064	2,282,955
2018-12-10	$24.84	$28.00	33.3%	9.9%	32.5%	96.3%	35.3%	6.0%	1.4%	-9.0M	1.59B	-17.0M	0.24	2.65	501,626	119,927	3,589,178	2,198,215
2018-12-11	$24.69	$27.00	31.9%	9.4%	31.4%	88.6%	35.0%	5.1%	0.9%	-6.0M	1.58B	-16.9M	0.24	2.06	390,443	94,122	3,710,570	2,205,717
2018-12-12	$24.59	$27.00	30.4%	9.0%	31.3%	80.6%	31.4%	5.0%	0.9%	52.2K	1.59B	-16.6M	0.37	2.06	486,471	179,366	3,830,207	2,186,275
2018-12-13	$24.35	$27.00	30.9%	9.5%	31.0%	83.6%	32.8%	5.4%	2.6%	6.4M	1.59B	-16.4M	0.19	2.42	321,080	61,657	3,957,583	2,178,257
2018-12-14	$24.44	$27.00	33.5%	10.0%	29.7%	96.9%	33.7%	5.5%	2.2%	-3.8M	1.47B	-16.8M	0.27	2.29	351,934	93,320	4,040,125	2,179,934
2018-12-17	$24.40	$27.00	36.5%	10.6%	29.7%	100.0%	37.6%	6.6%	-2.3%	1.1M	1.44B	-16.7M	0.60	2.60	126,670	76,553	3,747,246	2,163,439
2018-12-18	$24.59	$27.00	35.5%	10.2%	30.2%	95.2%	35.9%	6.6%	-0.2%	22.8M	1.09B	-17.1M	0.25	2.32	243,118	60,991	3,854,808	2,092,229
2018-12-19	$24.14	$27.00	36.3%	10.4%	30.5%	99.0%	35.3%	6.8%	-1.2%	3.9M	1.45B	-16.1M	0.29	2.58	366,509	106,417	3,935,345	2,111,997
2018-12-20	$24.09	$27.00	38.5%	11.1%	30.5%	100.0%	37.5%	7.4%	-1.6%	9.8M	1.40B	-16.3M	0.17	2.77	510,085	85,437	3,992,604	2,101,661
2018-12-21	$23.32	$27.00	41.9%	12.3%	31.8%	100.0%	44.3%	7.4%	-3.4%	-14.6M	1.83B	-15.4M	0.31	3.37	359,999	111,455	4,050,948	2,126,065
2018-12-24	$22.81	$27.00	45.0%	13.3%	29.9%	100.0%	44.8%	9.8%	-0.4%	-11.0M	1.67B	-14.6M	0.12	3.40	472,201	56,978	3,375,316	1,940,877
2018-12-26	$24.12	$26.00	40.1%	12.0%	37.7%	83.6%	41.6%	8.4%	-0.4%	53.3M	835.0M	-15.7M	0.11	4.18	837,573	95,735	3,520,443	1,937,886
2018-12-27	$24.20	$26.00	42.4%	12.9%	36.1%	91.2%	43.5%	8.6%	-1.6%	41.5M	598.2M	-17.1M	0.58	3.93	178,171	103,243	3,638,418	1,951,744
2018-12-28	$24.36	$26.00	38.4%	11.6%	36.5%	77.6%	42.4%	8.4%	-0.4%	5.7M	528.4M	-16.8M	0.71	3.34	195,993	140,128	3,655,622	1,971,340
2018-12-31	$24.56	$26.00	34.9%	10.6%	35.9%	66.1%	36.5%	7.2%	-0.9%	5.9M	776.6M	-16.6M	0.46	2.72	184,557	85,454	3,409,874	1,956,963