BAC Options History — March 2019

In March 2019, BAC traded between $26.85 and $29.82. ATM implied volatility averaged 22.1%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.5% (HV 20d: 17.6%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2019-03-22: Highest Volume — 579,496 contracts
2019-03-22: Largest IV spike — 13.8% change
2019-03-22: Highest IV Rank — 44.3%
2019-03-22: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.53	$26.85	$29.82	$29.39	$27.55
Max Pain	$27.90	$27.00	$29.00	$29.00	$27.00
ATM IV	22.1%	17.9%	28.4%	19.6%	23.9%
Expected Move	6.3%	5.2%	7.6%	5.2%	6.7%
HV 20d	17.6%	13.7%	23.9%	15.4%	23.9%
HV 60d	26.4%	24.9%	30.1%	30.1%	24.9%
IV Rank	23.3%	9.1%	44.3%	14.8%	29.2%
IV Percentile	47.2%	11.9%	82.9%	28.2%	66.3%
Term Structure	0.4%	-1.4%	3.0%	0.1%	-0.3%
VWIV	21.9%	18.6%	25.7%	18.6%	22.7%
Skew 25d	3.2%	2.1%	4.2%	2.7%	2.9%
Skew 10d	6.5%	4.8%	8.3%	5.7%	5.9%
Call IV 25d	20.8%	16.6%	27.1%	18.6%	22.7%
Put IV 25d	24.0%	18.7%	31.2%	21.3%	25.5%
Bid-Ask Spread %	2.72	1.96	4.21	2.46	3.11
Gamma HHI	0.14	0.09	0.52	0.13	0.52
Net GEX	92.5M	13.8M	325.0M	132.9M	325.0M
Net DEX	-1.05B	-1.98B	325.2M	-1.92B	-543.3M
Net VEX	-21.1M	-22.4M	-19.4M	-22.4M	-20.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.21	1.04	0.52	0.36
Total Volume	240,566.429	120,177	579,496	162,006	185,340
Total OI	4,314,013.429	3,918,611	4,583,918	4,342,116	4,583,918

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
2019-03-01	$29.39	$29.00	19.6%	5.2%	15.4%	14.8%	18.6%	2.7%	0.1%	132.9M	-1.92B	-22.4M	0.52	2.46	106,599	55,407	2,624,319	1,717,797
2019-03-04	$29.02	$29.00	21.1%	6.2%	16.2%	19.8%	21.6%	3.4%	0.2%	91.3M	-1.48B	-21.8M	0.52	4.21	141,230	73,019	2,551,154	1,637,911
2019-03-05	$29.18	$29.00	20.7%	5.6%	14.9%	18.4%	19.4%	3.5%	-0.1%	112.8M	-1.65B	-21.9M	0.43	2.56	135,025	57,705	2,617,852	1,670,767
2019-03-06	$28.85	$29.00	20.5%	5.7%	15.3%	17.7%	20.4%	3.0%	0.4%	75.1M	-1.26B	-21.8M	0.57	3.14	137,914	79,154	2,638,002	1,698,469
2019-03-07	$28.53	$29.00	21.8%	6.3%	15.9%	22.0%	21.8%	3.8%	0.4%	36.5M	-880.5M	-21.6M	0.31	2.35	175,880	53,714	2,647,780	1,736,423
2019-03-08	$28.59	$29.00	21.6%	5.7%	14.0%	21.6%	19.6%	3.7%	0.5%	59.5M	-1.01B	-21.9M	0.51	2.77	100,784	51,224	2,726,660	1,740,348
2019-03-11	$28.99	$27.00	20.2%	6.3%	14.8%	16.6%	21.0%	3.6%	2.0%	89.2M	-1.43B	-21.5M	0.38	2.50	118,543	44,883	2,599,962	1,676,819
2019-03-12	$28.99	$27.00	19.7%	6.2%	14.6%	15.2%	21.6%	3.6%	2.1%	89.5M	-1.40B	-21.4M	1.04	2.60	58,986	61,191	2,640,125	1,697,420
2019-03-13	$29.38	$27.00	17.9%	6.1%	14.9%	9.1%	21.1%	3.0%	3.0%	134.6M	-1.87B	-21.4M	0.40	2.34	173,832	69,514	2,650,687	1,719,595
2019-03-14	$29.54	$28.00	18.4%	5.8%	15.0%	10.9%	20.9%	2.7%	1.6%	142.6M	-1.98B	-21.6M	0.47	1.96	129,754	60,583	2,670,403	1,756,273
2019-03-15	$29.38	$28.00	18.4%	5.8%	14.6%	10.7%	19.4%	2.1%	2.4%	98.9M	-1.79B	-21.1M	0.59	2.83	121,007	71,402	2,703,294	1,777,494
2019-03-18	$29.82	$28.00	19.7%	5.7%	13.7%	15.1%	20.6%	2.9%	-0.5%	113.1M	-1.96B	-21.4M	0.74	2.73	152,529	113,540	2,363,864	1,554,747
2019-03-19	$29.57	$28.00	21.2%	5.9%	14.1%	20.0%	21.0%	2.9%	-0.8%	94.1M	-1.69B	-21.5M	0.40	2.92	181,902	72,685	2,408,897	1,619,696
2019-03-20	$28.76	$28.00	22.5%	6.2%	17.0%	24.4%	21.5%	3.0%	-0.2%	44.3M	-888.1M	-21.1M	0.48	3.59	222,820	106,229	2,457,796	1,641,171
2019-03-21	$28.22	$28.00	24.9%	6.7%	18.1%	32.7%	23.1%	2.4%	-0.8%	27.0M	-491.1M	-20.7M	0.42	2.88	222,045	92,248	2,531,432	1,640,062
2019-03-22	$26.99	$28.00	28.4%	7.6%	23.6%	44.3%	25.7%	4.1%	-1.4%	13.8M	325.2M	-19.8M	0.49	2.74	388,007	191,489	2,613,729	1,651,667
2019-03-25	$26.85	$27.00	27.5%	7.4%	23.2%	41.3%	25.2%	4.2%	-0.3%	18.0M	236.8M	-19.4M	0.21	2.32	358,020	73,900	2,598,542	1,621,965
2019-03-26	$27.10	$27.00	25.9%	7.2%	23.6%	36.0%	25.1%	3.0%	-0.3%	66.9M	-44.8M	-20.0M	0.75	2.50	136,490	102,703	2,779,600	1,645,137
2019-03-27	$27.12	$27.00	26.1%	7.2%	23.4%	36.4%	23.9%	3.5%	-0.3%	70.0M	-90.8M	-20.3M	0.46	2.33	132,676	60,487	2,796,554	1,655,360
2019-03-28	$27.35	$27.00	25.0%	7.1%	23.8%	32.8%	24.7%	2.9%	0.2%	107.0M	-276.0M	-20.4M	0.58	2.26	115,039	66,396	2,853,035	1,677,556
2019-03-29	$27.55	$27.00	23.9%	6.7%	23.9%	29.2%	22.7%	2.9%	-0.3%	325.0M	-543.3M	-20.3M	0.36	3.11	136,213	49,127	2,871,532	1,712,386