BAC Options History — May 2019

In May 2019, BAC traded between $26.62 and $30.72. ATM implied volatility averaged 23.7%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.0% (HV 20d: 22.7%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2019-05-29: Highest Volume — 303,489 contracts
2019-05-07: Largest IV spike — 25.5% change
2019-05-13: Highest IV Rank — 45.5%
2019-05-13: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.82	$26.62	$30.72	$30.35	$26.62
Max Pain	$28.39	$27.00	$29.00	$27.00	$28.00
ATM IV	23.7%	20.2%	28.8%	20.2%	28.0%
Expected Move	6.8%	5.6%	8.1%	6.0%	8.1%
HV 20d	22.7%	16.3%	28.1%	16.7%	28.0%
HV 60d	22.5%	19.9%	24.9%	20.2%	24.9%
IV Rank	28.5%	16.7%	45.5%	16.7%	43.0%
IV Percentile	61.5%	36.5%	86.5%	37.7%	84.9%
Term Structure	-0.0%	-0.8%	1.4%	0.1%	-0.5%
VWIV	24.0%	20.4%	30.1%	21.2%	30.1%
Skew 25d	5.0%	2.9%	6.8%	2.9%	5.7%
Skew 10d	9.5%	5.9%	13.6%	6.1%	11.3%
Call IV 25d	21.7%	18.4%	26.2%	19.1%	26.2%
Put IV 25d	26.6%	21.3%	32.2%	22.0%	31.9%
Bid-Ask Spread %	2.09	1.76	2.69	2.69	2.02
Gamma HHI	0.11	0.08	0.23	0.12	0.09
Net GEX	45.0M	-28.0M	147.0M	142.2M	-22.5M
Net DEX	-817.6M	-2.97B	950.2M	-2.58B	950.2M
Net VEX	-19.7M	-21.3M	-17.3M	-20.9M	-17.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.24	1.34	0.47	1.34
Total Volume	231,283.682	165,098	303,489	296,996	228,731
Total OI	4,532,251.773	4,091,427	4,868,766	4,570,372	4,471,743

Daily Data (22 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
2019-05-01	$30.35	$27.00	20.2%	6.0%	16.7%	16.7%	21.2%	2.9%	0.1%	142.2M	-2.58B	-20.9M	0.47	2.69	202,131	94,865	2,762,366	1,808,006
2019-05-02	$30.45	$27.00	20.8%	6.0%	16.6%	18.8%	21.3%	3.1%	0.5%	144.3M	-2.69B	-21.1M	0.31	2.19	176,388	55,298	2,789,400	1,840,521
2019-05-03	$30.72	$27.00	20.2%	5.6%	16.3%	16.7%	20.4%	2.9%	1.0%	147.0M	-2.97B	-20.8M	0.58	2.17	135,696	78,575	2,806,399	1,855,450
2019-05-06	$30.49	$28.00	21.4%	6.5%	16.5%	20.8%	22.9%	4.6%	0.2%	135.8M	-2.54B	-21.0M	0.78	2.02	98,956	77,082	2,672,772	1,823,929
2019-05-07	$29.71	$28.00	26.9%	7.3%	19.3%	39.1%	26.2%	6.2%	-0.5%	92.6M	-1.73B	-21.3M	0.77	2.08	146,045	112,286	2,704,344	1,848,996
2019-05-08	$29.90	$28.00	24.1%	6.9%	18.8%	29.7%	25.5%	5.6%	-0.4%	103.4M	-1.92B	-21.3M	1.00	2.50	108,612	108,868	2,759,977	1,899,965
2019-05-09	$29.72	$29.00	25.1%	6.9%	18.7%	33.1%	25.4%	6.2%	-0.0%	70.7M	-1.64B	-21.3M	0.82	2.00	113,257	93,198	2,801,554	1,964,256
2019-05-10	$29.55	$29.00	23.2%	6.5%	18.8%	26.9%	23.6%	5.0%	-0.0%	-28.0M	-1.43B	-21.0M	0.50	2.21	142,045	71,058	2,842,740	2,008,063
2019-05-13	$28.12	$29.00	28.8%	8.1%	22.6%	45.5%	27.1%	6.8%	-0.2%	24.3M	-158.0M	-20.0M	0.57	2.23	187,269	106,919	2,684,031	1,930,530
2019-05-14	$28.70	$29.00	24.7%	6.8%	23.9%	31.8%	24.3%	5.7%	-0.8%	39.0M	-669.6M	-20.0M	0.45	2.02	149,901	67,142	2,768,025	1,965,262
2019-05-15	$28.30	$29.00	23.1%	6.8%	24.2%	26.3%	23.4%	5.6%	1.0%	14.5M	-232.5M	-19.5M	0.26	1.76	230,463	59,548	2,795,753	1,986,821
2019-05-16	$28.61	$28.00	22.0%	6.2%	24.4%	22.9%	21.8%	4.8%	-0.6%	46.7M	-467.3M	-19.4M	0.29	1.81	134,013	39,360	2,844,663	2,010,662
2019-05-17	$28.37	$29.00	22.6%	6.7%	24.5%	24.7%	22.5%	5.1%	1.4%	909.8K	-196.2M	-19.3M	0.49	1.89	132,190	65,233	2,852,360	2,016,406
2019-05-20	$28.40	$29.00	23.2%	6.7%	24.5%	27.0%	25.2%	4.8%	0.0%	16.6M	-211.0M	-19.0M	0.68	2.06	116,539	79,376	2,355,200	1,736,227
2019-05-21	$28.68	$29.00	21.7%	6.2%	24.8%	21.9%	21.1%	4.6%	0.1%	41.4M	-417.1M	-19.1M	0.55	1.95	148,936	82,002	2,424,491	1,771,033
2019-05-22	$28.53	$29.00	22.0%	6.3%	24.8%	22.7%	21.6%	3.9%	0.2%	45.8M	-315.1M	-19.1M	0.72	2.06	122,037	88,339	2,504,396	1,816,067
2019-05-23	$27.63	$29.00	25.6%	7.3%	26.8%	34.7%	24.8%	5.3%	-0.1%	-21.3M	409.3M	-18.6M	0.46	2.16	201,999	92,048	2,543,421	1,832,365
2019-05-24	$28.20	$28.00	23.1%	6.6%	28.1%	26.6%	23.7%	5.0%	0.4%	11.7M	-104.7M	-19.1M	1.25	1.99	80,351	100,507	2,611,882	1,835,581
2019-05-28	$27.98	$28.50	23.8%	6.8%	27.0%	28.8%	24.2%	4.4%	-0.5%	-3.2M	86.3M	-18.5M	0.24	1.90	133,156	31,942	2,367,685	1,790,547
2019-05-29	$27.80	$28.50	24.6%	7.0%	26.9%	31.6%	24.7%	5.5%	-0.8%	-205.3K	214.9M	-18.3M	0.25	2.32	242,862	60,627	2,433,476	1,795,882
2019-05-30	$27.14	$28.50	26.5%	7.6%	27.8%	37.9%	27.2%	5.2%	-0.5%	-11.8M	629.0M	-17.8M	0.41	1.92	206,909	85,482	2,551,572	1,824,720
2019-05-31	$26.62	$28.00	28.0%	8.1%	28.0%	43.0%	30.1%	5.7%	-0.5%	-22.5M	950.2M	-17.3M	1.34	2.02	97,729	131,002	2,614,280	1,857,463