BAC Options History — July 2019

In July 2019, BAC traded between $28.96 and $30.87. ATM implied volatility averaged 21.0%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.9% (HV 20d: 18.1%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2019-07-17: Highest Volume — 428,592 contracts
2019-07-17: Largest IV drop — 11.1% change
2019-07-15: Highest IV Rank — 26.8%
2019-07-12: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.71	$28.96	$30.87	$29.43	$30.87
Max Pain	$28.36	$27.00	$29.00	$27.00	$29.00
ATM IV	21.0%	18.1%	23.2%	22.4%	19.8%
Expected Move	6.0%	5.1%	6.6%	6.5%	5.7%
HV 20d	18.1%	15.1%	25.5%	25.5%	15.1%
HV 60d	24.4%	23.9%	24.8%	24.7%	24.6%
IV Rank	19.4%	9.7%	26.8%	24.1%	15.3%
IV Percentile	33.9%	13.1%	52.4%	44.4%	23.8%
Term Structure	-0.0%	-0.9%	1.0%	0.1%	-0.1%
VWIV	21.2%	18.6%	23.8%	22.9%	20.6%
Skew 25d	3.5%	2.5%	4.7%	4.2%	3.1%
Skew 10d	7.3%	4.5%	9.6%	9.6%	6.5%
Call IV 25d	19.6%	16.8%	21.8%	20.8%	18.7%
Put IV 25d	23.1%	20.1%	25.4%	25.0%	21.8%
Bid-Ask Spread %	1.96	1.60	2.31	2.27	2.02
Gamma HHI	0.15	0.10	0.53	0.10	0.13
Net GEX	97.7M	41.8M	337.3M	64.3M	101.5M
Net DEX	-1.29B	-2.18B	-746.9M	-1.22B	-1.93B
Net VEX	-18.2M	-18.5M	-17.8M	-18.4M	-18.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.32	1.27	0.74	0.51
Total Volume	209,414.682	95,438	428,592	227,737	231,256
Total OI	3,809,731.636	3,545,083	4,037,886	3,545,083	3,955,904

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
2019-07-01	$29.43	$27.00	22.4%	6.5%	25.5%	24.1%	22.9%	4.2%	0.1%	64.3M	-1.22B	-18.4M	0.74	2.27	130,655	97,082	1,900,918	1,644,165
2019-07-02	$29.07	$27.00	22.2%	6.5%	20.1%	23.6%	22.8%	4.3%	-0.1%	41.8M	-855.6M	-18.3M	0.72	2.31	89,921	64,857	1,930,378	1,690,192
2019-07-03	$29.05	$27.00	22.4%	6.4%	20.1%	24.1%	21.7%	3.9%	-0.3%	45.4M	-854.5M	-18.2M	0.43	2.24	66,544	28,894	1,957,405	1,711,344
2019-07-05	$29.24	$28.00	22.6%	6.4%	20.2%	24.9%	23.1%	3.5%	-0.5%	59.7M	-1.07B	-18.2M	0.46	1.70	99,107	45,232	1,982,901	1,716,519
2019-07-08	$29.22	$28.00	22.7%	6.4%	19.2%	25.1%	22.6%	4.7%	-0.3%	69.0M	-1.05B	-17.9M	1.27	1.83	77,793	98,710	1,944,247	1,660,888
2019-07-09	$29.34	$28.00	22.7%	6.6%	17.6%	25.0%	22.6%	4.2%	0.3%	79.0M	-1.09B	-18.5M	0.76	1.96	92,389	70,312	1,982,985	1,730,121
2019-07-10	$28.96	$29.00	22.8%	6.5%	18.4%	25.4%	22.3%	3.8%	-0.1%	53.2M	-746.9M	-18.2M	0.56	1.69	124,808	70,261	2,009,505	1,765,661
2019-07-11	$29.34	$29.00	22.4%	6.5%	18.4%	24.0%	21.9%	3.1%	0.6%	98.9M	-1.15B	-18.3M	0.49	1.71	133,217	65,187	2,057,759	1,780,330
2019-07-12	$29.47	$29.00	22.8%	6.6%	18.3%	25.6%	22.4%	3.4%	0.5%	337.3M	-1.23B	-18.4M	0.63	1.69	96,531	60,643	2,091,486	1,792,736
2019-07-15	$29.13	$29.00	23.2%	6.6%	18.9%	26.8%	22.8%	3.4%	-0.4%	49.7M	-872.2M	-18.0M	0.55	1.60	164,045	90,473	1,976,175	1,732,894
2019-07-16	$29.09	$28.00	23.1%	6.6%	18.8%	26.4%	23.8%	3.5%	0.1%	53.4M	-836.7M	-18.3M	0.52	1.96	181,631	95,194	2,051,061	1,784,556
2019-07-17	$29.37	$28.00	20.5%	5.9%	16.8%	17.9%	20.8%	3.6%	-0.9%	89.9M	-1.10B	-18.2M	0.53	2.10	280,384	148,208	2,129,343	1,839,024
2019-07-18	$29.38	$28.00	20.3%	5.9%	16.2%	17.2%	20.4%	3.6%	-0.9%	86.2M	-1.09B	-18.1M	0.43	2.14	111,087	48,188	2,162,254	1,857,307
2019-07-19	$29.53	$28.00	18.1%	5.1%	16.2%	9.7%	18.7%	3.8%	1.0%	273.8M	-1.27B	-17.9M	0.61	1.97	89,906	55,172	2,173,569	1,864,317
2019-07-22	$29.59	$28.00	18.6%	5.3%	16.1%	11.4%	18.6%	3.7%	0.3%	64.0M	-933.8M	-17.8M	0.32	2.02	112,450	35,562	1,910,324	1,728,835
2019-07-23	$30.21	$29.00	18.7%	5.5%	16.8%	11.7%	19.4%	3.3%	0.2%	107.6M	-1.61B	-17.9M	0.73	2.11	178,095	130,711	1,970,304	1,746,921
2019-07-24	$30.71	$29.00	19.3%	5.6%	16.6%	13.8%	19.9%	3.3%	-0.1%	96.9M	-2.01B	-18.2M	0.66	1.83	185,855	123,323	1,998,463	1,829,223
2019-07-25	$30.37	$29.00	19.2%	5.4%	17.6%	13.4%	19.1%	3.3%	-0.1%	88.0M	-1.65B	-18.3M	0.48	1.99	194,505	92,454	2,069,757	1,889,089
2019-07-26	$30.81	$29.00	18.7%	5.5%	17.8%	11.7%	19.5%	2.5%	0.1%	99.6M	-2.18B	-18.2M	0.42	1.87	174,347	73,390	2,131,119	1,902,014
2019-07-29	$30.53	$29.00	19.4%	5.8%	16.4%	14.1%	20.6%	2.5%	0.3%	88.8M	-1.68B	-18.0M	0.62	2.03	97,886	60,257	2,016,541	1,830,064
2019-07-30	$30.86	$29.00	19.6%	5.7%	16.1%	14.7%	20.6%	2.9%	0.2%	102.0M	-1.95B	-18.3M	0.72	2.12	81,649	58,952	2,057,885	1,857,613
2019-07-31	$30.87	$29.00	19.8%	5.7%	15.1%	15.3%	20.6%	3.1%	-0.1%	101.5M	-1.93B	-18.4M	0.51	2.02	152,912	78,344	2,079,888	1,876,016