BAC Options History — August 2019

In August 2019, BAC traded between $26.27 and $29.51. ATM implied volatility averaged 27.2%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 4.4% (HV 20d: 31.7%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2019-08-14: Highest Volume — 619,314 contracts
2019-08-05: Largest IV spike — 30.7% change
2019-08-05: Highest IV Rank — 53.0%
2019-08-14: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.50	$26.27	$29.51	$29.51	$27.48
Max Pain	$29.36	$29.00	$30.00	$29.00	$29.00
ATM IV	27.2%	23.7%	31.4%	23.7%	24.7%
Expected Move	7.8%	6.9%	9.1%	7.1%	7.0%
HV 20d	31.7%	22.8%	35.8%	22.8%	33.4%
HV 60d	26.7%	25.5%	28.2%	25.8%	25.9%
IV Rank	38.6%	27.4%	53.0%	28.5%	27.4%
IV Percentile	75.5%	55.2%	92.1%	56.0%	56.0%
Term Structure	-0.3%	-1.3%	0.4%	0.1%	0.2%
VWIV	27.3%	24.4%	31.8%	24.4%	24.9%
Skew 25d	6.5%	3.9%	9.2%	3.9%	4.9%
Skew 10d	12.9%	7.6%	17.9%	7.6%	10.1%
Call IV 25d	24.5%	21.7%	27.7%	22.2%	23.1%
Put IV 25d	31.0%	26.1%	36.8%	26.1%	28.0%
Bid-Ask Spread %	2.24	1.91	2.91	2.20	2.23
Gamma HHI	0.12	0.08	0.43	0.10	0.43
Net GEX	7.7M	-45.9M	197.8M	37.1M	197.8M
Net DEX	614.1M	-589.4M	1.58B	-589.4M	268.1M
Net VEX	-17.4M	-18.6M	-16.2M	-18.6M	-17.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.32	1.06	0.63	0.35
Total Volume	243,090.818	85,144	619,314	295,948	196,188
Total OI	4,239,470.773	3,982,813	4,721,466	4,034,861	4,426,330

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
2019-08-01	$29.51	$29.00	23.7%	7.1%	22.8%	28.5%	24.4%	3.9%	0.1%	37.1M	-589.4M	-18.6M	0.63	2.20	182,087	113,861	2,134,563	1,900,298
2019-08-02	$29.41	$29.00	23.7%	6.9%	22.8%	28.6%	24.5%	5.6%	0.0%	33.9M	-488.9M	-18.5M	0.49	2.40	140,421	68,696	2,180,573	1,905,712
2019-08-05	$28.15	$30.00	31.0%	8.6%	27.6%	53.0%	30.2%	7.6%	-0.8%	-5.4M	389.6M	-17.8M	1.06	2.49	162,077	171,076	2,115,980	1,875,802
2019-08-06	$28.43	$30.00	27.5%	7.8%	27.9%	41.4%	28.6%	7.0%	-0.5%	3.1M	159.1M	-17.8M	0.54	2.03	188,691	102,284	2,183,162	1,917,002
2019-08-07	$27.88	$30.00	28.9%	8.0%	28.3%	45.8%	29.9%	7.6%	-0.5%	-14.4M	589.9M	-17.4M	0.58	2.91	220,293	128,300	2,254,885	1,949,671
2019-08-08	$28.46	$30.00	26.3%	7.5%	29.0%	37.3%	24.4%	7.5%	-0.3%	23.4M	62.2M	-18.0M	0.70	2.18	99,501	69,905	2,326,733	2,026,169
2019-08-09	$28.45	$30.00	26.1%	7.7%	28.9%	34.4%	26.9%	6.6%	-0.5%	29.1M	8.1M	-18.1M	0.78	2.11	78,020	60,993	2,341,312	2,055,080
2019-08-12	$27.64	$30.00	30.1%	8.2%	30.3%	48.5%	27.5%	8.1%	-1.3%	-26.3M	788.6M	-17.4M	0.47	2.36	102,775	48,513	2,220,774	2,020,550
2019-08-13	$27.71	$30.00	27.4%	7.5%	30.3%	39.0%	26.6%	6.5%	-1.3%	-18.5M	747.1M	-17.3M	0.46	2.06	156,489	72,085	2,281,382	2,035,746
2019-08-14	$26.46	$30.00	31.4%	9.1%	33.7%	52.7%	31.8%	9.2%	0.4%	-45.9M	1.58B	-16.2M	0.74	2.22	356,884	262,430	2,330,279	2,052,114
2019-08-15	$26.27	$29.00	30.4%	8.7%	33.6%	49.5%	30.9%	7.8%	-0.1%	-41.7M	1.56B	-16.4M	0.32	2.27	387,799	125,959	2,478,745	2,068,354
2019-08-16	$27.03	$29.00	27.3%	7.7%	35.6%	38.8%	27.2%	6.9%	-0.4%	60.2M	818.1M	-17.3M	0.32	2.23	285,603	90,268	2,609,670	2,111,796
2019-08-19	$27.26	$29.00	24.9%	7.2%	35.8%	30.2%	25.1%	6.1%	-0.1%	-5.9M	618.3M	-17.5M	0.55	2.44	94,215	52,162	2,061,660	1,921,153
2019-08-20	$26.80	$29.00	26.3%	7.6%	34.8%	35.2%	27.6%	6.4%	-0.2%	-19.4M	957.4M	-16.8M	0.59	2.19	96,630	56,900	2,081,312	1,952,837
2019-08-21	$26.93	$29.00	25.4%	7.3%	34.1%	32.1%	26.1%	5.5%	-0.1%	-16.6M	893.9M	-17.0M	0.41	2.08	120,608	49,127	2,119,712	1,988,670
2019-08-22	$27.22	$29.00	25.9%	7.4%	34.6%	33.9%	27.1%	5.5%	-0.2%	-6.8M	635.2M	-17.6M	0.87	2.44	78,948	68,414	2,149,601	2,017,584
2019-08-23	$26.45	$29.00	29.4%	8.5%	34.7%	45.8%	28.6%	6.3%	-0.5%	-40.4M	1.20B	-17.0M	0.85	2.13	118,937	101,078	2,168,574	2,054,938
2019-08-26	$26.71	$29.00	28.7%	8.2%	35.2%	43.4%	28.3%	6.0%	-0.5%	-18.5M	974.5M	-17.1M	0.73	2.13	49,159	35,985	2,110,235	2,010,427
2019-08-27	$26.53	$29.00	28.1%	8.0%	34.6%	39.8%	28.3%	6.5%	-0.1%	-16.3M	1.12B	-16.8M	0.50	2.12	86,160	43,323	2,178,388	2,023,283
2019-08-28	$26.88	$29.00	27.2%	7.8%	35.3%	36.6%	27.4%	6.0%	0.1%	7.5M	845.1M	-17.1M	0.56	1.91	157,364	88,435	2,217,882	2,033,468
2019-08-29	$27.39	$29.00	24.7%	7.0%	33.3%	27.5%	24.9%	5.2%	0.1%	53.3M	364.6M	-17.4M	0.60	2.25	111,977	67,378	2,296,381	2,079,570
2019-08-30	$27.48	$29.00	24.7%	7.0%	33.4%	27.4%	24.9%	4.9%	0.2%	197.8M	268.1M	-17.6M	0.35	2.23	144,980	51,208	2,319,832	2,106,498