BAC Options History — October 2019 In October 2019, BAC traded between $27.69 and $32.00. ATM implied volatility averaged 24.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 0.9% (HV 20d: 23.4%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2019-10-15 : Highest Volume — 575,659 contracts2019-10-08 : Largest IV spike — 12.7% change2019-10-03 : Highest IV Rank — 46.4%2019-10-02 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $29.89 $27.69 $32.00 $28.49 $31.19 Max Pain $28.57 $28.00 $30.00 $28.00 $30.00 ATM IV 24.3% 19.2% 30.5% 28.0% 20.9% Expected Move 7.0% 5.4% 9.1% 8.4% 5.9% HV 20d 23.4% 19.1% 26.7% 26.1% 20.0% HV 60d 28.3% 25.9% 29.6% 27.8% 25.9% IV Rank 23.5% 4.8% 46.4% 37.1% 11.2% IV Percentile 45.4% 4.0% 90.1% 81.0% 17.9% Term Structure -0.2% -1.3% 1.4% -0.5% 1.4% VWIV 24.4% 20.3% 32.0% 28.4% 21.2% Skew 25d 4.8% 3.8% 6.4% 5.9% 4.1% Skew 10d 9.6% 6.8% 12.7% 12.3% 8.6% Call IV 25d 22.3% 17.9% 27.5% 25.4% 18.9% Put IV 25d 27.1% 22.2% 33.7% 31.3% 23.0% Bid-Ask Spread % 2.18 1.86 3.66 2.15 2.09 Gamma HHI 0.12 0.08 0.26 0.09 0.12 Net GEX 79.5M 5.3M 197.4M 24.1M 74.2M Net DEX -1.38B -2.83B 244.8M -263.7M -1.91B Net VEX -17.2M -17.9M -16.4M -17.8M -17.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.36 1.23 0.62 1.06 Total Volume 220,875.565 95,544 575,659 132,510 258,360 Total OI 4,119,502.435 3,922,442 4,351,926 3,960,524 4,223,069
Daily Data (23 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 2019-10-01 $28.49 $28.00 28.0% 8.4% 26.1% 37.1% 28.4% 5.9% -0.5% 24.1M -263.7M -17.8M 0.62 2.15 81,559 50,951 2,138,245 1,822,279 2019-10-02 $27.89 $28.00 29.8% 9.1% 26.7% 43.9% 32.0% 5.7% -0.7% 9.2M 115.4M -17.3M 1.02 2.62 91,196 92,682 2,170,113 1,832,109 2019-10-03 $27.74 $29.00 30.5% 8.2% 25.2% 46.4% 28.9% 6.3% -0.6% 5.3M 236.8M -17.2M 0.82 2.04 121,529 99,798 2,205,605 1,848,488 2019-10-04 $28.30 $28.00 26.6% 7.7% 25.1% 32.2% 25.8% 5.2% -0.3% 28.0M -239.8M -17.6M 0.52 1.94 102,823 53,403 2,272,988 1,891,580 2019-10-07 $28.36 $28.00 26.8% 7.8% 21.1% 32.8% 26.0% 5.3% 0.7% 29.5M -259.8M -17.5M 0.58 2.04 60,578 34,966 2,203,554 1,860,210 2019-10-08 $27.69 $28.00 30.2% 8.3% 21.1% 45.3% 29.1% 6.4% -1.3% 7.1M 244.8M -17.2M 1.18 2.29 97,840 115,057 2,225,794 1,870,777 2019-10-09 $27.95 $28.00 28.2% 8.0% 21.5% 38.0% 27.1% 5.6% -0.3% 11.6M 56.3M -17.2M 0.55 2.24 74,966 40,870 2,248,299 1,886,963 2019-10-10 $28.47 $28.00 28.5% 8.3% 22.1% 39.2% 27.4% 5.3% 0.6% 40.7M -407.5M -17.9M 0.64 2.16 113,718 72,790 2,271,472 1,889,056 2019-10-11 $29.10 $28.00 26.8% 7.6% 23.0% 32.9% 25.6% 5.3% -0.5% 89.2M -954.1M -17.7M 0.60 3.66 215,807 128,936 2,278,125 1,911,379 2019-10-14 $29.11 $28.00 26.1% 7.4% 23.0% 30.2% 26.6% 5.2% 0.1% 63.7M -880.5M -17.6M 0.81 2.32 71,929 58,480 2,232,665 1,840,146 2019-10-15 $29.88 $28.00 24.1% 6.9% 24.9% 22.9% 24.5% 3.8% -0.2% 94.1M -1.60B -17.4M 0.55 2.12 370,719 204,940 2,261,184 1,861,755 2019-10-16 $30.26 $28.00 22.6% 6.5% 25.2% 17.2% 22.2% 4.1% -0.5% 121.2M -1.93B -17.3M 0.36 1.90 328,762 118,923 2,322,345 1,930,959 2019-10-17 $30.28 $29.00 21.9% 6.3% 25.1% 14.9% 22.9% 4.5% -0.5% 108.9M -1.82B -17.3M 0.49 1.88 171,192 84,358 2,340,880 1,975,695 2019-10-18 $30.47 $29.00 22.1% 6.4% 25.1% 15.5% 21.3% 5.1% -1.1% 197.4M -2.02B -17.4M 0.43 1.88 129,188 55,314 2,356,354 1,995,572 2019-10-21 $31.07 $29.00 22.0% 6.3% 25.8% 15.3% 22.9% 4.4% -0.6% 103.7M -2.14B -17.2M 0.68 2.21 147,948 100,915 2,103,459 1,818,983 2019-10-22 $31.15 $29.00 22.6% 6.5% 23.8% 17.3% 22.7% 4.3% -0.8% 109.5M -2.22B -17.3M 0.71 2.34 112,554 79,531 2,139,018 1,868,283 2019-10-23 $31.34 $29.00 21.3% 6.0% 23.5% 12.7% 22.9% 4.5% -0.5% 116.3M -2.39B -17.1M 0.81 1.92 77,839 62,956 2,164,981 1,894,759 2019-10-24 $31.38 $29.00 20.2% 5.7% 23.3% 8.5% 20.8% 4.2% -0.4% 124.5M -2.43B -17.1M 1.23 2.26 66,265 81,397 2,181,013 1,923,079 2019-10-25 $31.78 $29.00 19.2% 5.4% 23.6% 4.8% 21.0% 4.3% -0.2% 128.2M -2.83B -16.6M 0.72 2.09 146,380 105,930 2,201,351 1,951,840 2019-10-28 $31.94 $29.00 20.0% 5.7% 23.4% 7.8% 22.0% 3.9% 0.8% 117.7M -2.77B -16.4M 0.85 2.08 114,964 97,527 2,127,375 1,918,048 2019-10-29 $32.00 $29.00 19.8% 5.7% 20.6% 7.0% 20.3% 4.1% 0.9% 118.9M -2.82B -16.4M 0.85 1.86 95,150 81,041 2,149,789 1,956,274 2019-10-30 $31.62 $29.00 20.1% 5.8% 19.1% 8.0% 20.3% 3.9% 1.2% 104.5M -2.40B -17.1M 0.57 2.14 132,952 75,155 2,179,137 2,003,507 2019-10-31 $31.19 $30.00 20.9% 5.9% 20.0% 11.2% 21.2% 4.1% 1.4% 74.2M -1.91B -17.2M 1.06 2.09 125,601 132,759 2,195,925 2,027,144
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