BAC Options History — November 2019

In November 2019, BAC traded between $31.77 and $33.44. ATM implied volatility averaged 19.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.5% (HV 20d: 16.0%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.84.

Notable Days

2019-11-05: Highest Volume — 359,278 contracts
2019-11-15: Largest IV drop — 8.6% change
2019-11-07: Highest IV Rank — 14.4%
2019-11-07: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.94	$31.77	$33.44	$31.77	$33.34
Max Pain	$30.50	$30.00	$31.00	$30.00	$31.00
ATM IV	19.5%	17.8%	21.8%	19.1%	18.2%
Expected Move	5.6%	5.0%	6.3%	5.5%	5.2%
HV 20d	16.0%	13.1%	20.5%	19.9%	13.1%
HV 60d	22.6%	20.2%	26.1%	25.9%	20.2%
IV Rank	5.9%	0.0%	14.4%	4.5%	1.4%
IV Percentile	9.1%	0.0%	27.0%	4.0%	2.0%
Term Structure	0.1%	-0.5%	1.1%	1.1%	0.3%
VWIV	20.2%	18.0%	22.5%	20.0%	18.9%
Skew 25d	3.0%	2.5%	4.1%	3.3%	2.7%
Skew 10d	5.8%	4.5%	7.8%	6.4%	4.6%
Call IV 25d	18.3%	17.1%	20.1%	17.9%	17.5%
Put IV 25d	21.3%	19.7%	23.1%	21.2%	20.2%
Bid-Ask Spread %	2.03	1.69	2.34	1.88	2.07
Gamma HHI	0.12	0.11	0.19	0.15	0.11
Net GEX	111.7M	84.0M	135.1M	129.6M	106.3M
Net DEX	-3.09B	-3.73B	-2.41B	-2.58B	-2.98B
Net VEX	-16.4M	-16.9M	-15.9M	-16.9M	-15.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.42	2.09	0.83	0.42
Total Volume	157,267.05	58,606	359,278	154,574	58,606
Total OI	4,218,627.55	3,957,251	4,459,512	4,282,486	4,205,307

Daily Data (20 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
2019-11-01	$31.77	$30.00	19.1%	5.5%	19.9%	4.5%	20.0%	3.3%	1.1%	129.6M	-2.58B	-16.9M	0.83	1.88	84,629	69,945	2,226,178	2,056,308
2019-11-04	$32.43	$30.00	20.1%	6.2%	20.5%	8.0%	21.1%	4.1%	0.2%	124.5M	-3.09B	-16.5M	0.63	2.11	142,088	90,033	2,158,211	1,984,075
2019-11-05	$32.85	$30.00	20.9%	6.1%	17.1%	11.1%	21.7%	3.6%	0.2%	135.1M	-3.52B	-16.2M	0.62	1.84	221,503	137,775	2,193,080	2,021,651
2019-11-06	$32.77	$30.00	20.9%	6.0%	17.5%	11.2%	22.5%	2.9%	0.2%	128.5M	-3.35B	-16.8M	1.40	2.16	78,040	108,997	2,225,367	2,083,379
2019-11-07	$33.16	$30.00	21.8%	6.3%	17.1%	14.4%	22.3%	2.6%	-0.2%	134.8M	-3.68B	-16.9M	0.58	2.34	173,799	101,008	2,243,756	2,137,232
2019-11-08	$33.19	$30.00	20.9%	6.1%	16.4%	11.0%	22.0%	2.5%	-0.1%	116.3M	-3.73B	-16.5M	0.68	1.92	103,137	69,658	2,250,171	2,166,672
2019-11-11	$33.16	$30.00	20.4%	5.9%	16.5%	9.2%	21.6%	2.5%	0.1%	117.1M	-3.53B	-16.5M	0.90	1.69	60,787	54,799	2,188,130	2,113,634
2019-11-12	$33.09	$30.00	19.6%	5.6%	15.0%	6.2%	20.2%	2.9%	0.1%	114.7M	-3.46B	-16.5M	0.98	2.27	50,881	49,703	2,201,197	2,138,431
2019-11-13	$32.73	$30.00	20.5%	5.8%	15.8%	9.7%	20.9%	2.9%	-0.4%	93.4M	-3.07B	-16.8M	1.03	1.81	89,233	91,606	2,209,197	2,160,921
2019-11-14	$32.70	$30.00	19.9%	5.6%	15.8%	7.3%	20.7%	3.4%	-0.5%	97.0M	-3.07B	-16.5M	0.81	1.95	104,134	84,065	2,223,073	2,185,227
2019-11-15	$32.88	$31.00	18.2%	5.2%	15.8%	1.0%	19.2%	2.9%	0.2%	126.6M	-3.20B	-16.4M	0.45	2.20	88,116	39,643	2,250,643	2,208,869
2019-11-18	$32.91	$31.00	18.6%	5.3%	14.7%	2.4%	19.1%	3.0%	0.0%	95.4M	-2.64B	-16.1M	0.82	2.31	61,393	50,466	1,979,187	1,978,064
2019-11-19	$32.97	$31.00	18.5%	5.3%	14.7%	2.2%	18.9%	3.0%	-0.1%	100.7M	-2.71B	-16.3M	1.18	2.29	41,722	49,291	2,009,283	2,004,479
2019-11-20	$32.67	$31.00	19.9%	5.7%	15.2%	7.4%	19.5%	3.5%	-0.5%	84.0M	-2.41B	-16.7M	0.71	2.17	71,563	51,004	2,016,348	2,021,227
2019-11-21	$32.91	$31.00	19.4%	5.6%	15.4%	5.6%	19.8%	3.4%	-0.1%	98.9M	-2.69B	-16.3M	0.73	1.94	54,804	40,128	2,034,511	2,035,702
2019-11-22	$33.15	$31.00	18.9%	5.4%	15.0%	3.5%	19.2%	3.0%	-0.1%	109.7M	-2.94B	-16.4M	0.42	2.01	103,956	43,887	2,052,354	2,040,901
2019-11-25	$33.42	$31.00	18.2%	5.2%	15.1%	1.3%	18.9%	3.2%	0.3%	114.3M	-3.11B	-15.9M	2.09	1.87	62,375	130,414	2,030,113	2,007,806
2019-11-26	$33.31	$31.00	17.8%	5.0%	15.2%	0.0%	18.7%	2.5%	0.4%	97.1M	-2.95B	-16.2M	0.94	2.04	64,635	61,076	2,046,496	2,095,468
2019-11-27	$33.44	$31.00	17.8%	5.1%	14.3%	0.1%	18.0%	2.6%	0.5%	110.9M	-3.08B	-16.1M	0.54	1.80	69,320	37,122	2,067,472	2,122,431
2019-11-29	$33.34	$31.00	18.2%	5.2%	13.1%	1.4%	18.9%	2.7%	0.3%	106.3M	-2.98B	-15.9M	0.42	2.07	41,312	17,294	2,071,082	2,134,225