BAC Options History — December 2019

In December 2019, BAC traded between $32.82 and $35.49. ATM implied volatility averaged 20.5%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.6% (HV 20d: 14.9%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2019-12-04: Highest Volume — 938,948 contracts
2019-12-03: Largest IV spike — 8.8% change
2019-12-31: Highest IV Rank — 21.6%
2019-12-30: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.42	$32.82	$35.49	$33.47	$35.18
Max Pain	$31.19	$30.00	$32.00	$31.00	$32.00
ATM IV	20.5%	19.1%	21.9%	20.0%	21.5%
Expected Move	6.2%	5.7%	6.8%	6.0%	6.6%
HV 20d	14.9%	11.9%	16.6%	11.9%	16.5%
HV 60d	18.4%	16.3%	19.6%	19.6%	16.3%
IV Rank	10.7%	4.6%	21.6%	8.2%	21.6%
IV Percentile	23.7%	7.1%	40.5%	16.3%	37.7%
Term Structure	0.6%	-0.8%	3.7%	0.4%	-0.4%
VWIV	22.4%	20.8%	24.2%	21.6%	22.7%
Skew 25d	3.2%	2.3%	4.0%	2.4%	3.8%
Skew 10d	6.9%	4.6%	9.0%	5.5%	9.0%
Call IV 25d	19.3%	16.8%	20.6%	19.4%	19.8%
Put IV 25d	22.5%	19.4%	24.5%	21.8%	23.6%
Bid-Ask Spread %	1.88	1.54	2.30	1.91	2.12
Gamma HHI	0.15	0.10	0.32	0.12	0.13
Net GEX	118.3M	75.9M	260.4M	91.3M	91.5M
Net DEX	-3.19B	-3.81B	-2.17B	-3.04B	-3.34B
Net VEX	-15.4M	-16.5M	-14.3M	-15.8M	-14.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.05	0.89	0.40	0.63
Total Volume	216,798.095	42,069	938,948	288,086	117,492
Total OI	4,216,036.333	4,040,322	4,379,837	4,095,428	4,100,251

Daily Data (21 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
2019-12-02	$33.47	$31.00	20.0%	6.0%	11.9%	8.2%	21.6%	2.4%	0.4%	91.3M	-3.04B	-15.8M	0.40	1.91	206,221	81,865	2,022,681	2,072,747
2019-12-03	$32.82	$31.00	21.8%	6.5%	12.4%	14.7%	23.6%	3.9%	0.4%	75.9M	-2.39B	-16.5M	0.61	2.03	188,612	114,782	2,129,266	2,118,231
2019-12-04	$33.18	$31.00	20.8%	6.1%	12.1%	10.9%	20.8%	3.6%	0.5%	114.7M	-2.80B	-16.2M	0.05	2.05	890,543	48,405	2,187,658	2,167,328
2019-12-05	$33.17	$30.00	20.5%	6.7%	12.1%	9.8%	23.9%	4.0%	0.6%	104.9M	-2.17B	-16.4M	0.89	1.86	71,775	64,022	1,989,423	2,196,708
2019-12-06	$33.75	$31.00	19.9%	6.3%	12.9%	7.8%	22.4%	3.1%	0.7%	140.8M	-2.80B	-16.3M	0.39	2.30	231,657	89,330	2,008,379	2,219,915
2019-12-09	$33.58	$31.00	20.5%	6.4%	13.1%	9.9%	23.9%	3.9%	1.8%	112.7M	-2.53B	-16.3M	0.80	1.96	54,764	43,836	1,967,939	2,215,128
2019-12-10	$33.53	$31.00	20.5%	6.5%	13.1%	10.0%	23.6%	4.0%	2.0%	106.8M	-2.47B	-16.3M	0.83	2.01	61,189	50,626	1,971,359	2,234,059
2019-12-11	$33.69	$31.00	20.3%	6.5%	13.1%	9.1%	22.5%	3.8%	2.2%	117.7M	-2.64B	-16.0M	0.47	1.64	108,992	51,061	1,987,381	2,245,917
2019-12-12	$34.72	$31.00	19.6%	6.1%	16.0%	6.4%	23.3%	3.4%	2.2%	169.5M	-3.75B	-15.6M	0.50	1.66	254,691	126,292	2,018,671	2,275,067
2019-12-13	$34.48	$31.00	19.1%	6.1%	16.3%	4.6%	21.2%	2.7%	3.7%	260.4M	-3.43B	-15.5M	0.45	1.75	168,227	76,369	2,004,857	2,318,503
2019-12-16	$34.73	$31.00	19.2%	5.7%	16.4%	5.0%	20.8%	2.3%	0.2%	119.8M	-3.58B	-14.7M	0.83	1.54	106,827	88,209	1,944,002	2,286,140
2019-12-17	$35.11	$31.00	20.6%	6.0%	16.6%	10.2%	21.3%	2.9%	-0.8%	121.0M	-3.79B	-14.8M	0.61	1.57	120,299	72,858	1,951,734	2,307,613
2019-12-18	$35.18	$31.00	21.1%	6.1%	16.6%	12.1%	21.4%	2.7%	-0.5%	116.5M	-3.81B	-14.9M	0.88	1.57	67,089	59,131	1,972,193	2,348,906
2019-12-19	$34.95	$31.00	20.3%	5.8%	16.4%	9.3%	21.3%	2.7%	-0.2%	107.3M	-3.60B	-14.8M	0.49	1.69	93,391	45,930	1,974,996	2,374,372
2019-12-20	$34.92	$31.00	20.2%	5.8%	16.4%	8.8%	21.2%	2.8%	-0.6%	121.6M	-3.55B	-15.0M	0.88	2.08	99,449	87,447	1,994,420	2,385,417
2019-12-23	$35.16	$31.00	20.4%	6.0%	16.4%	9.7%	23.3%	3.1%	0.2%	100.8M	-3.34B	-14.8M	0.82	1.77	82,157	67,106	1,840,871	2,199,451
2019-12-24	$35.22	$32.00	20.8%	6.2%	16.2%	10.8%	22.1%	3.1%	0.0%	102.2M	-3.48B	-14.6M	0.84	1.84	22,866	19,203	1,879,828	2,238,951
2019-12-26	$35.49	$32.00	20.7%	6.2%	16.2%	11.7%	23.1%	3.1%	-0.0%	111.6M	-3.70B	-14.3M	0.54	2.24	108,796	58,237	1,886,508	2,253,853
2019-12-27	$35.32	$32.00	21.2%	6.4%	16.4%	13.7%	23.1%	3.2%	-0.1%	103.4M	-3.52B	-15.0M	0.58	2.02	86,140	49,940	1,920,081	2,279,937
2019-12-30	$35.15	$32.00	21.9%	6.8%	16.5%	19.9%	24.2%	3.3%	-0.0%	94.0M	-3.31B	-14.9M	0.85	1.92	63,038	53,896	1,881,719	2,164,303
2019-12-31	$35.18	$32.00	21.5%	6.6%	16.5%	21.6%	22.7%	3.8%	-0.4%	91.5M	-3.34B	-14.9M	0.63	2.12	72,238	45,254	1,908,303	2,191,948