BAC Options History — January 2020

In January 2020, BAC traded between $32.73 and $35.60. ATM implied volatility averaged 20.1%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.2% (HV 20d: 15.9%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2020-01-14: Highest Volume — 393,065 contracts
2020-01-31: Largest IV spike — 19.4% change
2020-01-31: Highest IV Rank — 48.5%
2020-01-31: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.32	$32.73	$35.60	$35.60	$32.73
Max Pain	$32.90	$32.00	$33.00	$32.00	$33.00
ATM IV	20.1%	16.5%	23.7%	20.7%	23.7%
Expected Move	5.7%	4.6%	6.8%	6.4%	6.8%
HV 20d	15.9%	12.6%	18.6%	14.6%	18.6%
HV 60d	15.8%	14.8%	16.6%	16.4%	16.1%
IV Rank	20.3%	0.0%	48.5%	17.0%	48.5%
IV Percentile	25.0%	0.0%	61.1%	29.0%	61.1%
Term Structure	0.2%	-0.8%	1.9%	0.1%	1.1%
VWIV	20.4%	16.5%	24.0%	22.5%	23.3%
Skew 25d	3.3%	1.5%	5.2%	3.1%	5.0%
Skew 10d	6.7%	3.0%	10.1%	6.6%	10.1%
Call IV 25d	18.8%	16.2%	21.2%	19.4%	20.9%
Put IV 25d	22.1%	17.7%	25.9%	22.5%	25.9%
Bid-Ask Spread %	2.07	1.54	3.10	1.88	3.10
Gamma HHI	0.14	0.08	0.33	0.15	0.08
Net GEX	58.2M	-7.6M	137.2M	112.5M	-2.3M
Net DEX	-2.08B	-3.77B	-70.4M	-3.77B	-70.4M
Net VEX	-15.2M	-15.8M	-14.3M	-14.3M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.39	1.44	0.43	1.22
Total Volume	181,628.143	69,442	393,065	145,139	138,277
Total OI	3,721,923.238	2,708,422	4,671,609	4,140,880	2,975,200

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
2020-01-02	$35.60	$32.00	20.7%	6.4%	14.6%	17.0%	22.5%	3.1%	0.1%	112.5M	-3.77B	-14.3M	0.43	1.88	101,701	43,438	1,929,263	2,211,617
2020-01-03	$34.94	$32.00	21.3%	6.7%	16.4%	20.5%	24.0%	3.4%	0.2%	47.2M	-3.11B	-14.9M	0.66	1.83	130,365	85,776	1,952,661	2,234,433
2020-01-06	$34.81	$33.00	21.4%	5.9%	16.6%	24.1%	22.7%	4.2%	-0.2%	86.8M	-3.02B	-14.8M	1.05	2.24	86,155	90,677	1,936,704	2,220,536
2020-01-07	$34.68	$33.00	21.5%	5.7%	15.7%	24.8%	21.2%	3.8%	-0.3%	85.9M	-2.92B	-15.2M	0.78	1.89	93,364	72,773	1,970,034	2,271,296
2020-01-08	$35.05	$33.00	21.3%	6.0%	15.8%	26.0%	21.2%	3.5%	-0.3%	107.3M	-3.32B	-15.3M	0.50	2.07	148,454	74,253	2,004,985	2,303,344
2020-01-09	$35.00	$33.00	20.8%	5.7%	15.8%	21.7%	21.7%	3.0%	-0.4%	119.0M	-3.27B	-15.3M	1.05	2.05	81,182	85,438	2,071,683	2,333,717
2020-01-10	$34.69	$33.00	20.8%	5.5%	16.3%	22.0%	20.7%	3.0%	-0.5%	84.7M	-2.92B	-15.3M	0.70	2.01	81,767	57,602	2,073,161	2,361,753
2020-01-13	$34.98	$33.00	21.2%	5.8%	12.6%	24.8%	20.6%	2.7%	-0.6%	96.2M	-3.21B	-15.1M	0.51	1.77	119,858	61,253	2,014,926	2,352,242
2020-01-14	$35.32	$33.00	21.9%	6.0%	12.7%	30.0%	20.9%	1.5%	-0.8%	108.0M	-3.64B	-14.8M	0.42	1.86	277,140	115,925	2,047,499	2,371,235
2020-01-15	$34.50	$33.00	18.4%	5.2%	15.2%	4.3%	18.1%	1.6%	-0.2%	92.5M	-2.78B	-14.8M	0.42	2.05	195,256	82,299	2,161,198	2,426,219
2020-01-16	$34.75	$33.00	17.0%	4.7%	14.9%	0.0%	17.4%	1.6%	-0.7%	137.2M	-3.03B	-14.8M	0.63	2.02	130,716	82,371	2,169,060	2,443,464
2020-01-17	$34.66	$33.00	16.5%	4.6%	14.9%	0.0%	16.5%	1.5%	-0.6%	49.3M	-2.82B	-14.8M	0.46	1.54	125,807	58,236	2,190,693	2,480,916
2020-01-21	$34.34	$33.00	17.9%	5.1%	15.1%	9.6%	17.9%	2.7%	0.4%	34.3M	-1.17B	-14.9M	0.55	1.91	89,588	49,646	1,318,190	1,390,232
2020-01-22	$34.40	$33.00	17.2%	4.9%	15.1%	4.8%	17.4%	2.8%	0.2%	38.5M	-1.22B	-14.9M	0.39	1.92	50,089	19,353	1,356,053	1,417,812
2020-01-23	$34.20	$33.00	18.5%	5.3%	14.9%	13.3%	17.8%	3.1%	0.5%	24.6M	-1.07B	-15.2M	0.57	1.97	107,723	61,434	1,372,589	1,425,861
2020-01-24	$33.48	$33.00	19.9%	5.7%	16.4%	22.7%	19.7%	4.0%	-0.1%	-3.3M	-604.5M	-15.6M	0.76	2.50	118,498	89,951	1,418,623	1,443,953
2020-01-27	$32.86	$33.00	22.2%	6.4%	16.9%	38.6%	23.6%	5.2%	0.9%	-7.6M	-253.3M	-15.7M	0.73	2.24	122,744	90,111	1,365,465	1,444,836
2020-01-28	$33.31	$33.00	20.3%	5.8%	18.0%	25.8%	21.5%	4.2%	1.0%	3.1M	-554.2M	-15.6M	0.84	1.92	60,693	51,052	1,392,574	1,470,808
2020-01-29	$33.09	$33.00	20.1%	5.7%	18.1%	24.2%	19.6%	4.3%	1.8%	-4.6M	-396.2M	-15.4M	1.13	2.33	59,311	66,921	1,415,193	1,488,416
2020-01-30	$33.38	$33.00	19.9%	5.6%	18.5%	22.6%	21.1%	4.5%	1.9%	13.0M	-596.8M	-15.7M	1.44	2.31	64,263	92,731	1,431,519	1,500,425
2020-01-31	$32.73	$33.00	23.7%	6.8%	18.6%	48.5%	23.3%	5.0%	1.1%	-2.3M	-70.4M	-15.8M	1.22	3.10	62,427	75,850	1,442,998	1,532,202