BAC Options History — March 2020

In March 2020, BAC traded between $18.07 and $28.79. ATM implied volatility averaged 81.9%, placing in the 77.4% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded below realized volatility by 8.8% (HV 20d: 90.7%). Max pain ranged from $26.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.85.

Notable Days

2020-03-24: Highest Volume — 544,072 contracts
2020-03-05: Largest IV spike — 40.6% change
2020-03-06: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 37.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.78	$18.07	$28.79	$28.79	$21.29
Max Pain	$29.09	$26.00	$33.00	$33.00	$26.00
ATM IV	81.9%	37.1%	131.0%	41.2%	67.2%
Expected Move	23.7%	11.0%	37.5%	12.7%	21.9%
HV 20d	90.7%	39.2%	131.5%	40.0%	130.4%
HV 60d	56.5%	27.4%	78.5%	27.4%	78.5%
IV Rank	77.4%	44.3%	100.0%	65.0%	44.3%
IV Percentile	98.3%	93.7%	100.0%	99.6%	93.7%
Term Structure	-2.7%	-6.3%	2.2%	-1.4%	-1.8%
VWIV	83.5%	38.1%	135.5%	46.6%	74.0%
Skew 25d	31.5%	11.5%	57.0%	13.0%	24.5%
Skew 10d	60.8%	23.3%	104.2%	26.0%	48.1%
Call IV 25d	68.3%	32.1%	108.3%	36.4%	57.6%
Put IV 25d	99.8%	43.5%	157.6%	49.4%	82.1%
Bid-Ask Spread %	4.65	2.10	11.18	2.83	2.71
Gamma HHI	0.08	0.06	0.11	0.08	0.07
Net GEX	-12.3M	-23.2M	-4.9M	-20.9M	-11.3M
Net DEX	1.86B	1.31B	2.38B	1.31B	1.87B
Net VEX	-14.5M	-16.1M	-10.8M	-16.1M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.42	1.62	0.69	0.77
Total Volume	395,629.409	252,655	544,072	356,423	252,655
Total OI	3,904,298.818	3,090,574	4,267,510	3,090,574	4,180,334

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
2020-03-02	$28.79	$33.00	41.2%	12.7%	40.0%	65.0%	46.6%	13.0%	-1.4%	-20.9M	1.31B	-16.1M	0.69	2.83	210,500	145,923	1,484,800	1,605,774
2020-03-03	$28.07	$33.00	46.1%	14.6%	40.1%	77.9%	50.7%	15.2%	-1.3%	-19.9M	1.50B	-16.0M	0.77	3.28	227,794	174,806	1,576,905	1,669,295
2020-03-04	$28.22	$32.00	37.1%	11.0%	39.2%	54.1%	38.1%	11.5%	-0.5%	-23.2M	1.49B	-15.6M	0.42	2.39	316,261	133,469	1,677,180	1,731,344
2020-03-05	$26.51	$32.00	52.1%	13.8%	40.8%	93.7%	45.3%	17.9%	-1.3%	-21.9M	1.95B	-15.6M	0.85	3.30	215,143	183,672	1,786,018	1,774,735
2020-03-06	$25.56	$31.00	59.9%	15.7%	41.2%	100.0%	54.8%	26.1%	-1.5%	-18.4M	2.04B	-15.7M	1.15	3.83	206,885	238,861	1,870,721	1,795,385
2020-03-09	$21.87	$30.00	80.0%	21.7%	64.4%	100.0%	75.5%	34.7%	-3.5%	-15.0M	2.38B	-12.2M	0.67	2.10	262,050	176,305	1,804,933	1,785,213
2020-03-10	$23.62	$30.00	74.5%	20.3%	73.2%	91.4%	80.5%	31.1%	-3.7%	-12.6M	2.04B	-15.0M	0.83	4.89	190,768	159,060	1,915,153	1,813,689
2020-03-11	$22.74	$29.00	86.5%	23.9%	72.8%	100.0%	84.1%	36.5%	-4.1%	-10.9M	2.06B	-14.7M	1.14	4.09	167,482	190,446	1,977,354	1,884,182
2020-03-12	$20.65	$29.00	107.9%	29.7%	76.9%	100.0%	98.9%	48.8%	-6.3%	-11.7M	2.25B	-12.9M	1.62	3.03	198,666	322,414	2,041,180	1,952,452
2020-03-13	$23.11	$29.00	90.3%	25.1%	91.1%	80.8%	92.8%	57.0%	-3.5%	-8.1M	1.87B	-15.9M	1.15	9.09	216,396	248,413	2,099,754	2,021,167
2020-03-16	$20.84	$29.00	113.3%	32.0%	95.4%	100.0%	111.8%	44.1%	-1.3%	-10.5M	2.06B	-14.4M	0.76	5.81	219,720	167,845	2,045,318	2,050,317
2020-03-17	$21.84	$29.00	101.1%	28.8%	98.8%	87.4%	97.3%	40.1%	-2.7%	-9.7M	1.95B	-15.2M	0.80	3.43	199,834	160,790	2,090,515	2,065,474
2020-03-18	$19.77	$29.00	131.0%	37.5%	101.4%	100.0%	135.5%	49.3%	-5.7%	-8.9M	1.98B	-14.0M	0.84	2.71	204,838	171,401	2,117,143	2,083,680
2020-03-19	$21.70	$29.00	105.7%	30.5%	109.8%	77.9%	110.9%	37.4%	-5.0%	-8.0M	1.79B	-15.5M	0.73	8.12	209,255	151,995	2,158,364	2,093,243
2020-03-20	$19.81	$28.00	100.3%	29.0%	112.3%	73.2%	101.0%	36.3%	-0.5%	-12.9M	2.21B	-12.6M	0.79	11.18	280,584	221,784	2,163,410	2,104,100
2020-03-23	$18.07	$28.00	105.7%	31.7%	114.5%	77.9%	115.2%	38.7%	-3.7%	-9.8M	2.05B	-10.8M	0.79	3.86	208,591	165,226	1,925,457	1,938,874
2020-03-24	$20.78	$28.00	85.1%	25.2%	128.8%	60.0%	90.7%	23.3%	-5.5%	-8.8M	1.81B	-13.3M	0.74	9.84	312,576	231,496	2,016,249	1,966,180
2020-03-25	$21.86	$27.00	84.6%	25.5%	131.3%	59.5%	89.4%	25.7%	2.2%	-7.1M	1.57B	-15.2M	0.66	4.61	271,911	178,351	2,072,293	2,023,087
2020-03-26	$22.34	$27.00	79.0%	23.9%	131.5%	54.6%	82.0%	27.5%	-2.8%	-4.9M	1.48B	-15.6M	0.79	3.55	197,019	154,999	2,122,370	2,058,317
2020-03-27	$21.68	$26.00	80.3%	25.0%	130.9%	55.8%	83.8%	28.8%	-2.3%	-8.5M	1.65B	-14.8M	0.89	3.68	150,427	133,683	2,165,620	2,094,398
2020-03-30	$22.05	$26.00	73.4%	22.8%	130.3%	49.7%	77.4%	26.0%	-3.3%	-8.3M	1.67B	-14.7M	0.90	3.98	144,349	129,204	2,083,887	2,008,710
2020-03-31	$21.29	$26.00	67.2%	21.9%	130.4%	44.3%	74.0%	24.5%	-1.8%	-11.3M	1.87B	-14.1M	0.77	2.71	142,741	109,914	2,129,088	2,051,246