BAC Options History — April 2020

In April 2020, BAC traded between $19.63 and $24.95. ATM implied volatility averaged 60.3%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 41.6% (HV 20d: 101.8%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2020-04-09: Highest Volume — 621,304 contracts
2020-04-06: Largest IV drop — 15.7% change
2020-04-01: Highest IV Rank — 57.7%
2020-04-01: Largest Expected Move — 24.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.53	$19.63	$24.95	$19.63	$24.05
Max Pain	$24.52	$23.00	$26.00	$26.00	$23.00
ATM IV	60.3%	43.4%	82.5%	82.5%	46.5%
Expected Move	17.3%	12.7%	24.5%	24.5%	13.6%
HV 20d	101.8%	70.4%	132.6%	132.4%	70.4%
HV 60d	86.0%	79.9%	89.9%	79.9%	89.9%
IV Rank	38.2%	23.5%	57.7%	57.7%	26.2%
IV Percentile	89.9%	84.1%	95.6%	95.6%	84.9%
Term Structure	-0.4%	-3.1%	1.5%	-2.5%	1.5%
VWIV	60.0%	45.9%	89.0%	89.0%	47.0%
Skew 25d	15.6%	9.3%	27.9%	27.9%	10.1%
Skew 10d	31.6%	20.4%	51.4%	51.4%	21.6%
Call IV 25d	53.7%	39.6%	69.7%	69.7%	42.2%
Put IV 25d	69.3%	49.0%	97.6%	97.6%	52.3%
Bid-Ask Spread %	2.32	1.82	3.61	3.61	1.82
Gamma HHI	0.07	0.05	0.09	0.07	0.06
Net GEX	-4.9M	-14.8M	12.9M	-13.6M	1.3M
Net DEX	1.32B	301.2M	2.07B	2.07B	782.8M
Net VEX	-16.7M	-19.5M	-12.6M	-12.6M	-18.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.52	1.26	1.09	0.98
Total Volume	329,142.429	170,912	621,304	267,292	227,904
Total OI	4,494,953.238	4,230,203	4,865,929	4,230,203	4,701,379

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
2020-04-01	$19.63	$26.00	82.5%	24.5%	132.4%	57.7%	89.0%	27.9%	-2.5%	-13.6M	2.07B	-12.6M	1.09	3.61	128,178	139,114	2,160,553	2,069,650
2020-04-02	$20.36	$26.00	72.4%	20.7%	132.6%	48.8%	69.2%	24.5%	-1.9%	-12.0M	1.90B	-13.5M	1.07	2.57	142,347	151,632	2,197,144	2,078,923
2020-04-03	$19.81	$26.00	72.8%	20.1%	132.5%	49.2%	68.5%	23.1%	-0.4%	-14.2M	2.00B	-12.9M	1.19	2.69	120,822	143,413	2,234,750	2,104,132
2020-04-06	$21.34	$26.00	61.3%	17.8%	124.4%	39.2%	59.9%	19.1%	1.3%	-9.1M	1.75B	-14.3M	0.71	2.73	181,691	128,912	2,168,827	2,062,018
2020-04-07	$22.38	$25.00	61.2%	17.7%	122.4%	39.0%	61.8%	19.4%	1.0%	-4.5M	1.46B	-15.8M	0.58	2.93	235,784	137,514	2,219,565	2,101,745
2020-04-08	$23.32	$25.00	61.2%	17.4%	122.6%	39.1%	57.8%	18.1%	-0.2%	-557.5K	1.13B	-17.1M	0.61	2.19	171,848	104,151	2,266,524	2,123,755
2020-04-09	$24.95	$25.00	61.3%	17.4%	119.0%	39.2%	59.7%	16.4%	-0.7%	6.3M	459.7M	-19.3M	0.52	2.04	409,811	211,493	2,294,640	2,163,069
2020-04-13	$23.98	$25.00	64.5%	18.3%	113.7%	42.0%	62.5%	16.0%	-0.7%	-586.0K	1.00B	-17.9M	0.89	2.85	166,389	147,568	2,289,556	2,152,466
2020-04-14	$23.68	$25.00	57.9%	16.5%	106.9%	36.2%	60.1%	14.9%	0.5%	-3.6M	1.18B	-17.6M	1.26	2.19	169,607	214,253	2,346,279	2,221,569
2020-04-15	$22.20	$25.00	62.2%	17.8%	108.6%	40.0%	61.2%	12.5%	-0.4%	-12.8M	1.71B	-16.2M	0.68	1.85	320,117	216,614	2,382,776	2,291,966
2020-04-16	$21.32	$25.00	63.9%	18.4%	103.3%	41.5%	63.3%	12.6%	-1.7%	-14.8M	1.93B	-15.3M	0.89	1.84	185,855	165,945	2,444,508	2,296,631
2020-04-17	$23.23	$25.00	59.2%	16.9%	102.4%	37.3%	61.2%	13.0%	0.5%	-3.7M	1.15B	-18.1M	0.70	2.25	258,073	181,200	2,537,929	2,328,000
2020-04-20	$22.31	$25.00	63.8%	18.4%	97.7%	41.4%	62.5%	13.7%	-3.1%	-7.0M	1.35B	-17.2M	0.66	2.43	168,468	111,745	2,151,878	2,121,353
2020-04-21	$21.77	$25.00	66.1%	19.0%	91.5%	43.3%	66.4%	15.3%	-2.3%	-8.6M	1.51B	-16.9M	0.93	2.06	166,624	154,179	2,224,812	2,155,394
2020-04-22	$21.96	$23.00	62.2%	17.7%	77.5%	39.9%	61.8%	14.2%	-0.6%	-8.6M	1.46B	-17.2M	0.90	2.06	90,029	80,883	2,304,863	2,229,692
2020-04-23	$22.01	$23.00	58.1%	16.6%	75.4%	36.4%	56.3%	13.1%	-1.0%	-8.5M	1.47B	-17.1M	0.78	2.17	114,282	89,487	2,330,981	2,236,934
2020-04-24	$22.29	$23.00	52.5%	14.6%	75.1%	31.5%	52.5%	11.9%	0.0%	-8.1M	1.41B	-17.3M	0.72	2.08	115,353	83,249	2,370,293	2,273,028
2020-04-27	$23.59	$23.00	46.8%	13.4%	76.8%	26.5%	46.8%	11.9%	0.7%	340.6K	920.9M	-18.3M	0.71	2.11	182,318	128,996	2,311,160	2,201,811
2020-04-28	$24.04	$23.00	45.4%	13.2%	76.8%	25.2%	45.9%	11.5%	1.5%	6.8M	704.5M	-18.7M	0.53	2.07	249,344	132,472	2,353,458	2,231,919
2020-04-29	$24.89	$23.00	43.4%	12.7%	76.1%	23.5%	46.5%	9.3%	-0.4%	12.9M	301.2M	-19.5M	0.65	2.23	233,538	150,789	2,394,942	2,263,146
2020-04-30	$24.05	$23.00	46.5%	13.6%	70.4%	26.2%	47.0%	10.1%	1.5%	1.3M	782.8M	-18.8M	0.98	1.82	115,157	112,747	2,406,271	2,295,108