BAC Options History — May 2020

In May 2020, BAC traded between $20.82 and $25.94. ATM implied volatility averaged 48.8%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 12.2% (HV 20d: 61.1%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.64.

Notable Days

2020-05-27: Highest Volume — 546,278 contracts
2020-05-13: Largest IV spike — 17.9% change
2020-05-13: Highest IV Rank — 34.7%
2020-05-13: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.97	$20.82	$25.94	$23.04	$24.35
Max Pain	$26.20	$23.00	$27.00	$23.00	$26.00
ATM IV	48.8%	44.7%	56.2%	51.7%	46.3%
Expected Move	14.0%	12.7%	16.2%	15.4%	12.9%
HV 20d	61.1%	50.3%	72.1%	72.1%	63.6%
HV 60d	91.8%	89.9%	94.3%	90.0%	94.3%
IV Rank	28.3%	24.7%	34.7%	30.8%	26.1%
IV Percentile	82.5%	78.2%	86.5%	85.3%	78.6%
Term Structure	-0.1%	-1.5%	2.0%	1.5%	-0.7%
VWIV	49.0%	45.1%	57.0%	53.0%	45.1%
Skew 25d	9.0%	6.4%	12.7%	11.9%	6.9%
Skew 10d	17.8%	12.7%	26.3%	25.4%	14.1%
Call IV 25d	45.3%	40.0%	53.0%	46.6%	44.1%
Put IV 25d	54.3%	49.3%	63.2%	58.5%	51.0%
Bid-Ask Spread %	2.37	1.90	3.55	2.07	2.24
Gamma HHI	0.07	0.06	0.12	0.08	0.07
Net GEX	-2.9M	-16.6M	18.1M	-8.4M	165.2K
Net DEX	1.21B	-311.3M	2.07B	1.28B	698.3M
Net VEX	-17.4M	-20.7M	-14.8M	-18.1M	-19.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.31	1.05	1.05	0.88
Total Volume	279,551.85	158,629	546,278	281,884	262,914
Total OI	4,692,488.1	4,363,991	5,016,468	4,758,753	4,804,941

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
2020-05-01	$23.04	$23.00	51.7%	15.4%	72.1%	30.8%	53.0%	11.9%	1.5%	-8.4M	1.28B	-18.1M	1.05	2.07	137,824	144,060	2,431,643	2,327,110
2020-05-04	$22.93	$27.00	52.3%	14.8%	71.2%	31.3%	51.7%	12.7%	-0.6%	-7.9M	1.31B	-17.6M	0.62	2.48	102,936	63,554	2,382,507	2,273,653
2020-05-05	$22.66	$27.00	50.9%	14.2%	66.8%	30.0%	48.6%	11.6%	-1.0%	-7.6M	1.43B	-17.0M	0.44	3.55	115,786	51,102	2,413,167	2,287,407
2020-05-06	$22.39	$27.00	49.8%	14.5%	64.9%	29.1%	48.6%	11.2%	-0.2%	-11.4M	1.58B	-16.7M	0.72	2.42	92,112	66,517	2,424,177	2,303,144
2020-05-07	$22.88	$27.00	46.5%	13.5%	63.6%	26.2%	47.0%	9.6%	-0.2%	-5.9M	1.36B	-17.0M	0.57	2.14	165,901	95,161	2,452,361	2,311,211
2020-05-08	$23.56	$27.00	44.7%	12.7%	59.4%	24.7%	47.1%	9.4%	0.1%	14.2M	973.4M	-17.6M	0.72	2.53	132,747	95,246	2,486,888	2,324,759
2020-05-11	$22.69	$27.00	47.2%	13.4%	59.3%	26.8%	47.0%	8.7%	-0.8%	-7.4M	1.38B	-16.6M	0.51	2.41	146,284	73,888	2,412,804	2,266,949
2020-05-12	$22.01	$27.00	47.7%	13.7%	60.0%	27.2%	47.8%	7.3%	0.3%	-13.0M	1.69B	-15.7M	0.64	2.90	157,535	100,672	2,460,872	2,276,752
2020-05-13	$20.82	$26.00	56.2%	16.2%	58.9%	34.7%	57.0%	9.9%	0.2%	-16.6M	2.07B	-14.8M	0.84	2.02	170,294	142,325	2,506,954	2,306,967
2020-05-14	$21.71	$26.00	56.0%	16.1%	59.2%	34.5%	56.8%	11.3%	-0.2%	-11.5M	1.70B	-16.3M	0.61	2.71	306,665	185,803	2,560,157	2,344,535
2020-05-15	$21.31	$26.00	53.4%	15.7%	50.3%	32.3%	53.7%	8.4%	2.0%	-15.5M	1.99B	-15.7M	0.71	2.46	153,224	108,727	2,623,030	2,393,438
2020-05-18	$23.02	$26.00	47.7%	13.7%	56.1%	27.3%	48.3%	9.2%	0.4%	-942.7K	1.10B	-17.4M	0.31	2.10	256,274	79,947	2,222,016	2,141,975
2020-05-19	$22.30	$26.00	48.7%	14.0%	56.6%	28.2%	48.6%	7.8%	-0.1%	-3.2M	1.36B	-16.6M	0.47	2.34	127,462	59,668	2,283,982	2,164,295
2020-05-20	$22.98	$26.00	46.8%	13.4%	57.5%	26.5%	48.0%	8.1%	-0.6%	5.7M	1.13B	-17.3M	0.73	1.90	107,481	78,826	2,324,878	2,195,389
2020-05-21	$22.86	$26.00	46.2%	13.2%	57.5%	26.0%	46.1%	7.8%	0.3%	4.0M	1.19B	-17.3M	0.66	2.11	126,300	83,949	2,346,935	2,224,009
2020-05-22	$22.62	$26.00	46.0%	13.1%	57.5%	25.8%	46.3%	7.2%	1.2%	-9.3M	1.30B	-17.0M	0.79	1.91	130,690	103,203	2,380,015	2,247,159
2020-05-26	$24.31	$26.00	45.5%	13.1%	59.7%	25.4%	46.6%	6.5%	-1.5%	7.8M	562.6M	-18.8M	0.37	2.59	379,391	142,248	2,334,851	2,226,896
2020-05-27	$25.94	$26.00	46.4%	13.2%	63.6%	26.1%	46.6%	8.2%	-0.5%	18.1M	-311.3M	-20.7M	0.52	2.08	359,085	187,193	2,385,301	2,267,881
2020-05-28	$24.95	$26.00	47.0%	13.1%	64.2%	26.7%	46.4%	6.4%	-1.4%	10.0M	309.6M	-19.7M	0.71	2.42	174,628	123,415	2,395,059	2,333,695
2020-05-29	$24.35	$26.00	46.3%	12.9%	63.6%	26.1%	45.1%	6.9%	-0.7%	165.2K	698.3M	-19.1M	0.88	2.24	139,892	123,022	2,435,609	2,369,332