BAC Options History — June 2020

In June 2020, BAC traded between $23.12 and $28.39. ATM implied volatility averaged 51.3%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 14.6% (HV 20d: 65.9%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2020-06-05: Highest Volume — 659,481 contracts
2020-06-11: Largest IV spike — 27.3% change
2020-06-12: Highest IV Rank — 39.6%
2020-06-11: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.27	$23.12	$28.39	$24.62	$23.80
Max Pain	$25.14	$25.00	$26.00	$26.00	$25.00
ATM IV	51.3%	43.0%	61.8%	46.9%	47.2%
Expected Move	14.8%	12.0%	17.6%	13.5%	14.1%
HV 20d	65.9%	59.7%	74.9%	61.6%	63.8%
HV 60d	76.1%	64.8%	93.5%	93.5%	64.8%
IV Rank	30.4%	23.2%	39.6%	26.6%	26.8%
IV Percentile	81.0%	73.8%	89.7%	80.6%	75.8%
Term Structure	-1.0%	-2.5%	0.5%	-0.9%	-0.5%
VWIV	52.1%	42.3%	62.6%	47.7%	49.2%
Skew 25d	5.6%	2.0%	9.7%	6.9%	4.8%
Skew 10d	11.0%	2.6%	20.7%	15.3%	10.7%
Call IV 25d	49.7%	42.3%	60.7%	44.4%	45.6%
Put IV 25d	55.2%	46.7%	67.9%	51.3%	50.4%
Bid-Ask Spread %	3.17	1.76	4.43	1.82	4.17
Gamma HHI	0.07	0.05	0.15	0.07	0.06
Net GEX	8.8M	-13.9M	35.5M	5.4M	3.5M
Net DEX	174.9M	-1.55B	1.22B	552.7M	730.0M
Net VEX	-20.9M	-23.0M	-19.1M	-19.2M	-19.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.30	1.22	0.44	1.00
Total Volume	373,575.955	184,487	659,481	184,487	303,909
Total OI	4,865,459.636	4,141,691	5,470,910	4,668,607	4,429,492

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
2020-06-01	$24.62	$26.00	46.9%	13.5%	61.6%	26.6%	47.7%	6.9%	-0.9%	5.4M	552.7M	-19.2M	0.44	1.82	128,138	56,349	2,373,151	2,295,456
2020-06-02	$24.70	$26.00	47.0%	14.0%	61.5%	26.6%	48.4%	6.7%	-1.5%	10.9M	474.3M	-19.4M	0.42	2.18	291,848	123,927	2,429,518	2,311,411
2020-06-03	$26.09	$26.00	44.9%	13.1%	63.8%	24.8%	45.2%	6.1%	-1.2%	35.4M	-413.4M	-20.9M	0.30	1.76	472,134	141,100	2,491,456	2,377,420
2020-06-04	$26.69	$25.00	44.5%	12.5%	63.6%	24.5%	45.4%	6.4%	-1.8%	31.6M	-572.3M	-21.6M	0.55	2.54	291,132	160,556	2,444,039	2,433,021
2020-06-05	$28.10	$25.00	43.0%	12.0%	65.2%	23.2%	42.3%	3.8%	-1.7%	35.5M	-1.55B	-22.3M	0.47	2.21	448,649	210,832	2,478,416	2,486,286
2020-06-08	$28.39	$25.00	45.5%	12.9%	64.9%	25.3%	45.2%	2.0%	0.1%	28.3M	-1.52B	-22.6M	0.37	3.72	385,291	141,207	2,440,556	2,447,103
2020-06-09	$28.38	$25.00	45.6%	13.1%	62.6%	25.5%	46.4%	2.3%	0.5%	33.4M	-1.54B	-23.0M	0.60	3.09	216,965	129,737	2,561,171	2,495,904
2020-06-10	$26.60	$25.00	48.5%	13.8%	66.7%	28.0%	49.4%	2.3%	-0.1%	12.9M	-344.9M	-22.3M	0.58	2.80	285,613	166,572	2,623,595	2,531,075
2020-06-11	$23.95	$25.00	61.8%	17.6%	74.9%	39.6%	61.0%	7.0%	-0.8%	-9.2M	1.22B	-20.4M	1.07	2.85	294,160	316,029	2,690,729	2,556,928
2020-06-12	$24.64	$25.00	61.8%	17.4%	74.2%	39.6%	62.6%	9.7%	-1.7%	-7.2M	830.6M	-21.3M	1.22	2.27	194,084	237,361	2,768,085	2,609,570
2020-06-15	$24.91	$25.00	60.1%	17.2%	73.6%	38.1%	59.9%	7.2%	-2.5%	2.3M	510.8M	-21.5M	0.54	2.95	235,086	127,685	2,657,996	2,549,003
2020-06-16	$25.62	$25.00	57.0%	16.3%	69.4%	35.4%	57.6%	6.8%	-0.8%	13.9M	70.6M	-22.0M	0.79	3.23	277,172	218,818	2,730,207	2,567,091
2020-06-17	$25.03	$25.00	55.5%	15.9%	68.9%	34.1%	55.5%	6.3%	-2.0%	3.9M	542.1M	-21.3M	0.93	3.47	114,857	106,494	2,753,061	2,639,808
2020-06-18	$24.99	$25.00	54.2%	15.6%	68.3%	33.0%	54.4%	5.5%	-1.2%	2.2M	593.1M	-21.3M	0.71	3.83	151,668	106,968	2,774,637	2,683,956
2020-06-19	$24.94	$25.00	53.4%	15.5%	68.2%	32.2%	54.9%	6.0%	-1.6%	-12.5M	699.4M	-20.8M	0.82	3.39	181,739	149,034	2,796,772	2,674,138
2020-06-22	$24.70	$25.00	50.9%	14.8%	68.2%	30.1%	51.9%	4.8%	-0.4%	5.0M	328.6M	-20.4M	0.47	3.76	134,189	62,525	2,166,661	1,975,030
2020-06-23	$24.86	$25.00	48.3%	14.2%	63.4%	27.8%	49.9%	5.4%	-0.2%	8.3M	275.5M	-20.5M	0.64	3.63	135,483	86,665	2,228,150	2,019,445
2020-06-24	$23.93	$25.00	53.1%	15.6%	60.1%	32.0%	54.1%	5.5%	-0.9%	-982.3K	675.4M	-19.8M	0.66	4.43	154,491	102,718	2,259,124	2,045,254
2020-06-25	$24.64	$25.00	52.5%	15.6%	59.7%	31.4%	54.9%	6.2%	-0.8%	9.2M	321.4M	-20.8M	0.40	4.42	217,328	87,325	2,307,700	2,086,890
2020-06-26	$23.12	$25.00	54.8%	16.2%	63.3%	33.5%	56.7%	5.3%	-1.3%	-13.9M	1.03B	-19.1M	0.78	4.42	201,473	156,714	2,384,106	2,107,499
2020-06-29	$23.27	$25.00	51.1%	15.2%	63.2%	30.2%	53.1%	5.4%	-0.6%	-3.4M	926.0M	-19.1M	0.50	2.83	143,552	71,094	2,285,033	2,074,169
2020-06-30	$23.80	$25.00	47.2%	14.1%	63.8%	26.8%	49.2%	4.8%	-0.5%	3.5M	730.0M	-19.5M	1.00	4.17	152,218	151,691	2,335,073	2,094,419