BAC Options History — July 2020

In July 2020, BAC traded between $22.62 and $25.22. ATM implied volatility averaged 42.5%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 3.1% (HV 20d: 45.6%). 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 8 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2020-07-10: Highest Volume — 630,519 contracts
2020-07-16: Largest IV drop — 8.1% change
2020-07-09: Highest IV Rank — 29.9%
2020-07-01: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.97	$22.62	$25.22	$23.30	$24.74
Max Pain	$25.09	$25.00	$26.00	$25.00	$25.00
ATM IV	42.5%	35.4%	50.7%	47.6%	37.3%
Expected Move	12.0%	10.2%	14.3%	14.3%	10.5%
HV 20d	45.6%	35.7%	60.5%	60.5%	36.5%
HV 60d	57.6%	54.3%	63.2%	63.2%	54.6%
IV Rank	22.8%	16.6%	29.9%	27.2%	18.2%
IV Percentile	66.5%	57.9%	78.2%	75.8%	59.1%
Term Structure	-0.2%	-1.9%	1.5%	-0.8%	1.5%
VWIV	42.1%	35.4%	50.0%	50.0%	36.5%
Skew 25d	2.8%	1.6%	4.4%	4.4%	2.0%
Skew 10d	5.1%	3.1%	8.1%	8.1%	5.2%
Call IV 25d	41.6%	34.8%	50.3%	46.2%	36.4%
Put IV 25d	44.4%	37.0%	53.1%	50.5%	38.3%
Bid-Ask Spread %	2.65	2.22	3.38	2.98	2.80
Gamma HHI	0.07	0.06	0.11	0.06	0.07
Net GEX	18.0M	-8.5M	53.3M	-2.5M	23.6M
Net DEX	444.0M	-407.7M	1.15B	990.1M	10.0M
Net VEX	-19.4M	-20.6M	-18.1M	-18.8M	-19.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.29	0.95	0.77	0.51
Total Volume	293,441.364	162,636	630,519	210,976	204,813
Total OI	4,828,622.955	4,448,423	5,197,804	4,533,735	4,992,350

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
2020-07-01	$23.30	$25.00	47.6%	14.3%	60.5%	27.2%	50.0%	4.4%	-0.8%	-2.5M	990.1M	-18.8M	0.77	2.98	119,301	91,675	2,387,945	2,145,790
2020-07-02	$23.35	$25.00	44.7%	13.4%	59.7%	24.6%	46.8%	3.8%	-0.7%	-1.8M	1.02B	-18.6M	0.71	3.21	135,072	96,118	2,423,630	2,177,649
2020-07-06	$23.66	$26.00	45.7%	12.6%	56.2%	25.5%	44.1%	3.7%	-0.8%	988.5K	780.7M	-18.9M	0.68	2.48	153,675	104,473	2,331,525	2,116,898
2020-07-07	$22.94	$26.00	47.3%	13.1%	56.2%	26.9%	46.5%	2.9%	-0.7%	-7.5M	1.10B	-18.2M	0.66	2.46	160,221	105,567	2,388,702	2,137,317
2020-07-08	$23.05	$25.00	49.0%	13.4%	56.4%	28.4%	47.2%	3.7%	-0.7%	-3.2M	996.8M	-18.5M	0.35	2.62	203,728	70,727	2,465,737	2,171,640
2020-07-09	$22.62	$25.00	50.7%	13.9%	52.7%	29.9%	48.5%	3.0%	-0.8%	-8.5M	1.15B	-18.1M	0.49	2.84	206,456	101,349	2,526,389	2,179,775
2020-07-10	$23.96	$25.00	50.5%	13.7%	44.0%	29.8%	47.9%	2.7%	-1.9%	35.0M	330.3M	-20.1M	0.42	3.38	444,211	186,308	2,605,099	2,211,149
2020-07-13	$24.22	$25.00	50.0%	13.8%	42.9%	29.3%	48.0%	2.2%	-1.1%	24.2M	172.8M	-20.6M	0.53	2.74	206,854	108,990	2,655,418	2,197,504
2020-07-14	$24.04	$25.00	47.3%	13.3%	42.7%	26.9%	45.7%	3.6%	-0.7%	20.9M	355.9M	-20.2M	0.55	2.34	158,235	86,513	2,677,363	2,243,531
2020-07-15	$24.61	$25.00	46.1%	12.9%	42.3%	25.9%	45.9%	2.3%	-0.4%	32.3M	-7.1M	-20.6M	0.51	3.04	220,549	111,584	2,706,903	2,264,690
2020-07-16	$23.94	$25.00	42.4%	11.9%	42.6%	22.6%	41.5%	2.0%	-1.2%	15.7M	506.4M	-19.6M	0.45	3.15	278,998	124,422	2,777,261	2,318,683
2020-07-17	$23.28	$25.00	39.0%	11.2%	43.6%	19.7%	39.2%	1.6%	0.2%	-7.4M	1.00B	-18.7M	0.60	2.62	172,633	103,092	2,840,151	2,357,653
2020-07-20	$23.62	$25.00	38.3%	11.0%	44.1%	19.1%	38.6%	2.2%	-0.9%	5.2M	643.4M	-18.7M	0.59	2.44	163,667	96,293	2,505,851	2,156,775
2020-07-21	$24.41	$25.00	40.0%	11.5%	45.7%	20.5%	39.5%	3.5%	-0.1%	24.8M	125.0M	-19.8M	0.29	2.46	394,611	116,360	2,596,211	2,213,294
2020-07-22	$24.22	$25.00	38.0%	10.9%	45.7%	18.8%	37.6%	2.6%	0.1%	33.6M	235.4M	-19.5M	0.37	2.54	166,048	61,588	2,694,465	2,222,181
2020-07-23	$24.46	$25.00	38.5%	11.0%	43.7%	19.3%	38.5%	3.1%	0.4%	47.0M	67.2M	-19.9M	0.43	2.78	181,884	78,805	2,746,057	2,244,725
2020-07-24	$24.36	$25.00	37.1%	10.6%	42.5%	18.0%	37.0%	3.2%	-0.0%	30.0M	211.1M	-19.7M	0.55	2.29	149,225	81,718	2,725,071	2,263,909
2020-07-27	$24.07	$25.00	37.5%	10.8%	35.7%	18.4%	37.7%	2.1%	1.2%	16.7M	375.2M	-19.2M	0.59	2.34	102,048	60,588	2,611,816	2,208,024
2020-07-28	$24.43	$25.00	36.4%	10.5%	36.0%	17.4%	37.2%	2.3%	0.7%	27.8M	160.3M	-19.4M	0.95	2.22	118,599	112,958	2,642,268	2,230,157
2020-07-29	$25.22	$25.00	35.4%	10.2%	36.8%	16.6%	35.4%	2.2%	1.4%	53.3M	-407.7M	-20.0M	0.56	2.25	248,594	138,011	2,672,292	2,234,512
2020-07-30	$24.79	$25.00	36.9%	10.5%	36.5%	17.9%	37.0%	2.2%	1.5%	36.0M	-40.9M	-19.8M	0.43	2.29	160,160	68,989	2,690,272	2,271,073
2020-07-31	$24.74	$25.00	37.3%	10.5%	36.5%	18.2%	36.5%	2.0%	1.5%	23.6M	10.0M	-19.8M	0.51	2.80	135,432	69,381	2,711,723	2,280,627