BAC Options History — August 2020

In August 2020, BAC traded between $24.95 and $26.88. ATM implied volatility averaged 35.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 8.6% (HV 20d: 26.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2020-08-11: Highest Volume — 668,353 contracts
2020-08-27: Largest IV spike — 5.9% change
2020-08-03: Highest IV Rank — 18.2%
2020-08-11: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.81	$24.95	$26.88	$24.99	$25.80
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	35.4%	33.0%	37.3%	37.3%	36.9%
Expected Move	10.0%	9.4%	10.6%	10.3%	10.1%
HV 20d	26.8%	23.0%	36.4%	36.4%	23.9%
HV 60d	47.9%	41.1%	54.5%	54.5%	41.1%
IV Rank	16.5%	14.4%	18.2%	18.2%	17.8%
IV Percentile	54.4%	50.0%	59.1%	59.1%	56.7%
Term Structure	0.2%	-1.1%	1.3%	-0.8%	0.2%
VWIV	35.8%	33.2%	39.3%	36.3%	36.3%
Skew 25d	2.2%	0.9%	4.0%	4.0%	2.8%
Skew 10d	4.2%	0.8%	6.5%	5.8%	5.6%
Call IV 25d	35.0%	32.5%	37.2%	36.5%	36.9%
Put IV 25d	37.3%	35.2%	40.4%	40.4%	39.7%
Bid-Ask Spread %	2.10	1.59	2.53	2.36	1.85
Gamma HHI	0.10	0.07	0.30	0.07	0.07
Net GEX	45.8M	23.3M	103.6M	29.0M	32.2M
Net DEX	-527.8M	-1.43B	375.8M	-118.7M	-366.4M
Net VEX	-20.0M	-20.9M	-19.2M	-19.7M	-19.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.33	1.12	0.52	0.53
Total Volume	333,632.095	104,869	668,353	178,911	253,384
Total OI	5,021,659.571	4,648,796	5,534,173	4,813,010	4,797,830

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
2020-08-03	$24.99	$25.00	37.3%	10.3%	36.4%	18.2%	36.3%	4.0%	-0.8%	29.0M	-118.7M	-19.7M	0.52	2.36	117,545	61,366	2,605,380	2,207,630
2020-08-04	$24.95	$25.00	36.5%	9.9%	34.3%	17.5%	35.5%	3.2%	-0.1%	29.5M	-82.2M	-19.8M	0.53	2.53	68,349	36,520	2,641,796	2,235,411
2020-08-05	$25.38	$25.00	35.6%	9.5%	34.6%	16.7%	33.9%	3.4%	-1.1%	44.4M	-395.8M	-19.8M	0.46	2.35	192,068	88,527	2,657,303	2,243,800
2020-08-06	$25.43	$25.00	35.8%	10.3%	33.4%	16.9%	35.8%	2.3%	-0.6%	48.5M	-446.5M	-20.0M	0.46	2.23	173,881	79,919	2,705,177	2,271,825
2020-08-07	$26.06	$25.00	36.4%	10.3%	28.3%	17.4%	36.7%	3.3%	-0.8%	103.6M	-994.4M	-20.5M	0.41	2.35	403,940	165,712	2,739,776	2,293,775
2020-08-10	$26.53	$25.00	35.8%	10.3%	28.7%	16.9%	36.9%	2.7%	0.1%	64.8M	-1.18B	-20.5M	0.36	2.09	295,767	105,324	2,726,742	2,241,994
2020-08-11	$26.88	$25.00	37.3%	10.6%	28.5%	18.2%	39.3%	2.0%	0.1%	71.9M	-1.43B	-20.9M	0.51	2.46	443,016	225,337	2,754,313	2,272,302
2020-08-12	$26.65	$25.00	36.3%	10.4%	28.1%	17.3%	36.6%	1.9%	-0.2%	55.8M	-1.21B	-20.6M	0.55	2.13	220,614	121,911	2,758,968	2,313,294
2020-08-13	$26.30	$25.00	35.7%	10.4%	26.3%	16.8%	36.6%	2.6%	0.8%	43.8M	-840.3M	-20.5M	0.82	1.93	179,056	146,699	2,786,227	2,333,440
2020-08-14	$26.41	$25.00	36.1%	10.6%	23.3%	17.2%	37.0%	1.7%	0.8%	44.0M	-951.1M	-20.6M	0.41	1.91	219,945	89,958	2,837,146	2,376,728
2020-08-17	$25.93	$25.00	34.7%	10.0%	24.7%	15.9%	35.2%	0.9%	0.4%	40.7M	-549.3M	-19.7M	0.50	2.35	228,052	112,999	2,769,366	2,310,356
2020-08-18	$25.53	$25.00	34.6%	10.0%	23.3%	15.9%	35.1%	1.2%	0.3%	30.9M	-227.0M	-19.6M	1.12	1.59	150,329	167,660	2,860,348	2,363,322
2020-08-19	$25.46	$25.00	34.7%	9.9%	23.1%	15.9%	35.5%	1.6%	0.2%	25.5M	-192.2M	-19.4M	0.44	2.12	259,149	113,415	2,908,392	2,412,675
2020-08-20	$25.14	$25.00	34.0%	9.7%	23.5%	15.3%	37.6%	1.0%	0.4%	23.3M	58.4M	-19.5M	0.98	2.05	202,362	197,517	2,990,165	2,447,403
2020-08-21	$24.95	$25.00	33.3%	9.5%	23.6%	14.7%	34.1%	1.0%	0.3%	72.4M	375.8M	-19.2M	0.52	2.34	191,434	99,576	3,046,781	2,487,392
2020-08-24	$25.60	$25.00	33.5%	9.5%	24.6%	14.8%	34.3%	2.4%	0.5%	24.5M	-215.6M	-19.4M	0.38	2.04	259,267	98,194	2,518,501	2,130,295
2020-08-25	$26.03	$25.00	33.0%	9.4%	24.7%	14.4%	33.2%	2.7%	0.2%	43.5M	-589.1M	-20.1M	0.45	1.80	209,380	95,020	2,620,041	2,166,584
2020-08-26	$25.61	$25.00	34.0%	9.6%	23.2%	15.3%	34.2%	2.2%	1.3%	35.0M	-256.5M	-19.7M	0.38	1.95	134,101	50,355	2,640,036	2,174,033
2020-08-27	$26.12	$25.00	35.9%	10.2%	23.1%	17.0%	36.2%	2.0%	0.7%	54.3M	-710.5M	-20.4M	0.33	1.83	308,588	101,389	2,679,386	2,200,933
2020-08-28	$26.23	$25.00	35.7%	9.9%	23.0%	16.7%	35.3%	2.3%	1.2%	44.2M	-766.3M	-20.3M	0.65	1.81	204,973	133,676	2,700,817	2,227,168
2020-08-31	$25.80	$25.00	36.9%	10.1%	23.9%	17.8%	36.3%	2.8%	0.2%	32.2M	-366.4M	-19.8M	0.53	1.85	165,859	87,525	2,624,504	2,173,326