BAC Options History — September 2020 In September 2020, BAC traded between $23.37 and $26.63. ATM implied volatility averaged 39.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 8.9% (HV 20d: 30.4%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.64.
Notable Days 2020-09-03 : Highest Volume — 764,914 contracts2020-09-03 : Largest IV spike — 10.7% change2020-09-08 : Highest IV Rank — 23.9%2020-09-08 : Largest Expected Move — 13.1%Monthly Statistics Metric Avg Min Max Open Close Price $24.94 $23.37 $26.63 $25.66 $24.07 Max Pain $25.19 $25.00 $26.00 $25.00 $25.00 ATM IV 39.3% 36.9% 43.8% 37.2% 38.4% Expected Move 11.5% 10.0% 13.1% 10.0% 11.1% HV 20d 30.4% 24.0% 33.9% 24.0% 33.9% HV 60d 33.9% 30.9% 41.3% 41.1% 30.9% IV Rank 20.0% 17.9% 23.9% 18.1% 19.2% IV Percentile 58.7% 54.4% 63.5% 57.9% 55.2% Term Structure 0.7% -1.4% 4.7% 0.1% 4.7% VWIV 40.5% 34.4% 46.2% 34.4% 38.7% Skew 25d 3.5% 1.7% 4.6% 2.3% 3.4% Skew 10d 8.2% 3.9% 10.7% 5.4% 7.8% Call IV 25d 38.6% 35.3% 42.7% 37.2% 37.8% Put IV 25d 42.2% 39.1% 47.0% 39.6% 41.2% Bid-Ask Spread % 2.86 1.88 11.02 1.88 2.43 Gamma HHI 0.08 0.06 0.13 0.08 0.06 Net GEX 22.5M -12.2M 78.9M 35.2M 11.8M Net DEX 140.8M -1.12B 1.00B -297.3M 515.7M Net VEX -19.3M -21.3M -17.4M -19.8M -18.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.26 1.18 0.48 0.37 Total Volume 330,420.857 167,558 764,914 299,404 181,830 Total OI 4,897,040.619 4,306,162 5,336,582 4,907,867 4,618,620
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 2020-09-01 $25.66 $25.00 37.2% 10.0% 24.0% 18.1% 34.4% 2.3% 0.1% 35.2M -297.3M -19.8M 0.48 1.88 202,640 96,764 2,697,077 2,210,790 2020-09-02 $26.10 $25.00 39.0% 10.6% 24.0% 19.7% 36.9% 1.7% 0.4% 66.9M -691.6M -20.3M 0.28 2.43 336,731 93,704 2,766,431 2,245,857 2020-09-03 $25.59 $26.00 43.2% 13.0% 25.1% 23.4% 44.5% 4.0% -0.5% 36.1M -189.9M -20.9M 0.44 2.69 530,683 234,231 2,760,958 2,285,985 2020-09-04 $26.63 $26.00 41.0% 12.3% 27.5% 21.4% 43.6% 4.2% 0.1% 78.9M -1.12B -21.3M 0.46 11.02 433,507 200,409 2,805,264 2,327,208 2020-09-08 $25.59 $26.00 43.8% 13.1% 30.3% 23.9% 46.2% 4.4% 1.8% 27.5M -131.8M -20.2M 0.71 2.79 264,309 188,253 2,676,143 2,258,580 2020-09-09 $25.59 $26.00 39.2% 11.9% 29.8% 19.9% 42.1% 2.7% 2.1% 38.9M -154.7M -20.1M 0.45 2.40 198,812 89,658 2,778,937 2,295,782 2020-09-10 $25.23 $25.00 39.8% 12.0% 30.1% 20.4% 41.6% 4.6% 2.5% 23.5M 106.5M -20.0M 1.16 2.33 171,496 198,793 2,866,370 2,332,518 2020-09-11 $25.51 $25.00 36.9% 11.0% 30.2% 17.9% 38.8% 3.8% 2.2% 36.2M -99.1M -20.1M 0.84 2.10 175,235 146,400 2,891,316 2,388,890 2020-09-14 $25.80 $25.00 37.7% 11.0% 30.5% 18.5% 39.3% 4.3% -0.7% 37.9M -278.9M -20.0M 0.81 2.39 140,973 113,883 2,781,987 2,332,836 2020-09-15 $25.30 $25.00 37.7% 10.9% 30.5% 18.5% 38.5% 2.9% -1.4% 27.4M 62.8M -19.6M 0.65 2.91 158,873 102,737 2,817,236 2,348,017 2020-09-16 $25.71 $25.00 37.7% 10.8% 30.6% 18.5% 39.0% 3.6% -0.0% 40.5M -251.3M -19.9M 0.88 2.94 200,348 176,198 2,857,655 2,384,769 2020-09-17 $25.30 $25.00 39.3% 11.3% 31.2% 19.9% 40.3% 4.3% -0.9% 6.3M 72.3M -19.6M 1.18 2.65 95,860 113,558 2,892,719 2,424,792 2020-09-18 $25.35 $25.00 38.4% 11.1% 30.8% 19.2% 38.3% 4.2% -1.4% 14.5M -10.5M -19.5M 0.56 2.70 171,281 95,269 2,903,187 2,433,395 2020-09-21 $24.37 $25.00 40.1% 11.8% 33.9% 20.6% 41.8% 3.9% -0.6% 1.1M 520.5M -18.4M 0.55 2.39 200,333 110,525 2,352,080 1,954,082 2020-09-22 $23.88 $25.00 39.6% 11.6% 32.9% 20.2% 41.4% 3.7% -0.7% 705.7K 750.2M -17.8M 0.87 2.33 163,344 142,266 2,412,095 1,975,032 2020-09-23 $23.37 $25.00 40.6% 11.8% 32.6% 21.1% 42.1% 3.5% -0.4% -6.7M 1.00B -17.4M 0.64 2.39 132,378 84,546 2,475,604 2,034,451 2020-09-24 $23.38 $25.00 40.3% 11.5% 32.4% 20.8% 41.7% 3.3% 0.3% -5.3M 978.8M -17.4M 0.66 2.57 196,688 130,581 2,511,840 2,035,692 2020-09-25 $23.41 $25.00 38.9% 11.3% 31.2% 19.6% 40.3% 2.6% -0.1% -12.2M 997.1M -17.6M 0.61 2.28 115,409 70,198 2,555,301 2,080,898 2020-09-28 $24.13 $25.00 37.9% 11.4% 33.6% 18.7% 39.8% 3.8% 4.0% 7.9M 513.6M -18.4M 0.26 2.29 248,901 63,676 2,477,852 2,028,899 2020-09-29 $23.80 $25.00 39.0% 11.6% 33.5% 19.7% 40.9% 3.3% 3.8% 5.1M 662.3M -18.1M 0.60 2.16 104,593 62,965 2,520,609 2,040,099 2020-09-30 $24.07 $25.00 38.4% 11.1% 33.9% 19.2% 38.7% 3.4% 4.7% 11.8M 515.7M -18.3M 0.37 2.43 132,967 48,863 2,558,719 2,059,901
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