BAC Options History — October 2020

In October 2020, BAC traded between $23.55 and $25.80. ATM implied volatility averaged 38.0%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 6.4% (HV 20d: 31.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.55.

Notable Days

2020-10-14: Highest Volume — 535,292 contracts
2020-10-28: Largest IV spike — 11.7% change
2020-10-30: Highest IV Rank — 23.7%
2020-10-30: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.39	$23.55	$25.80	$23.95	$23.57
Max Pain	$24.09	$24.00	$25.00	$25.00	$24.00
ATM IV	38.0%	33.2%	43.6%	38.9%	43.6%
Expected Move	11.0%	9.4%	13.2%	11.1%	13.2%
HV 20d	31.6%	27.3%	34.4%	33.1%	32.8%
HV 60d	29.5%	27.8%	30.9%	30.9%	30.0%
IV Rank	18.8%	14.6%	23.7%	19.6%	23.7%
IV Percentile	49.9%	35.7%	63.1%	56.0%	63.1%
Term Structure	0.2%	-1.1%	4.2%	3.8%	0.5%
VWIV	38.9%	33.8%	47.0%	39.2%	47.0%
Skew 25d	3.2%	1.2%	5.1%	2.6%	4.8%
Skew 10d	7.1%	1.6%	11.6%	6.2%	11.6%
Call IV 25d	37.2%	32.8%	42.1%	37.4%	42.1%
Put IV 25d	40.4%	35.1%	46.8%	40.0%	46.8%
Bid-Ask Spread %	2.15	1.92	2.48	2.48	2.25
Gamma HHI	0.08	0.06	0.30	0.06	0.07
Net GEX	18.0M	-11.8M	102.9M	11.8M	-9.7M
Net DEX	388.3M	-526.0M	910.3M	585.3M	806.4M
Net VEX	-18.5M	-19.7M	-17.3M	-18.3M	-18.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.36	1.04	0.60	0.67
Total Volume	276,911.045	128,096	535,292	229,150	206,708
Total OI	4,867,944.909	4,624,230	5,259,895	4,654,825	5,049,096

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
2020-10-01	$23.95	$25.00	38.9%	11.1%	33.1%	19.6%	39.2%	2.6%	3.8%	11.8M	585.3M	-18.3M	0.60	2.48	142,924	86,226	2,579,849	2,074,976
2020-10-02	$24.20	$25.00	39.8%	11.7%	32.9%	20.3%	40.8%	3.2%	4.2%	10.4M	430.8M	-18.6M	0.66	2.28	173,899	114,966	2,623,666	2,115,310
2020-10-05	$24.69	$24.00	40.8%	11.9%	30.2%	21.3%	45.4%	4.8%	0.4%	20.8M	166.7M	-19.1M	0.47	2.10	185,233	87,813	2,528,268	2,095,962
2020-10-06	$24.37	$24.00	41.8%	12.2%	27.3%	22.1%	43.3%	3.6%	-0.5%	13.8M	388.0M	-18.8M	0.50	2.03	297,913	147,908	2,568,171	2,135,165
2020-10-07	$24.93	$24.00	41.6%	11.7%	28.7%	22.0%	40.8%	3.3%	-0.6%	35.1M	2.7M	-19.4M	0.59	1.99	137,487	81,699	2,635,041	2,188,897
2020-10-08	$25.24	$24.00	41.1%	11.5%	28.7%	21.5%	41.0%	4.6%	-0.7%	52.1M	-219.8M	-19.6M	0.43	2.13	151,689	65,080	2,657,994	2,218,127
2020-10-09	$25.30	$24.00	38.7%	11.1%	28.4%	19.4%	38.6%	2.1%	-0.1%	39.3M	-250.7M	-19.3M	0.47	2.20	190,361	88,611	2,661,843	2,232,955
2020-10-12	$25.80	$24.00	39.0%	10.8%	29.0%	19.6%	38.8%	1.9%	-1.1%	46.8M	-526.0M	-19.7M	0.55	1.92	157,086	86,768	2,598,847	2,174,375
2020-10-13	$25.03	$24.00	38.2%	10.6%	30.2%	19.0%	37.3%	1.5%	-1.0%	29.9M	19.8M	-18.9M	0.36	2.04	271,352	99,037	2,643,376	2,188,635
2020-10-14	$23.81	$24.00	34.9%	9.8%	34.2%	16.1%	34.8%	1.2%	-0.5%	-11.8M	910.3M	-17.4M	0.49	2.16	358,720	176,572	2,756,116	2,223,912
2020-10-15	$24.15	$24.00	35.4%	9.9%	34.4%	16.5%	35.0%	2.3%	-0.8%	-4.0M	694.4M	-18.0M	0.56	2.20	223,116	124,011	2,851,865	2,296,314
2020-10-16	$24.16	$24.00	33.2%	9.4%	34.4%	14.6%	33.8%	1.9%	-0.3%	7.4M	624.2M	-17.9M	0.52	1.94	149,128	77,573	2,924,864	2,335,031
2020-10-19	$23.79	$24.00	35.0%	10.0%	32.0%	16.1%	36.2%	1.3%	-1.1%	-3.2M	822.3M	-17.3M	0.46	2.18	175,451	80,596	2,501,101	2,168,423
2020-10-20	$24.24	$24.00	35.7%	10.2%	31.9%	16.8%	35.7%	3.4%	-1.0%	12.9M	514.6M	-18.1M	1.04	2.17	131,949	137,532	2,580,424	2,206,417
2020-10-21	$24.05	$24.00	34.2%	9.8%	31.0%	15.4%	33.9%	3.6%	-0.4%	-149.0K	667.5M	-18.0M	0.69	2.10	75,663	52,433	2,591,193	2,260,194
2020-10-22	$24.86	$24.00	33.6%	9.6%	32.9%	14.9%	33.9%	3.9%	0.0%	39.6M	70.2M	-18.7M	0.36	2.18	249,383	89,326	2,609,816	2,274,064
2020-10-23	$24.94	$24.00	33.9%	9.7%	32.9%	15.2%	34.1%	3.0%	0.0%	102.9M	-46.7M	-18.9M	0.47	2.08	202,990	94,545	2,663,725	2,291,354
2020-10-26	$24.43	$24.00	37.1%	10.8%	32.3%	18.0%	38.6%	4.0%	1.0%	14.1M	398.6M	-18.5M	0.48	2.47	151,185	73,146	2,568,787	2,235,004
2020-10-27	$23.90	$24.00	37.6%	11.2%	32.9%	18.5%	40.7%	3.5%	0.8%	1.5M	730.9M	-17.9M	0.74	2.05	120,377	89,620	2,615,299	2,251,848
2020-10-28	$23.55	$24.00	42.0%	12.7%	33.1%	22.3%	44.7%	5.1%	1.2%	-6.6M	892.4M	-18.0M	0.49	1.98	167,100	82,092	2,650,274	2,277,897
2020-10-29	$23.62	$24.00	40.2%	11.9%	33.1%	20.7%	41.8%	4.9%	0.6%	-6.1M	861.2M	-18.0M	0.41	2.27	168,506	68,269	2,700,471	2,289,842
2020-10-30	$23.57	$24.00	43.6%	13.2%	32.8%	23.7%	47.0%	4.8%	0.5%	-9.7M	806.4M	-18.2M	0.67	2.25	123,956	82,752	2,754,052	2,295,044