BAC Options History — December 2020

In December 2020, BAC traded between $28.21 and $30.26. ATM implied volatility averaged 31.9%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 2.2% (HV 20d: 34.2%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.48.

Notable Days

2020-12-02: Highest Volume — 608,011 contracts
2020-12-21: Largest IV spike — 7.7% change
2020-12-21: Highest IV Rank — 15.3%
2020-12-07: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.21	$28.21	$30.26	$28.71	$30.26
Max Pain	$27.77	$25.00	$28.00	$25.00	$28.00
ATM IV	31.9%	29.9%	34.0%	29.9%	31.4%
Expected Move	9.1%	8.2%	9.7%	9.0%	8.3%
HV 20d	34.2%	23.9%	61.2%	61.2%	23.9%
HV 60d	42.6%	41.6%	43.8%	43.8%	42.2%
IV Rank	13.5%	11.7%	15.3%	11.7%	13.1%
IV Percentile	25.7%	20.6%	32.1%	24.6%	20.6%
Term Structure	0.7%	-0.4%	2.1%	2.1%	0.3%
VWIV	32.5%	29.4%	36.4%	32.5%	29.4%
Skew 25d	1.6%	0.5%	3.3%	1.2%	1.5%
Skew 10d	4.4%	2.3%	8.8%	3.0%	4.0%
Call IV 25d	32.2%	30.4%	34.0%	30.4%	31.8%
Put IV 25d	33.8%	31.6%	35.5%	31.6%	33.3%
Bid-Ask Spread %	2.21	1.70	3.38	1.93	2.10
Gamma HHI	0.13	0.10	0.21	0.10	0.12
Net GEX	72.2M	30.9M	95.0M	75.7M	82.2M
Net DEX	-1.84B	-2.46B	-1.07B	-2.07B	-2.38B
Net VEX	-16.8M	-18.0M	-15.8M	-17.1M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.16	0.79	0.79	0.36
Total Volume	224,881.182	130,195	608,011	226,845	148,872
Total OI	4,595,310.773	4,243,889	4,846,676	4,663,464	4,482,893

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
2020-12-01	$28.71	$25.00	29.9%	9.0%	61.2%	11.7%	32.5%	1.2%	2.1%	75.7M	-2.07B	-17.1M	0.79	1.93	126,486	100,359	2,502,803	2,160,661
2020-12-02	$29.14	$26.00	30.3%	9.0%	60.6%	12.0%	31.3%	1.1%	1.8%	84.9M	-2.40B	-17.2M	0.16	1.98	524,721	83,290	2,512,394	2,172,362
2020-12-03	$28.80	$28.00	30.7%	9.4%	57.7%	12.4%	33.1%	1.5%	2.1%	74.3M	-1.62B	-18.0M	0.52	3.38	167,467	87,392	2,385,286	2,224,986
2020-12-04	$29.23	$28.00	31.0%	9.3%	56.9%	12.7%	32.9%	0.5%	1.8%	73.9M	-2.03B	-17.7M	0.33	2.36	174,033	56,635	2,414,205	2,251,157
2020-12-07	$28.95	$28.00	33.0%	9.7%	57.0%	14.4%	36.4%	1.9%	0.3%	73.4M	-1.70B	-17.5M	0.60	2.26	116,058	69,435	2,388,245	2,225,453
2020-12-08	$28.93	$28.00	32.3%	9.4%	30.2%	13.8%	33.6%	1.0%	0.3%	72.3M	-1.67B	-17.6M	0.29	1.98	126,042	36,564	2,401,138	2,253,387
2020-12-09	$28.80	$28.00	32.8%	9.3%	29.4%	14.3%	33.3%	1.7%	0.1%	73.7M	-1.58B	-17.4M	0.35	2.21	106,646	36,868	2,423,352	2,258,769
2020-12-10	$29.05	$28.00	32.0%	9.2%	29.2%	13.6%	32.7%	1.7%	-0.4%	88.1M	-1.79B	-17.3M	0.36	2.18	158,780	57,727	2,438,211	2,265,949
2020-12-11	$28.53	$28.00	32.4%	9.3%	27.4%	13.9%	33.1%	1.7%	-0.1%	30.9M	-1.36B	-17.0M	0.52	1.70	147,624	76,925	2,466,518	2,286,961
2020-12-14	$28.21	$28.00	32.6%	9.4%	26.5%	14.1%	34.3%	2.2%	0.9%	60.5M	-1.07B	-16.9M	0.71	2.13	100,017	71,032	2,411,972	2,272,191
2020-12-15	$28.62	$28.00	31.2%	9.0%	26.7%	12.9%	32.5%	2.9%	1.4%	69.2M	-1.38B	-16.7M	0.38	1.90	109,597	42,015	2,425,308	2,300,653
2020-12-16	$28.71	$28.00	31.9%	9.1%	26.6%	13.4%	33.2%	2.2%	1.3%	70.3M	-1.47B	-16.8M	0.46	2.15	89,114	41,081	2,438,064	2,299,929
2020-12-17	$28.82	$28.00	30.7%	8.7%	26.1%	12.4%	30.9%	1.3%	1.7%	81.2M	-1.64B	-16.3M	0.66	3.22	160,271	105,842	2,459,110	2,311,220
2020-12-18	$28.62	$28.00	31.6%	8.9%	26.1%	13.2%	32.3%	3.3%	1.5%	57.7M	-1.37B	-16.5M	0.51	1.91	123,785	63,600	2,480,715	2,365,961
2020-12-21	$29.73	$28.00	34.0%	9.6%	28.8%	15.3%	33.7%	1.5%	-0.1%	62.7M	-1.98B	-16.4M	0.37	2.42	333,408	123,712	2,178,109	2,065,780
2020-12-22	$29.23	$28.00	32.3%	9.0%	29.1%	13.8%	31.9%	1.4%	0.5%	64.8M	-1.66B	-16.5M	0.42	2.13	127,280	52,960	2,269,837	2,117,970
2020-12-23	$30.20	$28.00	33.2%	9.2%	26.0%	14.6%	32.6%	0.9%	-0.0%	95.0M	-2.46B	-16.6M	0.41	2.23	251,058	102,534	2,294,069	2,139,202
2020-12-24	$29.84	$28.00	32.4%	8.7%	26.5%	13.9%	30.8%	1.0%	0.2%	86.5M	-2.10B	-16.5M	0.44	2.14	91,909	40,525	2,314,648	2,179,659
2020-12-28	$30.13	$28.00	32.6%	8.8%	26.6%	14.1%	31.4%	1.1%	0.4%	69.5M	-2.29B	-15.8M	0.44	1.97	142,074	63,044	2,241,632	2,124,415
2020-12-29	$30.07	$28.00	32.8%	8.9%	24.8%	14.2%	32.2%	1.6%	0.0%	70.8M	-2.20B	-16.0M	0.79	2.11	97,267	76,833	2,271,932	2,149,576
2020-12-30	$30.02	$28.00	31.6%	8.2%	24.3%	13.2%	29.9%	1.5%	0.1%	71.4M	-2.15B	-16.0M	0.59	2.15	85,670	50,834	2,292,833	2,177,322
2020-12-31	$30.26	$28.00	31.4%	8.3%	23.9%	13.1%	29.4%	1.5%	0.3%	82.2M	-2.38B	-15.8M	0.36	2.10	109,338	39,534	2,301,730	2,181,163