BAC Options History — February 2021

In February 2021, BAC traded between $29.91 and $36.35. ATM implied volatility averaged 31.9%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.3% (HV 20d: 31.6%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.40.

Notable Days

2021-02-02: Highest Volume — 383,452 contracts
2021-02-25: Largest IV spike — 8.6% change
2021-02-01: Highest IV Rank — 14.5%
2021-02-25: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.59	$29.91	$36.35	$29.91	$35.10
Max Pain	$28.89	$28.00	$30.00	$30.00	$30.00
ATM IV	31.9%	29.9%	35.3%	35.3%	34.0%
Expected Move	9.1%	8.5%	10.2%	9.5%	9.7%
HV 20d	31.6%	23.0%	38.5%	35.9%	25.6%
HV 60d	32.2%	28.2%	42.6%	42.6%	28.6%
IV Rank	9.5%	2.8%	14.5%	14.5%	5.4%
IV Percentile	15.7%	4.8%	34.9%	34.9%	28.6%
Term Structure	0.2%	-1.5%	1.6%	-0.3%	0.8%
VWIV	32.3%	29.6%	36.8%	33.7%	34.8%
Skew 25d	2.0%	0.5%	6.5%	4.9%	2.5%
Skew 10d	2.4%	-22.5%	9.6%	9.6%	5.0%
Call IV 25d	31.8%	29.4%	36.1%	34.5%	34.0%
Put IV 25d	33.8%	30.7%	42.6%	39.4%	36.4%
Bid-Ask Spread %	2.42	2.08	3.05	2.70	2.87
Gamma HHI	0.11	0.07	0.16	0.07	0.11
Net GEX	83.1M	25.8M	107.3M	25.8M	77.1M
Net DEX	-2.72B	-3.71B	-843.7M	-843.7M	-3.00B
Net VEX	-16.3M	-16.9M	-15.6M	-16.3M	-16.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.17	0.68	0.45	0.68
Total Volume	229,624.316	116,079	383,452	220,284	246,043
Total OI	3,389,593.158	2,999,812	3,597,939	3,372,258	3,267,016

Daily Data (19 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
2021-02-01	$29.91	$30.00	35.3%	9.5%	35.9%	14.5%	33.7%	4.9%	-0.3%	25.8M	-843.7M	-16.3M	0.45	2.70	151,788	68,496	1,873,256	1,499,002
2021-02-02	$31.05	$30.00	33.4%	9.0%	38.2%	12.7%	33.4%	3.4%	-0.4%	52.8M	-1.49B	-16.6M	0.17	2.70	326,477	56,975	1,909,672	1,525,870
2021-02-03	$31.60	$30.00	32.5%	8.8%	38.5%	11.9%	31.6%	1.9%	-0.2%	64.1M	-1.83B	-16.7M	0.25	2.65	182,004	46,304	1,871,843	1,549,678
2021-02-04	$32.32	$28.00	30.7%	8.9%	34.1%	10.3%	31.3%	1.3%	0.3%	81.1M	-2.34B	-16.4M	0.29	2.26	209,046	61,595	1,908,056	1,560,982
2021-02-05	$32.45	$28.00	30.8%	9.1%	33.0%	10.4%	31.8%	1.4%	-0.1%	106.2M	-2.36B	-16.4M	0.38	2.23	140,423	53,311	1,916,369	1,582,486
2021-02-08	$33.00	$28.00	31.4%	9.0%	33.4%	11.0%	31.7%	1.1%	-0.3%	77.9M	-2.55B	-16.3M	0.29	2.23	180,580	52,384	1,846,057	1,524,278
2021-02-09	$32.92	$28.00	31.2%	9.1%	33.1%	10.7%	32.1%	1.2%	0.4%	81.1M	-2.54B	-16.3M	0.43	2.36	104,383	44,513	1,902,225	1,544,588
2021-02-10	$32.94	$28.00	31.4%	9.2%	32.2%	10.9%	32.3%	1.5%	0.7%	85.0M	-2.57B	-16.6M	0.52	2.30	102,135	53,365	1,950,458	1,565,831
2021-02-11	$32.89	$28.00	31.3%	9.1%	32.1%	10.9%	32.4%	1.7%	0.7%	79.9M	-2.50B	-16.6M	0.53	2.47	75,712	40,367	1,965,047	1,577,309
2021-02-12	$33.36	$28.00	30.6%	8.8%	31.7%	10.3%	31.3%	1.0%	0.6%	101.3M	-2.82B	-16.5M	0.31	2.22	127,612	39,508	1,969,035	1,586,218
2021-02-16	$34.41	$28.00	32.0%	9.2%	31.1%	11.5%	32.3%	1.2%	0.5%	99.8M	-3.31B	-16.1M	0.40	2.11	204,520	80,827	1,903,770	1,548,375
2021-02-17	$34.38	$29.00	31.6%	9.1%	31.1%	11.1%	32.2%	0.8%	0.6%	103.7M	-3.25B	-16.1M	0.34	2.38	134,861	45,574	1,935,278	1,584,546
2021-02-18	$34.31	$29.00	31.1%	8.9%	30.5%	10.6%	31.8%	2.2%	0.2%	107.3M	-3.20B	-16.1M	0.32	2.08	174,631	55,758	1,960,595	1,589,544
2021-02-19	$34.61	$29.00	29.9%	8.5%	29.9%	8.8%	29.6%	1.3%	1.6%	102.2M	-3.40B	-16.0M	0.51	2.66	157,065	79,733	1,986,509	1,611,430
2021-02-22	$35.14	$29.00	31.2%	8.7%	29.8%	7.3%	30.6%	1.7%	-0.5%	79.2M	-3.08B	-15.6M	0.38	2.08	144,167	55,304	1,690,248	1,309,564
2021-02-23	$35.52	$29.00	30.9%	8.8%	28.8%	2.8%	31.4%	1.5%	0.5%	82.4M	-3.25B	-15.8M	0.49	2.14	159,071	78,368	1,723,624	1,333,564
2021-02-24	$36.35	$30.00	31.7%	9.0%	29.1%	3.1%	31.6%	0.5%	0.3%	89.6M	-3.71B	-15.6M	0.28	2.54	243,855	67,559	1,756,779	1,365,806
2021-02-25	$36.00	$30.00	34.5%	10.2%	23.0%	5.8%	36.8%	6.5%	-1.5%	82.0M	-3.55B	-16.9M	0.64	3.05	194,086	124,462	1,823,185	1,384,177
2021-02-26	$35.10	$30.00	34.0%	9.7%	25.6%	5.4%	34.8%	2.5%	0.8%	77.1M	-3.00B	-16.8M	0.68	2.87	146,330	99,713	1,853,371	1,413,645