BAC Options History — March 2021

In March 2021, BAC traded between $35.67 and $39.03. ATM implied volatility averaged 32.3%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.6% (HV 20d: 25.7%). Max pain ranged from $30.00 to $36.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.49.

Notable Days

2021-03-03: Highest Volume — 890,618 contracts
2021-03-03: Largest IV spike — 8.3% change
2021-03-29: Highest IV Rank — 8.0%
2021-03-04: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.50	$35.67	$39.03	$35.98	$38.81
Max Pain	$33.78	$30.00	$36.00	$30.00	$36.00
ATM IV	32.3%	30.9%	35.2%	30.9%	31.5%
Expected Move	9.4%	8.7%	10.4%	8.7%	9.2%
HV 20d	25.7%	22.6%	29.2%	23.6%	25.0%
HV 60d	29.3%	28.8%	29.9%	28.8%	29.4%
IV Rank	4.7%	2.3%	8.0%	2.3%	5.5%
IV Percentile	19.6%	8.7%	36.1%	8.7%	14.7%
Term Structure	0.0%	-2.2%	1.8%	-1.0%	-1.1%
VWIV	33.3%	30.9%	36.5%	30.9%	32.8%
Skew 25d	1.1%	-0.5%	2.3%	1.9%	0.4%
Skew 10d	2.6%	-16.4%	12.5%	3.5%	2.1%
Call IV 25d	32.8%	30.8%	36.1%	30.8%	32.0%
Put IV 25d	33.9%	32.2%	38.0%	32.7%	32.4%
Bid-Ask Spread %	2.96	2.30	5.05	2.66	4.29
Gamma HHI	0.12	0.09	0.22	0.11	0.11
Net GEX	99.7M	61.4M	149.0M	89.8M	106.9M
Net DEX	-3.58B	-4.56B	-2.66B	-3.50B	-3.76B
Net VEX	-16.4M	-17.4M	-15.9M	-15.9M	-16.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.12	0.75	0.58	0.45
Total Volume	274,029.826	105,585	890,618	159,026	160,504
Total OI	3,240,973.522	2,976,744	3,561,668	3,184,126	3,214,463

Daily Data (23 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
2021-03-01	$35.98	$30.00	30.9%	8.7%	23.6%	2.3%	30.9%	1.9%	-1.0%	89.8M	-3.50B	-15.9M	0.58	2.66	100,699	58,327	1,809,778	1,374,348
2021-03-02	$35.67	$30.00	31.0%	8.7%	24.5%	2.5%	31.0%	1.5%	-0.1%	88.2M	-3.31B	-16.2M	0.70	2.47	62,144	43,441	1,830,209	1,401,494
2021-03-03	$36.64	$30.00	33.6%	9.6%	23.1%	5.0%	32.1%	1.1%	-0.3%	98.6M	-3.89B	-16.1M	0.12	3.44	794,483	96,135	1,845,763	1,432,875
2021-03-04	$36.49	$33.00	35.2%	10.4%	23.2%	6.5%	36.5%	2.1%	-1.8%	83.9M	-3.12B	-17.4M	0.72	3.58	163,514	117,041	1,725,268	1,473,170
2021-03-05	$36.93	$33.00	33.1%	9.8%	22.6%	4.5%	34.8%	2.2%	-0.7%	130.9M	-3.47B	-17.0M	0.49	3.02	203,369	98,689	1,780,290	1,505,482
2021-03-08	$37.41	$33.00	33.8%	10.1%	22.7%	5.1%	36.0%	-0.3%	1.2%	92.8M	-3.62B	-16.6M	0.52	3.11	130,047	67,903	1,729,195	1,447,668
2021-03-09	$36.44	$33.00	32.6%	9.7%	25.2%	4.0%	34.3%	2.3%	1.5%	93.1M	-3.07B	-16.9M	0.56	2.69	157,869	88,590	1,748,962	1,474,427
2021-03-10	$37.32	$33.00	32.0%	9.7%	25.9%	3.4%	34.1%	1.1%	1.8%	114.6M	-3.66B	-16.5M	0.34	2.76	133,953	45,197	1,795,044	1,497,253
2021-03-11	$37.22	$33.00	32.1%	9.5%	26.0%	3.5%	33.8%	1.1%	1.3%	121.8M	-3.61B	-16.2M	0.51	2.30	117,956	60,331	1,806,832	1,508,967
2021-03-12	$37.92	$33.00	32.3%	9.5%	26.2%	3.7%	33.9%	0.3%	1.1%	149.0M	-4.07B	-16.2M	0.44	2.65	151,843	66,441	1,824,317	1,525,822
2021-03-15	$37.57	$33.00	33.3%	9.6%	26.7%	4.6%	34.2%	-0.5%	-0.4%	97.6M	-3.73B	-15.9M	0.38	2.62	140,670	53,351	1,760,711	1,475,917
2021-03-16	$37.59	$33.00	31.0%	8.9%	25.1%	2.4%	31.9%	0.5%	0.5%	105.9M	-3.85B	-16.2M	0.53	2.61	114,777	60,540	1,825,990	1,498,115
2021-03-17	$37.80	$34.00	31.5%	9.0%	25.0%	2.9%	32.1%	0.4%	0.1%	112.9M	-4.02B	-16.2M	0.53	2.70	162,827	86,315	1,862,826	1,521,847
2021-03-18	$38.82	$34.00	33.7%	9.6%	26.0%	5.0%	34.1%	1.1%	0.2%	108.9M	-4.56B	-16.1M	0.52	3.10	438,641	229,397	1,870,992	1,540,260
2021-03-19	$38.57	$35.00	32.1%	9.2%	26.4%	4.6%	33.2%	0.6%	-0.8%	75.2M	-4.27B	-16.5M	0.47	3.11	341,215	158,906	1,933,172	1,628,496
2021-03-22	$37.66	$35.00	31.0%	8.9%	28.0%	3.2%	31.5%	0.6%	0.0%	72.4M	-3.07B	-16.6M	0.46	2.36	177,409	82,481	1,680,696	1,296,048
2021-03-23	$36.89	$36.00	31.7%	9.1%	29.2%	4.2%	32.2%	2.0%	1.5%	61.4M	-2.66B	-16.8M	0.44	2.73	146,725	64,616	1,745,503	1,338,622
2021-03-24	$37.02	$36.00	31.8%	9.2%	28.1%	5.8%	32.7%	1.2%	0.3%	67.8M	-2.73B	-16.9M	0.41	2.70	132,995	53,888	1,779,510	1,352,481
2021-03-25	$37.73	$36.00	32.2%	9.4%	28.5%	6.6%	33.5%	2.3%	-2.2%	101.0M	-3.19B	-16.8M	0.49	2.65	148,650	72,450	1,807,690	1,363,085
2021-03-26	$38.49	$36.00	32.3%	9.3%	27.2%	7.1%	32.7%	1.3%	-0.1%	117.8M	-3.71B	-16.5M	0.46	2.75	207,835	95,445	1,826,969	1,388,975
2021-03-29	$38.39	$36.00	32.8%	9.6%	26.2%	8.0%	33.9%	1.8%	-0.6%	92.6M	-3.52B	-16.4M	0.75	5.05	97,398	73,301	1,769,509	1,353,578
2021-03-30	$39.03	$36.00	32.0%	9.4%	26.2%	6.5%	33.0%	1.0%	0.1%	109.5M	-3.93B	-16.3M	0.44	2.73	169,779	74,599	1,792,694	1,377,078
2021-03-31	$38.81	$36.00	31.5%	9.2%	25.0%	5.5%	32.8%	0.4%	-1.1%	106.9M	-3.76B	-16.2M	0.45	4.29	111,010	49,494	1,813,302	1,401,161