BAC Options History — August 2021

In August 2021, BAC traded between $38.09 and $42.49. ATM implied volatility averaged 25.2%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.6% (HV 20d: 24.5%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2021-08-06: Highest Volume — 575,091 contracts
2021-08-19: Largest IV spike — 8.0% change
2021-08-19: Highest IV Rank — 19.5%
2021-08-19: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.85	$38.09	$42.49	$38.09	$41.84
Max Pain	$39.23	$38.00	$40.00	$39.00	$40.00
ATM IV	25.2%	23.4%	28.0%	26.4%	23.9%
Expected Move	7.1%	6.4%	8.0%	7.2%	6.4%
HV 20d	24.5%	19.7%	32.7%	32.7%	20.8%
HV 60d	26.4%	25.5%	27.1%	25.5%	27.1%
IV Rank	7.9%	0.7%	19.5%	13.0%	2.6%
IV Percentile	12.0%	1.2%	32.9%	21.4%	3.2%
Term Structure	0.2%	-1.1%	1.1%	-0.8%	0.4%
VWIV	25.1%	22.7%	28.2%	25.1%	22.7%
Skew 25d	2.9%	1.9%	4.2%	3.3%	2.7%
Skew 10d	6.7%	4.9%	10.8%	7.2%	6.5%
Call IV 25d	24.5%	22.8%	26.5%	25.2%	23.7%
Put IV 25d	27.4%	25.3%	30.7%	28.5%	26.3%
Bid-Ask Spread %	2.50	2.09	3.35	2.37	3.35
Gamma HHI	0.10	0.07	0.14	0.08	0.10
Net GEX	73.9M	34.0M	114.9M	34.0M	75.1M
Net DEX	-2.68B	-3.94B	-1.12B	-1.12B	-2.85B
Net VEX	-19.2M	-20.2M	-18.5M	-18.6M	-19.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.34	1.27	0.43	0.43
Total Volume	244,116.318	148,389	575,091	177,950	148,389
Total OI	3,522,174	3,170,007	3,812,487	3,398,963	3,440,391

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
2021-08-02	$38.09	$39.00	26.4%	7.2%	32.7%	13.0%	25.1%	3.3%	-0.8%	34.0M	-1.12B	-18.6M	0.43	2.37	124,226	53,724	1,748,975	1,649,988
2021-08-03	$38.53	$39.00	25.7%	7.0%	32.0%	10.0%	26.1%	3.2%	-0.4%	45.3M	-1.34B	-18.9M	0.50	2.30	105,828	53,082	1,754,975	1,672,174
2021-08-04	$38.44	$39.00	26.7%	7.0%	32.0%	14.4%	25.3%	3.1%	-1.1%	48.4M	-1.33B	-18.7M	0.43	3.18	107,499	45,736	1,791,956	1,702,359
2021-08-05	$38.94	$38.00	25.3%	7.2%	30.2%	8.4%	25.2%	2.8%	-0.6%	69.9M	-1.66B	-18.8M	0.86	2.26	108,406	92,754	1,807,433	1,719,526
2021-08-06	$40.28	$38.00	25.4%	7.3%	29.4%	8.8%	25.8%	2.9%	-0.4%	86.9M	-2.70B	-19.5M	0.65	2.15	348,322	226,769	1,830,625	1,733,110
2021-08-09	$40.69	$38.00	25.4%	7.3%	29.2%	9.1%	26.1%	2.6%	0.0%	70.0M	-2.74B	-19.2M	0.34	2.21	252,027	84,568	1,757,595	1,705,761
2021-08-10	$41.38	$39.00	25.1%	7.3%	29.2%	7.5%	25.7%	2.4%	0.5%	98.2M	-3.31B	-19.0M	0.44	2.09	229,705	100,787	1,819,502	1,742,280
2021-08-11	$41.84	$39.00	24.6%	7.1%	26.3%	5.6%	25.3%	1.9%	0.3%	113.1M	-3.69B	-19.0M	0.45	2.22	254,427	113,307	1,863,443	1,772,392
2021-08-12	$42.16	$39.00	24.1%	7.0%	26.3%	3.6%	24.9%	1.9%	0.4%	114.9M	-3.94B	-19.0M	1.02	2.34	114,883	117,633	1,901,719	1,825,403
2021-08-13	$41.64	$39.00	24.0%	6.9%	24.6%	2.9%	24.3%	2.7%	0.2%	85.0M	-3.47B	-18.7M	0.69	2.41	130,839	90,824	1,921,968	1,864,585
2021-08-16	$41.22	$39.00	25.1%	7.2%	22.1%	7.7%	25.6%	2.3%	0.4%	65.9M	-3.01B	-18.5M	0.80	2.32	119,870	96,032	1,841,450	1,773,648
2021-08-17	$41.03	$39.00	26.2%	7.5%	20.8%	12.1%	26.2%	3.7%	0.4%	65.4M	-2.79B	-19.1M	1.27	2.29	108,547	137,706	1,881,582	1,794,041
2021-08-18	$41.05	$39.00	25.9%	7.4%	20.2%	10.9%	25.9%	3.1%	0.9%	70.5M	-2.90B	-18.9M	0.38	2.50	112,015	42,760	1,895,105	1,817,076
2021-08-19	$40.20	$39.00	28.0%	8.0%	20.9%	19.5%	28.2%	4.2%	0.0%	48.9M	-2.14B	-20.2M	0.48	2.68	133,657	64,316	1,918,411	1,862,302
2021-08-20	$40.39	$40.00	26.2%	7.5%	20.4%	12.2%	25.6%	3.9%	1.1%	36.1M	-2.34B	-19.5M	0.57	2.57	165,379	94,543	1,930,351	1,882,136
2021-08-23	$41.00	$40.00	24.6%	7.0%	20.5%	5.5%	24.3%	3.1%	0.2%	60.3M	-2.38B	-19.2M	0.34	2.88	115,816	39,472	1,592,920	1,577,087
2021-08-24	$41.56	$40.00	24.1%	6.8%	20.5%	3.4%	24.4%	3.0%	0.2%	78.1M	-2.70B	-20.2M	0.45	2.43	110,975	49,785	1,646,578	1,597,005
2021-08-25	$42.10	$40.00	24.4%	6.8%	20.6%	4.7%	24.0%	2.7%	0.5%	106.2M	-3.22B	-19.1M	0.56	2.67	199,874	111,309	1,700,902	1,613,060
2021-08-26	$42.06	$40.00	25.4%	7.2%	20.5%	9.0%	25.5%	2.9%	0.5%	109.4M	-3.19B	-19.6M	0.60	2.69	184,517	110,155	1,727,842	1,628,067
2021-08-27	$42.49	$40.00	23.4%	6.4%	19.7%	0.7%	23.0%	2.5%	0.5%	66.3M	-3.39B	-20.2M	0.84	2.48	159,236	133,018	1,761,205	1,668,300
2021-08-30	$41.78	$40.00	23.7%	6.5%	20.9%	2.0%	23.6%	2.5%	0.2%	78.2M	-2.86B	-19.1M	0.62	2.54	110,066	67,776	1,721,379	1,631,221
2021-08-31	$41.84	$40.00	23.9%	6.4%	20.8%	2.6%	22.7%	2.7%	0.4%	75.1M	-2.85B	-19.4M	0.43	3.35	103,410	44,979	1,755,465	1,684,926