BAC Options History — September 2021

In September 2021, BAC traded between $38.94 and $43.33. ATM implied volatility averaged 27.7%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.7% (HV 20d: 23.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2021-09-01: Highest Volume — 792,036 contracts
2021-09-20: Largest IV spike — 20.9% change
2021-09-20: Highest IV Rank — 45.5%
2021-09-20: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.12	$38.94	$43.33	$41.19	$42.60
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	27.7%	23.8%	34.2%	23.9%	30.0%
Expected Move	8.1%	6.5%	10.0%	6.5%	9.2%
HV 20d	23.0%	17.9%	29.2%	21.8%	28.3%
HV 60d	26.8%	25.5%	27.9%	27.3%	27.4%
IV Rank	18.4%	2.2%	45.5%	2.6%	28.0%
IV Percentile	35.3%	2.8%	83.3%	3.6%	50.0%
Term Structure	0.2%	-0.8%	1.9%	0.5%	0.0%
VWIV	28.9%	19.3%	34.9%	19.3%	32.4%
Skew 25d	5.0%	2.8%	8.4%	2.8%	7.1%
Skew 10d	11.0%	5.7%	18.0%	5.7%	16.3%
Call IV 25d	26.1%	22.9%	31.0%	23.5%	28.1%
Put IV 25d	31.1%	25.9%	39.4%	26.3%	35.3%
Bid-Ask Spread %	2.44	2.09	2.78	2.49	2.63
Gamma HHI	0.09	0.07	0.14	0.09	0.09
Net GEX	53.1M	-897.9K	82.8M	53.8M	56.8M
Net DEX	-2.23B	-3.62B	-1.09B	-2.37B	-3.02B
Net VEX	-20.5M	-21.7M	-19.7M	-19.7M	-21.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.10	1.30	0.10	1.30
Total Volume	244,586.714	122,203	792,036	792,036	190,244
Total OI	3,483,864.333	3,184,862	3,647,061	3,503,251	3,647,061

Daily Data (21 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
2021-09-01	$41.19	$40.00	23.9%	6.5%	21.8%	2.6%	19.3%	2.8%	0.5%	53.8M	-2.37B	-19.7M	0.10	2.49	717,124	74,912	1,791,199	1,712,052
2021-09-02	$40.89	$40.00	23.8%	7.4%	21.8%	2.3%	26.1%	3.4%	0.5%	49.0M	-2.16B	-20.7M	0.33	2.45	175,925	58,056	1,814,389	1,726,738
2021-09-03	$41.11	$40.00	23.8%	7.5%	18.5%	2.2%	26.1%	2.9%	0.6%	74.0M	-2.10B	-20.7M	0.83	2.55	120,294	99,728	1,820,341	1,738,471
2021-09-07	$41.39	$40.00	25.3%	7.7%	18.3%	8.4%	26.7%	3.2%	1.6%	80.3M	-2.35B	-20.4M	0.36	2.41	118,803	43,081	1,728,010	1,692,220
2021-09-08	$40.76	$40.00	25.3%	7.7%	18.1%	8.5%	27.2%	3.7%	1.3%	64.4M	-1.95B	-20.5M	0.41	2.09	94,332	38,902	1,762,578	1,725,662
2021-09-09	$41.10	$40.00	25.5%	7.7%	17.9%	9.4%	26.7%	4.2%	1.9%	73.7M	-2.15B	-20.4M	0.57	2.16	93,009	52,750	1,782,903	1,738,182
2021-09-10	$40.27	$40.00	27.8%	8.2%	18.9%	18.8%	29.5%	4.6%	1.5%	34.4M	-1.62B	-20.3M	0.75	2.65	147,081	111,034	1,805,005	1,755,084
2021-09-13	$40.84	$40.00	27.3%	7.9%	19.3%	16.6%	28.0%	4.9%	-0.2%	55.4M	-1.99B	-19.8M	0.58	2.27	77,359	44,844	1,723,822	1,717,026
2021-09-14	$39.82	$40.00	29.3%	8.5%	21.0%	25.3%	29.7%	5.3%	-0.5%	20.3M	-1.29B	-20.6M	0.52	2.58	178,467	92,090	1,755,246	1,767,391
2021-09-15	$40.27	$40.00	28.4%	8.2%	21.4%	21.6%	27.9%	4.8%	-0.3%	27.6M	-1.60B	-19.9M	0.43	2.41	89,665	38,754	1,770,928	1,776,966
2021-09-16	$40.59	$40.00	26.9%	7.7%	21.7%	15.1%	27.3%	5.2%	-0.4%	43.3M	-1.86B	-20.3M	0.65	2.34	92,090	59,877	1,811,475	1,798,931
2021-09-17	$40.39	$40.00	28.3%	8.1%	20.4%	20.8%	28.7%	4.7%	-0.3%	-897.9K	-1.70B	-20.2M	0.76	2.62	116,747	88,351	1,813,554	1,811,015
2021-09-20	$38.94	$40.00	34.2%	10.0%	24.1%	45.5%	34.9%	8.4%	-0.8%	15.0M	-1.09B	-20.7M	0.82	2.30	168,718	138,265	1,586,866	1,597,996
2021-09-21	$39.26	$40.00	31.6%	9.0%	23.6%	34.6%	33.3%	7.9%	-0.6%	20.6M	-1.29B	-19.9M	0.89	2.37	74,099	66,099	1,623,702	1,610,601
2021-09-22	$40.36	$40.00	28.8%	8.2%	25.3%	23.2%	29.4%	6.7%	-0.4%	48.0M	-1.87B	-21.1M	0.83	2.78	121,690	101,286	1,690,792	1,686,892
2021-09-23	$41.70	$40.00	26.6%	7.9%	27.7%	14.1%	29.0%	5.0%	0.1%	77.1M	-2.74B	-20.5M	0.78	2.52	182,993	142,837	1,711,751	1,708,616
2021-09-24	$42.25	$40.00	27.0%	7.9%	28.1%	15.5%	28.9%	4.9%	0.0%	80.8M	-3.12B	-20.8M	0.60	2.24	187,411	112,252	1,738,586	1,755,331
2021-09-27	$43.30	$40.00	27.3%	7.9%	29.2%	16.6%	29.2%	4.0%	0.2%	82.2M	-3.55B	-20.3M	0.61	2.35	203,763	123,483	1,709,615	1,699,131
2021-09-28	$43.33	$40.00	30.3%	8.9%	28.4%	29.2%	33.8%	5.2%	0.1%	82.8M	-3.62B	-20.8M	0.65	2.65	194,293	126,467	1,759,097	1,728,071
2021-09-29	$43.17	$40.00	29.8%	8.9%	28.5%	27.3%	32.9%	5.6%	0.2%	77.4M	-3.47B	-21.1M	0.75	2.32	102,270	76,876	1,792,245	1,775,610
2021-09-30	$42.60	$40.00	30.0%	9.2%	28.3%	28.0%	32.4%	7.1%	0.0%	56.8M	-3.02B	-21.7M	1.30	2.63	82,781	107,463	1,827,015	1,820,046