BAC Options History — December 2021

In December 2021, BAC traded between $42.93 and $45.06. ATM implied volatility averaged 27.9%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.4% (HV 20d: 26.5%). Max pain ranged from $37.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.50.

Notable Days

2021-12-01: Highest Volume — 1,173,161 contracts
2021-12-07: Largest IV drop — 13.5% change
2021-12-03: Highest IV Rank — 52.2%
2021-12-03: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.32	$42.93	$45.06	$44.27	$44.54
Max Pain	$39.14	$37.00	$45.00	$45.00	$40.00
ATM IV	27.9%	25.4%	35.0%	32.4%	25.4%
Expected Move	8.3%	7.3%	10.9%	9.8%	7.3%
HV 20d	26.5%	23.6%	30.0%	25.6%	23.6%
HV 60d	25.5%	24.5%	26.8%	26.4%	24.5%
IV Rank	24.9%	14.9%	52.2%	42.1%	14.9%
IV Percentile	53.3%	29.4%	98.0%	85.7%	29.4%
Term Structure	0.2%	-0.6%	1.5%	-0.3%	-0.3%
VWIV	29.6%	26.1%	40.7%	33.8%	26.5%
Skew 25d	3.9%	2.4%	7.7%	5.3%	2.6%
Skew 10d	8.9%	5.7%	16.7%	12.1%	5.9%
Call IV 25d	27.0%	24.4%	32.9%	30.8%	24.9%
Put IV 25d	30.9%	27.5%	40.6%	36.1%	27.5%
Bid-Ask Spread %	3.01	1.88	6.34	2.76	2.65
Gamma HHI	0.14	0.11	0.17	0.11	0.12
Net GEX	74.6M	39.7M	121.7M	53.5M	53.9M
Net DEX	-2.32B	-2.89B	-1.59B	-2.55B	-2.63B
Net VEX	-22.0M	-22.9M	-20.8M	-21.2M	-21.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.07	0.69	0.07	0.59
Total Volume	287,969.545	106,561	1,173,161	1,173,161	153,479
Total OI	3,838,421.318	3,666,126	4,088,175	3,785,625	3,933,465

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
2021-12-01	$44.27	$45.00	32.4%	9.8%	25.6%	42.1%	33.8%	5.3%	-0.3%	53.5M	-2.55B	-21.2M	0.07	2.76	1,100,363	72,798	1,923,921	1,861,704
2021-12-02	$44.97	$45.00	31.5%	9.5%	25.9%	38.6%	34.3%	5.3%	0.2%	72.9M	-2.42B	-21.9M	0.51	3.75	242,592	124,419	1,820,358	1,878,217
2021-12-03	$43.89	$45.00	35.0%	10.9%	25.7%	52.2%	40.7%	7.7%	-0.1%	39.7M	-1.73B	-22.3M	0.69	3.19	202,407	140,109	1,846,706	1,918,464
2021-12-06	$44.10	$37.00	30.9%	9.1%	25.8%	36.5%	33.4%	5.5%	-0.4%	55.6M	-1.93B	-22.2M	0.46	2.66	144,665	66,992	1,785,196	1,880,930
2021-12-07	$44.60	$37.00	26.8%	8.1%	26.1%	20.2%	30.1%	3.8%	0.3%	72.8M	-2.29B	-21.2M	0.65	1.88	157,695	103,044	1,810,576	1,896,540
2021-12-08	$44.29	$37.00	26.3%	8.0%	26.0%	18.5%	28.1%	3.5%	0.3%	67.5M	-2.10B	-21.0M	0.51	2.14	127,380	64,751	1,853,626	1,931,803
2021-12-09	$44.51	$37.00	26.7%	8.1%	26.0%	20.1%	28.6%	3.7%	-0.1%	86.9M	-2.30B	-21.9M	0.41	4.64	153,130	63,030	1,904,502	1,943,974
2021-12-10	$44.48	$37.00	25.7%	7.8%	25.7%	16.1%	27.8%	3.7%	0.2%	94.3M	-2.23B	-21.5M	0.45	2.23	146,097	65,612	1,931,753	1,960,612
2021-12-13	$43.59	$37.00	26.2%	7.9%	25.8%	17.9%	27.8%	3.7%	1.3%	53.3M	-1.72B	-20.8M	0.69	2.40	128,100	88,455	1,883,758	1,928,617
2021-12-14	$44.29	$37.00	27.8%	8.4%	26.5%	24.2%	30.0%	3.4%	1.5%	78.0M	-2.19B	-21.9M	0.41	6.02	185,709	77,009	1,916,737	1,960,354
2021-12-15	$43.96	$37.00	26.8%	8.0%	26.5%	20.5%	28.7%	3.5%	1.0%	68.3M	-1.98B	-21.8M	0.31	6.34	189,289	58,405	1,940,904	1,980,184
2021-12-16	$45.06	$37.00	28.1%	8.3%	28.0%	25.4%	29.4%	2.5%	0.9%	121.7M	-2.89B	-22.4M	0.39	3.51	331,020	130,721	1,990,753	1,993,636
2021-12-17	$44.08	$37.00	28.7%	8.4%	29.0%	28.0%	30.4%	3.8%	1.0%	61.8M	-2.09B	-22.4M	0.56	3.56	309,736	173,018	2,063,412	2,024,763
2021-12-20	$42.93	$38.00	30.4%	8.8%	29.4%	34.5%	31.3%	4.8%	0.2%	44.2M	-1.59B	-22.2M	0.53	2.53	186,942	98,549	1,848,397	1,843,605
2021-12-21	$44.14	$39.00	28.1%	8.1%	30.0%	25.6%	28.3%	4.2%	-0.1%	83.2M	-2.42B	-22.9M	0.35	2.52	218,110	77,096	1,902,191	1,897,156
2021-12-22	$44.21	$39.00	27.3%	7.8%	28.6%	22.2%	26.7%	4.0%	-0.0%	81.1M	-2.46B	-22.5M	0.51	2.32	128,074	64,815	1,941,781	1,929,660
2021-12-23	$44.54	$40.00	26.2%	7.5%	28.7%	18.1%	26.8%	3.1%	-0.5%	79.8M	-2.68B	-22.9M	0.45	2.29	156,008	70,786	1,952,805	1,942,233
2021-12-27	$44.57	$40.00	26.5%	7.7%	25.8%	19.3%	27.6%	2.9%	0.1%	86.1M	-2.62B	-22.6M	0.56	2.26	86,926	48,572	1,897,255	1,893,104
2021-12-28	$44.80	$40.00	26.5%	7.7%	25.9%	19.4%	28.3%	3.0%	0.3%	99.3M	-2.82B	-22.5M	0.54	2.33	99,073	53,358	1,922,786	1,918,318
2021-12-29	$44.73	$40.00	25.9%	7.6%	24.5%	16.9%	26.8%	2.9%	-0.6%	100.3M	-2.79B	-22.1M	0.63	2.17	65,378	41,183	1,948,608	1,935,017
2021-12-30	$44.55	$40.00	25.6%	7.5%	24.3%	15.6%	26.1%	2.4%	0.0%	86.4M	-2.62B	-21.9M	0.61	2.11	86,986	53,449	1,958,837	1,948,051
2021-12-31	$44.54	$40.00	25.4%	7.3%	23.6%	14.9%	26.5%	2.6%	-0.3%	53.9M	-2.63B	-21.7M	0.59	2.65	96,370	57,109	1,972,973	1,960,492