BAC Options History — January 2022

In January 2022, BAC traded between $44.19 and $49.26. ATM implied volatility averaged 28.8%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 2.3% (HV 20d: 31.1%). Max pain ranged from $40.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.61.

Notable Days

2022-01-07: Highest Volume — 632,883 contracts
2022-01-24: Largest IV spike — 10.7% change
2022-01-27: Highest IV Rank — 68.7%
2022-01-24: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.94	$44.19	$49.26	$46.16	$46.06
Max Pain	$44.75	$40.00	$47.00	$40.00	$46.00
ATM IV	28.8%	26.1%	33.1%	26.1%	28.4%
Expected Move	8.4%	7.5%	9.8%	7.7%	8.3%
HV 20d	31.1%	25.1%	33.6%	25.1%	33.6%
HV 60d	26.9%	25.6%	27.8%	25.6%	27.8%
IV Rank	31.8%	17.7%	68.7%	17.7%	49.7%
IV Percentile	65.8%	40.9%	94.0%	40.9%	66.7%
Term Structure	-0.4%	-2.6%	0.3%	0.2%	-0.4%
VWIV	29.5%	26.9%	34.1%	27.7%	29.2%
Skew 25d	4.0%	1.3%	7.7%	2.5%	4.7%
Skew 10d	9.1%	4.4%	18.2%	6.6%	11.6%
Call IV 25d	27.9%	25.7%	30.2%	25.7%	27.0%
Put IV 25d	31.9%	28.0%	37.7%	28.2%	31.7%
Bid-Ask Spread %	2.42	1.69	3.48	2.19	2.43
Gamma HHI	0.15	0.10	0.49	0.13	0.11
Net GEX	95.5M	24.0M	183.4M	111.7M	57.1M
Net DEX	-3.44B	-5.76B	-805.9M	-3.78B	-1.72B
Net VEX	-22.6M	-24.0M	-21.3M	-21.6M	-23.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.24	0.88	0.49	0.61
Total Volume	350,877.65	198,264	632,883	337,314	198,264
Total OI	3,650,598.8	2,594,143	4,146,486	3,821,291	2,812,430

Daily Data (20 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
2022-01-03	$46.16	$40.00	26.1%	7.7%	25.1%	17.7%	27.7%	2.5%	0.2%	111.7M	-3.78B	-21.6M	0.49	2.19	226,695	110,619	1,907,972	1,913,319
2022-01-04	$48.24	$40.00	26.4%	8.0%	29.1%	18.8%	28.6%	1.3%	0.0%	137.4M	-5.19B	-21.3M	0.35	2.07	444,214	156,290	1,944,765	1,957,750
2022-01-05	$47.33	$40.00	27.8%	8.2%	30.2%	24.2%	29.1%	2.4%	-0.3%	111.6M	-4.36B	-21.9M	0.55	2.15	197,170	108,979	1,957,146	2,003,395
2022-01-06	$48.12	$44.00	27.7%	7.9%	30.3%	24.0%	28.3%	2.2%	0.0%	133.7M	-4.97B	-22.0M	0.56	2.09	181,915	101,307	1,987,515	2,016,501
2022-01-07	$49.26	$44.00	27.6%	7.9%	31.1%	23.7%	28.4%	2.7%	-0.3%	123.9M	-5.76B	-22.7M	0.24	2.32	510,214	122,669	2,010,150	2,035,126
2022-01-10	$48.72	$44.00	29.1%	8.3%	31.5%	29.5%	29.3%	2.1%	-0.3%	121.3M	-5.04B	-22.5M	0.55	2.46	253,306	139,377	1,937,197	1,978,046
2022-01-11	$49.10	$44.00	27.5%	7.8%	30.2%	23.2%	27.3%	2.0%	-0.4%	126.4M	-5.37B	-22.2M	0.46	1.69	158,469	72,112	1,968,216	2,020,968
2022-01-12	$48.80	$45.00	26.7%	7.5%	30.2%	19.9%	26.9%	2.5%	-0.3%	130.7M	-5.14B	-22.4M	0.70	2.47	160,316	112,206	1,992,544	2,034,454
2022-01-13	$48.81	$45.00	27.4%	7.7%	29.9%	22.7%	27.8%	2.6%	-0.6%	136.3M	-5.09B	-22.4M	0.50	2.19	190,777	95,728	1,995,132	2,053,307
2022-01-14	$47.81	$45.00	27.7%	7.9%	30.3%	24.0%	27.5%	2.6%	-0.4%	80.0M	-4.19B	-22.5M	0.72	2.21	239,741	171,879	2,021,844	2,064,653
2022-01-18	$46.15	$47.00	30.6%	8.7%	32.1%	35.1%	30.5%	3.8%	-0.9%	78.9M	-3.08B	-22.4M	0.79	2.10	219,303	172,180	1,973,310	2,035,363
2022-01-19	$46.79	$47.00	27.4%	7.9%	30.5%	22.7%	27.7%	3.1%	-0.6%	88.9M	-3.51B	-23.0M	0.75	2.41	287,220	216,057	2,031,248	2,097,067
2022-01-20	$45.88	$47.00	27.2%	7.8%	30.3%	21.8%	27.6%	4.0%	-0.6%	64.0M	-2.77B	-22.0M	0.72	2.30	146,868	105,976	2,021,191	2,103,803
2022-01-21	$44.90	$47.00	29.9%	8.6%	31.4%	32.4%	30.4%	5.6%	-0.5%	183.4M	-1.78B	-22.0M	0.86	2.46	214,713	184,694	2,028,959	2,117,527
2022-01-24	$44.19	$47.00	33.1%	9.8%	31.8%	44.9%	33.7%	7.6%	0.3%	24.0M	-805.9M	-22.4M	0.88	3.48	213,348	188,423	1,440,279	1,153,864
2022-01-25	$45.45	$46.00	33.1%	9.7%	33.4%	44.8%	34.1%	7.7%	0.1%	44.1M	-1.46B	-23.7M	0.57	2.69	204,139	115,351	1,512,678	1,233,938
2022-01-26	$45.79	$45.00	31.0%	9.2%	33.5%	36.9%	32.6%	6.6%	-2.6%	57.6M	-1.69B	-23.6M	0.41	3.19	195,667	80,067	1,566,528	1,275,935
2022-01-27	$45.61	$46.00	31.9%	9.7%	33.5%	68.7%	33.0%	7.2%	-0.0%	54.2M	-1.54B	-24.0M	0.73	2.99	169,730	124,621	1,581,686	1,287,256
2022-01-28	$45.56	$46.00	29.1%	8.8%	33.4%	50.3%	30.4%	7.1%	0.1%	45.0M	-1.50B	-23.7M	0.84	2.55	123,309	103,640	1,609,032	1,329,882
2022-01-31	$46.06	$46.00	28.4%	8.3%	33.6%	49.7%	29.2%	4.7%	-0.4%	57.1M	-1.72B	-23.7M	0.61	2.43	123,172	75,092	1,537,243	1,275,187