BAC Options History — March 2022

In March 2022, BAC traded between $38.33 and $44.20. ATM implied volatility averaged 36.6%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 7.4% (HV 20d: 44.0%). Max pain ranged from $42.00 to $46.50. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.52.

Notable Days

2022-03-01: Highest Volume — 471,440 contracts
2022-03-07: Largest IV spike — 14.4% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.05	$38.33	$44.20	$42.48	$41.48
Max Pain	$43.59	$42.00	$46.50	$46.50	$42.00
ATM IV	36.6%	30.6%	48.1%	42.7%	33.8%
Expected Move	10.8%	8.6%	15.3%	13.0%	9.4%
HV 20d	44.0%	35.4%	49.3%	35.6%	43.7%
HV 60d	35.7%	31.0%	37.3%	31.1%	35.9%
IV Rank	59.6%	34.0%	100.0%	100.0%	46.2%
IV Percentile	93.7%	82.5%	100.0%	100.0%	93.7%
Term Structure	-0.2%	-1.1%	1.2%	0.1%	-0.5%
VWIV	37.3%	30.1%	52.9%	44.6%	31.8%
Skew 25d	7.6%	4.2%	13.0%	10.4%	5.2%
Skew 10d	15.9%	8.5%	26.9%	19.0%	11.0%
Call IV 25d	33.7%	28.9%	42.4%	38.4%	31.7%
Put IV 25d	41.3%	33.3%	55.4%	48.8%	36.9%
Bid-Ask Spread %	3.10	2.29	4.32	3.01	2.29
Gamma HHI	0.07	0.06	0.09	0.07	0.06
Net GEX	29.7M	-14.6M	68.1M	9.2M	5.3M
Net DEX	-249.9M	-1.54B	1.36B	62.5M	36.1M
Net VEX	-24.7M	-25.9M	-22.1M	-24.2M	-23.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.30	0.79	0.59	0.52
Total Volume	285,559.478	151,376	471,440	471,440	378,788
Total OI	3,343,708.522	3,052,508	3,611,128	3,052,508	3,412,332

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
2022-03-01	$42.48	$46.50	42.7%	13.0%	35.6%	100.0%	44.6%	10.4%	0.1%	9.2M	62.5M	-24.2M	0.59	3.01	296,587	174,853	1,658,029	1,394,479
2022-03-02	$43.34	$46.00	36.7%	10.8%	35.4%	71.8%	36.1%	7.6%	-0.6%	31.9M	-468.0M	-24.4M	0.38	2.45	209,030	79,053	1,754,444	1,436,420
2022-03-03	$42.41	$46.00	38.3%	11.4%	35.9%	79.3%	40.3%	9.0%	-0.7%	16.9M	-41.7M	-24.4M	0.55	3.56	174,334	95,942	1,780,522	1,459,919
2022-03-04	$40.60	$46.00	42.1%	13.2%	38.4%	97.0%	45.4%	10.9%	-0.7%	-96.7K	750.0M	-23.3M	0.79	2.65	230,066	182,844	1,783,828	1,484,828
2022-03-07	$38.33	$46.00	48.1%	15.3%	37.7%	100.0%	52.9%	13.0%	-1.1%	-14.6M	1.36B	-22.1M	0.64	2.79	244,860	156,191	1,752,703	1,468,595
2022-03-08	$38.73	$46.00	44.3%	14.2%	38.3%	85.4%	48.1%	10.7%	-0.8%	-9.7M	1.22B	-22.8M	0.54	3.88	173,872	94,257	1,829,421	1,531,692
2022-03-09	$41.31	$45.00	40.7%	12.8%	45.9%	71.9%	46.9%	9.9%	0.0%	15.7M	201.7M	-25.2M	0.51	3.10	259,255	132,091	1,861,916	1,558,539
2022-03-10	$40.51	$45.00	40.1%	12.7%	45.9%	69.8%	44.3%	9.8%	-0.5%	49.8K	578.1M	-24.8M	0.69	3.72	124,310	85,166	1,887,112	1,600,095
2022-03-11	$40.33	$45.00	41.0%	12.4%	45.9%	73.2%	42.7%	9.2%	0.1%	-4.3M	637.3M	-24.6M	0.74	3.13	132,195	97,196	1,906,758	1,618,291
2022-03-14	$41.11	$44.00	41.9%	11.6%	46.7%	76.6%	39.1%	9.3%	-0.3%	16.2M	210.5M	-25.3M	0.53	4.29	223,775	118,631	1,863,403	1,562,831
2022-03-15	$41.50	$43.00	40.1%	11.2%	47.0%	69.7%	38.5%	8.5%	0.5%	27.1M	-22.0M	-25.6M	0.47	4.32	103,122	48,254	1,933,568	1,585,959
2022-03-16	$42.67	$42.00	35.2%	10.1%	48.4%	51.3%	34.2%	6.3%	0.7%	55.9M	-653.9M	-25.9M	0.30	3.96	232,519	69,654	1,965,164	1,598,221
2022-03-17	$42.94	$42.00	33.0%	9.5%	48.5%	43.1%	33.8%	6.7%	1.2%	61.9M	-753.8M	-25.6M	0.49	2.42	180,534	87,592	1,966,282	1,605,242
2022-03-18	$42.87	$42.00	31.6%	9.1%	47.3%	37.7%	31.3%	6.8%	1.1%	50.0M	-710.1M	-25.2M	0.36	2.52	171,163	61,490	1,978,284	1,632,844
2022-03-21	$42.64	$42.00	31.9%	8.8%	47.3%	38.8%	31.3%	6.4%	-0.4%	36.9M	-689.0M	-24.8M	0.71	2.54	115,824	82,778	1,676,741	1,436,212
2022-03-22	$44.20	$42.00	30.6%	8.6%	49.2%	34.0%	30.1%	5.0%	-0.3%	68.1M	-1.54B	-25.4M	0.47	3.43	219,672	103,135	1,705,388	1,460,098
2022-03-23	$43.27	$42.00	32.5%	9.1%	49.3%	41.2%	31.1%	5.7%	-0.9%	48.4M	-972.0M	-25.3M	0.58	3.36	141,331	81,560	1,724,053	1,490,648
2022-03-24	$43.04	$42.00	31.8%	8.9%	48.1%	38.4%	30.6%	5.1%	-0.8%	50.3M	-805.5M	-25.2M	0.41	2.38	119,170	48,337	1,767,370	1,515,715
2022-03-25	$43.67	$42.00	31.3%	8.8%	45.9%	36.5%	32.5%	4.7%	-0.3%	52.7M	-1.28B	-25.6M	0.39	2.63	287,450	113,232	1,791,305	1,527,425
2022-03-28	$43.42	$42.00	31.9%	9.0%	45.1%	39.0%	31.7%	4.8%	-0.4%	55.2M	-1.01B	-25.4M	0.44	3.50	134,769	59,913	1,754,133	1,500,279
2022-03-29	$43.43	$42.00	30.7%	8.7%	43.2%	34.5%	31.1%	4.2%	-0.1%	61.8M	-1.09B	-25.2M	0.37	2.49	160,501	60,073	1,788,033	1,521,029
2022-03-30	$42.87	$42.00	31.1%	8.7%	42.8%	35.8%	30.4%	4.8%	-0.2%	48.2M	-764.7M	-24.6M	0.39	2.83	160,418	62,081	1,830,971	1,544,175
2022-03-31	$41.48	$42.00	33.8%	9.4%	43.7%	46.2%	31.8%	5.2%	-0.5%	5.3M	36.1M	-23.9M	0.52	2.29	249,089	129,699	1,849,586	1,562,746