BAC Options History — July 2022

In July 2022, BAC traded between $30.15 and $33.84. ATM implied volatility averaged 34.6%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.5% (HV 20d: 33.2%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.79.

Notable Days

2022-07-15: Highest Volume — 513,132 contracts
2022-07-27: Largest IV drop — 9.2% change
2022-07-05: Highest IV Rank — 69.8%
2022-07-05: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.34	$30.15	$33.84	$31.63	$33.84
Max Pain	$34.25	$33.00	$36.00	$35.00	$33.50
ATM IV	34.6%	27.7%	40.1%	37.2%	27.7%
Expected Move	9.8%	7.6%	11.2%	10.0%	7.6%
HV 20d	33.2%	24.4%	37.4%	30.6%	36.3%
HV 60d	35.5%	33.6%	37.3%	33.6%	36.5%
IV Rank	49.3%	23.1%	69.8%	58.9%	23.1%
IV Percentile	72.3%	37.7%	94.4%	84.5%	37.7%
Term Structure	-0.2%	-1.2%	1.4%	-0.5%	1.0%
VWIV	33.7%	27.5%	38.8%	33.5%	27.5%
Skew 25d	7.2%	6.0%	8.3%	7.9%	6.0%
Skew 10d	14.1%	12.1%	16.6%	16.4%	12.1%
Call IV 25d	31.6%	25.1%	36.6%	35.1%	25.1%
Put IV 25d	38.8%	31.1%	45.0%	43.0%	31.1%
Bid-Ask Spread %	2.03	1.66	2.28	2.00	2.02
Gamma HHI	0.09	0.07	0.20	0.07	0.11
Net GEX	-10.0M	-40.3M	10.9M	-20.4M	10.9M
Net DEX	1.72B	966.5M	2.69B	2.21B	966.5M
Net VEX	-19.8M	-21.3M	-17.2M	-18.7M	-21.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.46	1.63	0.56	0.65
Total Volume	224,842.9	115,750	513,132	237,224	169,758
Total OI	3,819,884.9	3,658,770	3,998,898	3,787,771	3,855,115

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
2022-07-01	$31.63	$35.00	37.2%	10.0%	30.6%	58.9%	33.5%	7.9%	-0.5%	-20.4M	2.21B	-18.7M	0.56	2.00	151,986	85,238	1,932,263	1,855,508
2022-07-05	$31.00	$36.00	40.1%	11.2%	30.9%	69.8%	38.8%	8.3%	-0.7%	-26.6M	2.40B	-17.9M	0.57	1.66	138,041	78,259	1,866,085	1,818,898
2022-07-06	$31.09	$35.00	39.6%	11.0%	30.9%	67.8%	38.2%	8.2%	-0.5%	-20.9M	2.32B	-18.3M	0.70	1.92	102,401	71,789	1,933,379	1,849,610
2022-07-07	$31.82	$35.00	36.8%	10.3%	32.7%	57.3%	37.7%	7.1%	-0.8%	-5.6M	2.05B	-19.2M	0.65	1.75	124,795	80,645	1,966,645	1,878,060
2022-07-08	$31.89	$35.00	36.4%	10.2%	32.8%	55.7%	35.4%	7.2%	-1.0%	9.9M	2.05B	-19.3M	0.58	2.28	148,922	86,745	1,984,555	1,899,716
2022-07-11	$31.39	$35.00	39.0%	10.9%	31.2%	65.7%	35.9%	7.6%	-0.6%	-22.7M	2.26B	-18.6M	0.87	1.96	62,942	54,699	1,938,207	1,875,236
2022-07-12	$31.40	$35.00	39.7%	11.1%	28.0%	68.1%	36.9%	7.0%	-0.7%	-22.1M	2.25B	-18.7M	0.46	2.07	124,177	56,517	1,950,225	1,889,161
2022-07-13	$30.88	$35.00	39.0%	10.9%	24.4%	65.5%	37.5%	7.3%	-1.2%	-28.5M	2.41B	-18.1M	0.61	2.11	143,182	87,186	1,962,702	1,895,336
2022-07-14	$30.15	$35.00	39.3%	11.1%	25.3%	66.9%	38.0%	7.8%	-0.8%	-40.3M	2.69B	-17.2M	0.84	1.88	174,596	147,094	2,001,476	1,918,263
2022-07-15	$32.23	$33.00	38.2%	10.8%	34.4%	62.8%	37.4%	6.7%	-0.8%	3.0M	1.66B	-20.2M	0.59	1.93	323,132	190,000	2,042,768	1,956,130
2022-07-18	$32.14	$33.00	34.7%	9.9%	34.3%	49.5%	32.0%	7.4%	-0.8%	-17.0M	1.70B	-19.8M	0.75	2.26	218,874	164,441	1,818,432	1,840,338
2022-07-19	$33.54	$33.00	31.6%	9.1%	37.4%	37.8%	31.2%	7.6%	-0.8%	467.5K	1.12B	-21.2M	0.77	2.02	206,638	159,868	1,881,055	1,902,469
2022-07-20	$33.34	$33.50	31.1%	8.9%	36.2%	35.8%	31.5%	7.5%	1.3%	-3.0M	1.16B	-21.1M	1.23	1.93	76,853	94,437	1,907,931	1,924,971
2022-07-21	$33.56	$33.50	29.9%	8.6%	36.1%	31.6%	31.0%	7.0%	-0.4%	4.0M	1.05B	-21.2M	0.93	2.12	97,409	90,903	1,918,864	1,942,168
2022-07-22	$33.28	$34.00	29.8%	8.4%	35.5%	31.2%	30.4%	6.9%	1.4%	-1.8M	1.21B	-20.9M	0.83	2.08	122,608	102,041	1,939,381	1,961,949
2022-07-25	$33.69	$34.00	30.8%	8.9%	35.5%	34.8%	31.0%	7.1%	0.9%	-4.3M	1.08B	-21.3M	0.85	2.11	83,461	71,163	1,850,537	1,863,100
2022-07-26	$33.01	$34.00	32.4%	9.2%	36.4%	41.0%	32.2%	6.9%	0.7%	-11.3M	1.39B	-20.8M	0.95	2.11	69,815	66,032	1,872,006	1,883,867
2022-07-27	$33.72	$34.00	29.4%	8.6%	37.0%	29.8%	29.1%	6.7%	0.3%	-1.2M	1.05B	-21.3M	0.76	2.23	65,935	49,815	1,899,729	1,898,984
2022-07-28	$33.23	$33.50	30.2%	8.4%	37.1%	32.7%	29.8%	6.3%	0.6%	-2.0M	1.30B	-20.8M	1.63	2.22	58,773	95,688	1,916,925	1,905,654
2022-07-29	$33.84	$33.50	27.7%	7.6%	36.3%	23.1%	27.5%	6.0%	1.0%	10.9M	966.5M	-21.1M	0.65	2.02	103,123	66,635	1,927,348	1,927,767