BAC Options History — September 2022

In September 2022, BAC traded between $30.35 and $35.27. ATM implied volatility averaged 36.2%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 8.7% (HV 20d: 27.5%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.97.

Notable Days

2022-09-08: Highest Volume — 314,076 contracts
2022-09-13: Largest IV spike — 10.3% change
2022-09-27: Highest IV Rank — 80.9%
2022-09-27: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.11	$30.35	$35.27	$33.32	$30.35
Max Pain	$35.02	$34.00	$37.00	$37.00	$34.00
ATM IV	36.2%	29.9%	43.1%	33.9%	42.9%
Expected Move	10.6%	9.1%	13.1%	9.3%	12.4%
HV 20d	27.5%	23.0%	31.8%	26.2%	31.6%
HV 60d	30.4%	28.8%	31.8%	31.8%	31.2%
IV Rank	55.0%	31.6%	80.9%	46.6%	80.1%
IV Percentile	76.4%	45.2%	99.2%	71.4%	98.4%
Term Structure	-0.0%	-2.1%	2.0%	-0.6%	-0.6%
VWIV	37.0%	31.6%	44.6%	36.1%	42.2%
Skew 25d	7.4%	6.1%	9.7%	6.8%	8.7%
Skew 10d	14.7%	11.5%	18.2%	14.1%	17.8%
Call IV 25d	33.0%	27.1%	39.4%	30.7%	38.3%
Put IV 25d	40.4%	33.2%	49.0%	37.5%	46.9%
Bid-Ask Spread %	2.14	1.68	3.50	2.31	2.02
Gamma HHI	0.09	0.06	0.36	0.08	0.11
Net GEX	-14.5M	-39.8M	80.6M	-30.8M	-39.8M
Net DEX	1.33B	333.3M	2.28B	1.68B	2.28B
Net VEX	-21.2M	-22.4M	-19.3M	-21.3M	-19.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.44	1.77	0.93	1.58
Total Volume	218,882.619	129,857	314,076	180,415	236,050
Total OI	3,975,467.714	3,621,751	4,189,984	3,974,677	4,116,028

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
2022-09-01	$33.32	$37.00	33.9%	9.3%	26.2%	46.6%	36.1%	6.8%	-0.6%	-30.8M	1.68B	-21.3M	0.93	2.31	93,499	86,916	1,954,072	2,020,605
2022-09-02	$33.30	$37.00	33.8%	9.2%	25.4%	46.2%	32.1%	6.7%	0.0%	-26.1M	1.50B	-21.1M	0.75	2.05	137,420	103,201	1,974,235	1,977,797
2022-09-06	$33.08	$35.00	34.9%	10.4%	25.1%	50.2%	36.2%	7.4%	-0.2%	-28.2M	1.62B	-20.8M	0.68	1.82	98,349	66,743	1,941,730	1,974,455
2022-09-07	$33.60	$35.00	31.5%	9.5%	25.6%	37.5%	33.7%	6.6%	0.0%	-16.6M	1.38B	-20.9M	1.43	1.74	74,123	106,361	1,976,150	1,998,152
2022-09-08	$34.57	$35.00	31.0%	9.4%	24.2%	35.5%	33.3%	6.1%	-0.0%	1.2M	761.2M	-22.0M	0.44	1.78	218,700	95,376	1,991,481	2,012,807
2022-09-09	$35.08	$35.00	29.9%	9.1%	23.3%	31.6%	31.6%	6.1%	-0.1%	80.6M	333.3M	-22.4M	0.69	1.80	107,598	74,135	2,083,584	2,044,512
2022-09-12	$35.27	$35.00	30.8%	9.3%	23.0%	34.7%	32.9%	6.2%	1.6%	4.9M	397.4M	-22.3M	0.87	2.59	110,533	96,492	2,008,305	2,016,340
2022-09-13	$33.85	$35.00	34.0%	10.2%	27.0%	46.7%	34.2%	6.9%	1.5%	-20.7M	1.25B	-21.7M	0.83	2.10	157,357	130,272	2,018,566	2,042,258
2022-09-14	$33.91	$35.00	33.4%	10.1%	26.4%	44.8%	34.6%	7.4%	1.4%	-21.0M	1.22B	-21.9M	0.80	2.74	85,007	67,903	2,049,618	2,064,104
2022-09-15	$34.55	$35.00	32.7%	9.8%	27.6%	42.0%	35.5%	6.6%	1.8%	-2.3M	738.2M	-22.3M	0.65	3.50	105,032	68,008	2,092,090	2,073,507
2022-09-16	$34.09	$35.00	35.0%	10.4%	27.8%	50.5%	36.1%	6.7%	2.0%	-2.2M	1.06B	-21.9M	1.05	2.18	81,444	85,840	2,106,308	2,083,676
2022-09-19	$34.66	$35.00	34.7%	10.1%	27.7%	49.4%	35.1%	7.2%	-1.1%	-926.4K	457.6M	-22.0M	0.69	2.06	76,633	53,224	1,797,636	1,824,115
2022-09-20	$34.32	$35.00	36.5%	10.5%	26.4%	56.3%	35.5%	7.7%	-0.2%	-1.9M	621.1M	-21.9M	0.56	2.02	153,095	85,603	1,832,329	1,836,733
2022-09-21	$33.33	$35.00	37.5%	10.7%	28.3%	59.9%	36.9%	7.3%	-0.2%	-9.8M	1.11B	-21.3M	1.17	1.91	99,629	116,655	1,920,703	1,892,870
2022-09-22	$32.74	$35.00	38.0%	11.0%	28.8%	61.8%	37.7%	7.6%	-1.7%	-24.2M	1.47B	-21.4M	1.03	2.02	105,071	108,349	1,957,606	1,931,960
2022-09-23	$31.70	$35.00	40.4%	11.8%	29.9%	70.7%	40.1%	8.0%	-2.1%	-36.0M	1.86B	-20.2M	0.98	2.12	151,126	148,472	1,992,974	1,948,788
2022-09-26	$31.12	$35.00	42.9%	12.7%	29.2%	80.2%	43.0%	9.4%	-0.4%	-32.3M	1.99B	-19.7M	0.97	2.25	140,172	135,626	1,923,945	1,944,081
2022-09-27	$30.51	$34.50	43.1%	13.1%	29.7%	80.9%	44.6%	9.7%	-0.6%	-34.5M	2.17B	-19.3M	1.15	1.68	105,614	121,977	1,979,921	1,978,297
2022-09-28	$31.28	$34.00	41.0%	11.8%	31.4%	73.0%	41.0%	8.3%	-0.6%	-29.3M	1.91B	-20.5M	1.77	1.84	101,202	178,861	2,003,223	2,019,443
2022-09-29	$30.74	$34.00	41.7%	12.6%	31.8%	75.8%	44.4%	9.1%	-0.5%	-34.9M	2.13B	-20.0M	1.43	2.38	94,051	134,816	2,031,172	2,048,646
2022-09-30	$30.35	$34.00	42.9%	12.4%	31.6%	80.1%	42.2%	8.7%	-0.6%	-39.8M	2.28B	-19.4M	1.58	2.02	91,351	144,699	2,058,307	2,057,721