BAC Options History — October 2022

In October 2022, BAC traded between $29.78 and $36.22. ATM implied volatility averaged 38.4%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 1.3% (HV 20d: 39.7%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.83.

Notable Days

2022-10-18: Highest Volume — 415,476 contracts
2022-10-17: Largest IV drop — 11.4% change
2022-10-12: Highest IV Rank — 93.7%
2022-10-12: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.21	$29.78	$36.22	$31.09	$36.22
Max Pain	$33.90	$33.00	$34.00	$34.00	$34.00
ATM IV	38.4%	31.2%	46.5%	40.6%	32.0%
Expected Move	11.1%	9.2%	12.9%	12.3%	9.5%
HV 20d	39.7%	32.5%	45.9%	33.2%	41.3%
HV 60d	32.8%	28.6%	34.8%	31.6%	34.2%
IV Rank	62.9%	33.5%	93.7%	71.8%	36.6%
IV Percentile	78.0%	43.3%	99.6%	93.7%	50.0%
Term Structure	-0.5%	-1.8%	0.9%	-0.1%	0.0%
VWIV	39.0%	33.2%	45.5%	41.9%	34.0%
Skew 25d	7.1%	5.1%	9.5%	8.6%	6.0%
Skew 10d	14.3%	9.8%	18.3%	17.4%	11.4%
Call IV 25d	35.3%	28.6%	42.6%	36.3%	29.1%
Put IV 25d	42.5%	33.7%	51.4%	45.0%	35.1%
Bid-Ask Spread %	2.17	1.68	2.88	1.94	2.35
Gamma HHI	0.08	0.06	0.11	0.10	0.06
Net GEX	-2.0M	-32.3M	31.7M	-32.0M	25.2M
Net DEX	652.1M	-1.06B	2.43B	1.94B	-897.6M
Net VEX	-21.9M	-23.6M	-18.9M	-20.2M	-23.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.54	1.13	1.00	0.95
Total Volume	234,210.048	127,721	415,476	164,327	127,721
Total OI	4,257,173.762	4,030,350	4,572,759	4,052,110	4,150,427

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
2022-10-03	$31.09	$34.00	40.6%	12.3%	33.2%	71.8%	41.9%	8.6%	-0.1%	-32.0M	1.94B	-20.2M	1.00	1.94	82,011	82,316	2,002,579	2,049,531
2022-10-04	$32.29	$34.00	38.5%	11.5%	36.3%	63.7%	39.9%	7.9%	-0.2%	-18.6M	1.35B	-21.3M	0.98	1.68	92,553	91,102	2,021,396	2,064,973
2022-10-05	$31.98	$34.00	39.7%	12.5%	35.8%	68.4%	43.6%	7.8%	-0.7%	-22.3M	1.52B	-21.2M	0.72	1.92	150,315	107,634	2,042,794	2,087,139
2022-10-06	$31.49	$34.00	42.3%	11.7%	34.1%	77.9%	37.5%	8.8%	-1.0%	-23.6M	1.74B	-20.7M	0.77	2.69	104,382	80,520	2,093,611	2,105,945
2022-10-07	$30.72	$34.00	42.4%	11.8%	34.0%	78.3%	40.6%	8.8%	-1.0%	-26.2M	2.11B	-19.9M	0.79	2.07	102,041	80,292	2,117,994	2,127,064
2022-10-10	$30.69	$34.00	43.7%	12.1%	33.8%	83.2%	41.7%	8.9%	-1.0%	-24.7M	2.06B	-19.7M	0.92	2.10	95,163	87,271	2,095,885	2,074,351
2022-10-11	$29.78	$34.00	45.6%	12.7%	32.5%	90.5%	45.5%	9.5%	-1.1%	-32.3M	2.43B	-18.9M	0.76	1.69	135,925	103,888	2,110,684	2,116,765
2022-10-12	$30.03	$34.00	46.5%	12.9%	32.9%	93.7%	44.6%	8.7%	-1.4%	-30.8M	2.29B	-19.5M	1.06	1.83	99,332	105,519	2,129,763	2,154,377
2022-10-13	$31.70	$34.00	44.0%	12.2%	38.3%	84.6%	44.5%	7.2%	-1.8%	-16.2M	1.47B	-21.4M	1.13	2.88	163,443	184,982	2,160,842	2,173,185
2022-10-14	$31.75	$34.00	41.6%	11.8%	38.2%	75.3%	41.6%	6.5%	-0.7%	-17.3M	1.45B	-21.4M	0.66	1.93	212,380	139,466	2,201,352	2,218,880
2022-10-17	$33.78	$34.00	36.9%	10.5%	44.3%	57.6%	37.2%	7.4%	-1.0%	6.3M	333.8M	-22.5M	0.54	1.92	265,858	143,967	2,181,480	2,165,948
2022-10-18	$34.90	$34.00	36.7%	10.5%	45.8%	57.2%	38.2%	6.8%	-1.3%	24.3M	-496.3M	-23.6M	0.77	2.37	235,215	180,261	2,232,282	2,201,648
2022-10-19	$33.84	$34.00	37.8%	10.8%	45.9%	61.1%	38.5%	6.6%	-0.9%	4.9M	218.7M	-23.2M	0.75	2.01	130,956	97,632	2,261,214	2,240,284
2022-10-20	$33.64	$34.00	36.4%	10.5%	45.5%	56.0%	37.5%	6.4%	-0.8%	1.0M	391.5M	-22.9M	0.82	2.25	104,365	85,603	2,284,003	2,252,958
2022-10-21	$35.02	$34.00	36.1%	10.5%	45.6%	54.8%	38.2%	5.9%	-1.1%	16.6M	-640.2M	-23.6M	0.65	2.15	186,866	121,347	2,293,880	2,278,879
2022-10-24	$35.16	$34.00	35.4%	10.4%	44.8%	52.2%	37.3%	6.2%	0.6%	16.7M	-385.3M	-23.4M	0.72	2.26	115,315	82,851	1,994,076	2,036,274
2022-10-25	$35.47	$33.00	34.1%	9.9%	43.7%	47.3%	34.8%	5.9%	0.9%	24.2M	-570.6M	-23.6M	0.79	2.36	100,579	79,504	2,034,405	2,070,321
2022-10-26	$35.74	$33.00	32.3%	9.8%	43.2%	39.0%	33.8%	5.6%	0.8%	29.1M	-733.8M	-23.4M	0.89	2.61	104,004	93,073	2,061,202	2,086,217
2022-10-27	$35.87	$34.00	32.4%	9.6%	42.3%	38.3%	34.5%	5.2%	0.6%	31.7M	-822.5M	-23.6M	0.92	2.26	79,280	73,260	2,082,035	2,111,366
2022-10-28	$36.19	$34.00	31.2%	9.2%	41.6%	33.5%	33.2%	5.1%	0.8%	23.1M	-1.06B	-23.4M	0.86	2.38	113,183	97,036	2,097,753	2,134,887
2022-10-31	$36.22	$34.00	32.0%	9.5%	41.3%	36.6%	34.0%	6.0%	0.0%	25.2M	-897.6M	-23.2M	0.95	2.35	65,618	62,103	2,063,909	2,086,518