BAC Options History — November 2022

In November 2022, BAC traded between $36.00 and $38.52. ATM implied volatility averaged 28.5%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.4% (HV 20d: 29.9%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.97.

Notable Days

2022-11-30: Highest Volume — 348,546 contracts
2022-11-10: Largest IV drop — 10.4% change
2022-11-01: Highest IV Rank — 36.1%
2022-11-01: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.23	$36.00	$38.52	$36.17	$37.72
Max Pain	$35.38	$34.00	$36.00	$34.00	$36.00
ATM IV	28.5%	24.6%	31.8%	31.8%	24.6%
Expected Move	8.4%	7.2%	9.5%	9.5%	7.7%
HV 20d	29.9%	22.2%	39.8%	39.8%	24.8%
HV 60d	33.9%	33.2%	34.7%	34.1%	34.0%
IV Rank	19.9%	0.0%	36.1%	36.1%	0.0%
IV Percentile	22.7%	0.0%	47.6%	47.6%	0.0%
Term Structure	0.3%	-0.5%	1.7%	-0.3%	0.4%
VWIV	29.9%	25.4%	33.8%	33.8%	28.5%
Skew 25d	4.6%	4.1%	5.9%	5.9%	4.2%
Skew 10d	9.0%	7.9%	11.3%	11.0%	8.2%
Call IV 25d	26.7%	23.5%	29.4%	29.0%	23.5%
Put IV 25d	31.3%	27.7%	34.9%	34.9%	27.7%
Bid-Ask Spread %	2.29	2.05	2.59	2.20	2.52
Gamma HHI	0.08	0.06	0.10	0.06	0.09
Net GEX	28.6M	5.0M	65.6M	26.9M	48.6M
Net DEX	-1.26B	-2.42B	-575.2M	-882.2M	-1.18B
Net VEX	-22.6M	-23.2M	-22.0M	-23.1M	-22.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.56	2.00	1.16	0.56
Total Volume	188,246.476	42,508	348,546	112,090	348,546
Total OI	4,314,952.143	4,051,529	4,614,493	4,190,490	4,215,472

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
2022-11-01	$36.17	$34.00	31.8%	9.5%	39.8%	36.1%	33.8%	5.9%	-0.3%	26.9M	-882.2M	-23.1M	1.16	2.20	51,852	60,238	2,087,383	2,103,107
2022-11-02	$36.20	$34.00	31.4%	9.3%	39.5%	34.2%	33.1%	4.4%	-0.1%	27.9M	-936.9M	-23.0M	0.85	2.23	117,574	99,787	2,100,793	2,128,892
2022-11-03	$36.00	$34.00	31.3%	9.1%	38.9%	34.1%	32.9%	4.4%	-0.5%	23.3M	-853.5M	-23.0M	1.13	2.53	87,575	98,737	2,148,081	2,167,077
2022-11-04	$36.72	$34.00	30.0%	8.8%	37.3%	28.9%	33.3%	4.2%	-0.0%	28.2M	-1.35B	-23.2M	1.11	2.19	108,203	119,928	2,160,752	2,190,073
2022-11-07	$37.08	$34.00	30.8%	9.1%	37.1%	32.1%	31.4%	4.5%	1.0%	34.0M	-1.45B	-22.9M	0.61	2.05	158,090	96,710	2,115,812	2,159,039
2022-11-08	$37.26	$35.00	30.7%	9.0%	34.1%	31.6%	31.5%	4.6%	0.8%	40.7M	-1.52B	-23.0M	0.80	2.19	87,879	70,581	2,149,332	2,214,656
2022-11-09	$36.44	$35.00	31.8%	9.5%	36.1%	35.9%	33.7%	5.4%	1.5%	24.5M	-979.5M	-23.0M	1.03	2.26	89,892	92,507	2,172,722	2,235,717
2022-11-10	$38.17	$35.00	28.5%	8.5%	35.0%	22.9%	30.7%	4.6%	1.6%	65.6M	-2.17B	-22.8M	0.80	2.14	165,418	131,600	2,181,845	2,262,158
2022-11-11	$38.52	$36.00	26.8%	8.0%	34.8%	16.4%	30.2%	4.4%	1.7%	49.9M	-2.42B	-22.8M	0.86	2.10	125,543	107,544	2,204,749	2,305,344
2022-11-14	$37.90	$36.00	27.7%	8.1%	30.0%	20.0%	29.0%	4.8%	0.5%	36.5M	-1.83B	-22.2M	1.15	2.22	78,239	89,990	2,145,984	2,249,704
2022-11-15	$37.67	$36.00	28.5%	8.2%	28.5%	23.2%	29.3%	5.5%	0.3%	29.2M	-1.62B	-22.6M	1.32	2.53	84,226	111,542	2,169,283	2,284,585
2022-11-16	$37.41	$36.00	29.2%	8.4%	25.8%	25.9%	28.9%	4.6%	0.2%	16.3M	-1.45B	-22.6M	0.57	2.56	113,398	65,197	2,187,053	2,324,880
2022-11-17	$37.10	$36.00	28.9%	8.3%	25.9%	21.9%	29.0%	4.5%	-0.0%	5.0M	-1.22B	-22.9M	1.02	2.12	103,076	105,070	2,223,258	2,370,679
2022-11-18	$37.26	$36.00	28.8%	8.3%	22.3%	21.5%	29.2%	4.8%	0.1%	7.6M	-1.35B	-22.9M	0.88	2.26	104,268	91,357	2,237,069	2,377,424
2022-11-21	$37.29	$36.00	27.9%	7.8%	22.3%	12.5%	28.1%	5.0%	-0.5%	15.6M	-835.3M	-22.5M	1.03	2.40	71,602	73,605	2,001,513	2,050,016
2022-11-22	$37.52	$36.00	26.0%	7.6%	22.3%	2.7%	26.7%	4.4%	-0.3%	25.2M	-998.5M	-22.5M	1.30	2.28	71,122	92,586	2,031,338	2,072,740
2022-11-23	$37.59	$36.00	24.8%	7.4%	22.2%	0.0%	26.3%	4.2%	0.1%	26.6M	-1.01B	-22.5M	2.00	2.59	50,308	100,548	2,046,207	2,099,798
2022-11-25	$37.83	$36.00	25.0%	7.2%	22.2%	0.8%	25.4%	4.1%	-0.4%	43.7M	-1.22B	-22.1M	0.58	2.33	26,950	15,558	2,062,329	2,112,944
2022-11-28	$36.92	$36.00	27.3%	8.3%	24.1%	10.6%	28.5%	4.4%	0.3%	12.4M	-575.2M	-22.0M	0.95	2.07	63,514	60,429	2,032,625	2,071,345
2022-11-29	$37.03	$36.00	26.5%	8.1%	24.1%	7.4%	28.0%	4.1%	0.4%	13.7M	-634.9M	-22.1M	0.67	2.25	97,359	65,028	2,058,893	2,101,324
2022-11-30	$37.72	$36.00	24.6%	7.7%	24.8%	0.0%	28.5%	4.2%	0.4%	48.6M	-1.18B	-22.0M	0.56	2.52	223,349	125,197	2,094,965	2,120,507