BAC Options History — March 2023

In March 2023, BAC traded between $26.94 and $34.19. ATM implied volatility averaged 37.6%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 6.3% (HV 20d: 31.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.81.

Notable Days

2023-03-10: Highest Volume — 995,364 contracts
2023-03-09: Largest IV spike — 34.7% change
2023-03-13: Highest IV Rank — 100.0%
2023-03-23: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.78	$26.94	$34.19	$34.19	$28.39
Max Pain	$32.37	$30.00	$35.00	$35.00	$30.00
ATM IV	37.6%	22.5%	51.6%	24.0%	35.9%
Expected Move	11.0%	6.3%	14.9%	6.8%	10.3%
HV 20d	31.3%	15.1%	44.3%	16.3%	43.3%
HV 60d	25.8%	18.8%	30.7%	22.5%	30.4%
IV Rank	57.0%	2.7%	100.0%	8.5%	47.3%
IV Percentile	67.4%	2.0%	100.0%	5.6%	67.1%
Term Structure	-0.4%	-2.6%	1.0%	0.2%	-0.2%
VWIV	38.0%	19.8%	57.8%	23.6%	36.6%
Skew 25d	9.2%	3.4%	18.0%	3.6%	8.2%
Skew 10d	18.7%	7.1%	37.2%	7.1%	16.9%
Call IV 25d	34.0%	20.9%	45.3%	22.7%	32.1%
Put IV 25d	43.3%	24.4%	63.2%	26.2%	40.3%
Bid-Ask Spread %	2.47	1.87	4.22	2.05	2.14
Gamma HHI	0.08	0.05	0.25	0.07	0.06
Net GEX	-20.8M	-48.3M	4.3M	-17.5M	-9.2M
Net DEX	1.64B	323.4M	2.47B	516.1M	1.47B
Net VEX	-19.9M	-22.2M	-17.0M	-19.3M	-21.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.52	1.16	0.69	0.80
Total Volume	492,880.609	124,572	995,364	147,076	277,634
Total OI	4,249,504.13	3,277,867	5,181,030	3,294,438	5,181,030

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
2023-03-01	$34.19	$35.00	24.0%	6.8%	16.3%	8.5%	23.6%	3.6%	0.2%	-17.5M	516.1M	-19.3M	0.69	2.05	87,174	59,902	1,594,365	1,700,073
2023-03-02	$33.56	$35.00	24.1%	7.1%	15.1%	8.8%	24.3%	4.1%	-0.1%	-29.7M	856.4M	-19.6M	0.62	2.27	107,415	66,286	1,611,685	1,727,690
2023-03-03	$34.17	$35.00	22.5%	6.3%	17.0%	2.7%	19.8%	3.4%	0.1%	-8.5M	323.4M	-19.8M	0.70	2.52	84,119	59,194	1,644,781	1,724,312
2023-03-06	$34.17	$35.00	22.8%	7.4%	16.8%	3.9%	25.3%	3.9%	0.4%	-8.2M	339.0M	-19.5M	0.85	1.87	67,197	57,375	1,584,662	1,693,205
2023-03-07	$33.02	$35.00	25.4%	8.0%	19.8%	13.5%	26.5%	4.4%	0.2%	-31.9M	1.00B	-18.9M	0.76	1.97	125,221	95,644	1,600,269	1,704,437
2023-03-08	$32.56	$34.00	24.9%	7.9%	18.9%	11.7%	28.4%	3.8%	0.4%	-39.9M	1.18B	-18.7M	0.96	2.03	153,778	147,914	1,648,042	1,709,124
2023-03-09	$30.52	$34.00	33.5%	10.0%	28.1%	47.5%	33.8%	6.9%	-0.7%	-33.9M	1.94B	-17.0M	0.75	3.23	461,694	345,260	1,713,637	1,720,066
2023-03-10	$30.16	$33.00	39.8%	11.5%	27.8%	73.0%	40.3%	8.6%	-1.8%	-23.1M	1.96B	-18.5M	0.80	2.42	552,262	443,102	1,918,627	1,854,137
2023-03-13	$28.69	$33.00	47.0%	13.2%	31.4%	100.0%	44.5%	11.1%	-0.3%	-27.3M	2.31B	-17.6M	0.81	3.05	539,579	436,544	1,919,786	1,930,335
2023-03-14	$28.55	$32.00	43.3%	12.4%	31.2%	85.2%	44.5%	9.8%	0.2%	-21.4M	2.30B	-18.4M	0.52	2.50	442,400	230,175	2,132,996	2,076,811
2023-03-15	$28.36	$32.00	49.4%	14.1%	30.7%	100.0%	49.6%	14.3%	-0.1%	-16.4M	2.28B	-19.2M	0.98	2.54	328,705	323,291	2,305,927	2,146,069
2023-03-16	$28.91	$32.00	40.3%	11.8%	32.6%	67.1%	40.9%	10.2%	1.0%	-6.4M	2.07B	-19.8M	0.77	2.66	412,620	315,850	2,406,938	2,221,182
2023-03-17	$27.89	$32.00	49.3%	14.3%	33.8%	99.8%	49.0%	15.5%	0.8%	-48.3M	2.47B	-19.7M	1.00	2.30	354,420	353,628	2,510,307	2,377,094
2023-03-20	$27.79	$32.00	45.7%	13.2%	33.5%	86.9%	44.9%	13.6%	-1.1%	-22.2M	2.10B	-19.9M	0.61	2.43	300,447	181,931	2,129,004	2,189,872
2023-03-21	$28.61	$32.00	40.7%	11.8%	36.3%	68.6%	41.0%	10.5%	-2.6%	-6.4M	1.66B	-20.9M	0.53	2.55	267,439	141,565	2,256,386	2,243,540
2023-03-22	$27.80	$32.00	41.9%	12.0%	36.9%	72.9%	40.9%	10.5%	-1.2%	-23.5M	2.06B	-20.3M	0.61	2.72	314,492	190,998	2,306,589	2,286,403
2023-03-23	$26.94	$31.00	51.6%	14.9%	37.2%	100.0%	57.8%	18.0%	-2.4%	-34.3M	2.40B	-20.0M	1.16	4.22	422,808	492,102	2,428,437	2,346,736
2023-03-24	$27.13	$30.50	48.2%	13.9%	37.7%	88.6%	50.3%	13.1%	-0.7%	-37.9M	2.33B	-20.8M	0.95	2.43	302,309	287,707	2,532,997	2,532,875
2023-03-27	$28.48	$30.00	40.3%	11.5%	43.1%	62.1%	41.0%	9.9%	-0.1%	-7.7M	1.58B	-22.2M	0.63	2.43	287,548	180,996	2,438,138	2,504,206
2023-03-28	$28.07	$30.00	40.7%	12.0%	42.9%	63.5%	38.2%	10.4%	-0.4%	-14.0M	1.77B	-21.5M	0.99	2.10	152,590	150,939	2,493,154	2,523,803
2023-03-29	$28.68	$30.00	34.8%	10.7%	44.3%	43.8%	36.5%	8.9%	0.3%	4.3M	1.33B	-21.8M	1.13	2.54	170,764	192,180	2,527,947	2,525,718
2023-03-30	$28.29	$30.00	38.2%	11.0%	44.2%	55.1%	36.8%	9.3%	-0.4%	-15.4M	1.59B	-21.5M	1.04	1.92	181,880	189,176	2,553,224	2,561,979
2023-03-31	$28.39	$30.00	35.9%	10.3%	43.3%	47.3%	36.6%	8.2%	-0.2%	-9.2M	1.47B	-21.6M	0.80	2.14	154,397	123,237	2,599,398	2,581,632