BAC Options History — September 2023

In September 2023, BAC traded between $27.13 and $29.20. ATM implied volatility averaged 24.4%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.0% (HV 20d: 17.4%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.05.

Notable Days

2023-09-12: Highest Volume — 273,085 contracts
2023-09-26: Largest IV spike — 10.9% change
2023-09-27: Highest IV Rank — 38.6%
2023-09-27: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.26	$27.13	$29.20	$28.95	$27.32
Max Pain	$28.95	$28.00	$30.00	$30.00	$28.00
ATM IV	24.4%	19.7%	32.0%	19.7%	30.5%
Expected Move	7.6%	5.2%	9.6%	5.2%	9.0%
HV 20d	17.4%	14.7%	21.0%	21.0%	16.3%
HV 60d	22.1%	21.2%	22.6%	22.2%	21.2%
IV Rank	14.7%	0.0%	38.6%	0.0%	33.7%
IV Percentile	27.1%	0.0%	74.2%	0.0%	63.1%
Term Structure	0.7%	-1.6%	4.5%	0.6%	-1.2%
VWIV	26.3%	18.5%	32.3%	18.5%	30.7%
Skew 25d	3.9%	2.5%	6.2%	2.7%	5.1%
Skew 10d	7.8%	4.7%	12.0%	5.4%	10.1%
Call IV 25d	22.8%	18.2%	29.3%	18.3%	28.4%
Put IV 25d	26.8%	20.9%	35.5%	21.0%	33.5%
Bid-Ask Spread %	1.81	1.48	2.06	1.74	1.81
Gamma HHI	0.13	0.10	0.22	0.22	0.11
Net GEX	-28.4M	-51.7M	41.4M	41.4M	-45.5M
Net DEX	1.11B	519.2M	1.57B	1.02B	1.47B
Net VEX	-19.2M	-19.8M	-18.6M	-19.8M	-18.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.40	1.74	1.01	0.78
Total Volume	187,232.65	129,847	273,085	176,905	171,984
Total OI	4,360,182.75	4,004,353	4,556,584	4,363,899	4,556,584

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
2023-09-01	$28.95	$30.00	19.7%	5.2%	21.0%	0.0%	18.5%	2.7%	0.6%	41.4M	1.02B	-19.8M	1.01	1.74	88,094	88,811	2,083,583	2,280,316
2023-09-05	$28.66	$30.00	20.7%	7.0%	19.5%	3.1%	25.8%	3.7%	0.3%	-32.7M	1.17B	-19.4M	0.83	1.95	82,363	68,507	2,026,490	2,261,141
2023-09-06	$28.41	$30.00	22.1%	7.5%	18.8%	7.6%	25.6%	3.4%	0.6%	-41.5M	1.30B	-19.4M	1.52	1.82	98,624	150,319	2,071,971	2,276,545
2023-09-07	$28.19	$30.00	22.1%	7.4%	18.9%	7.4%	25.4%	3.5%	0.7%	-51.7M	1.41B	-19.3M	0.80	1.77	100,313	80,032	2,103,267	2,287,704
2023-09-08	$28.30	$30.00	20.9%	7.2%	19.1%	3.9%	24.3%	2.9%	1.0%	-46.0M	1.32B	-18.9M	0.68	1.64	103,145	70,561	2,104,928	2,297,179
2023-09-11	$28.44	$29.00	21.1%	7.2%	18.3%	4.4%	23.8%	3.4%	3.7%	-38.5M	1.19B	-19.1M	1.05	1.76	66,912	70,025	2,088,894	2,269,131
2023-09-12	$28.94	$29.00	20.3%	6.9%	19.6%	1.8%	23.7%	2.9%	3.6%	-16.8M	819.1M	-19.4M	0.40	1.88	194,439	78,646	2,103,980	2,281,334
2023-09-13	$28.80	$30.00	19.8%	6.9%	16.9%	0.4%	23.3%	3.0%	4.0%	-14.2M	836.9M	-19.3M	1.72	1.61	66,515	114,641	2,183,369	2,297,591
2023-09-14	$29.20	$29.00	20.3%	6.9%	16.2%	1.8%	23.0%	2.7%	4.5%	4.0M	519.2M	-19.7M	0.70	1.84	98,104	69,154	2,191,656	2,306,810
2023-09-15	$28.82	$30.00	21.1%	6.8%	16.8%	4.2%	26.8%	2.5%	4.2%	-13.6M	901.4M	-19.4M	1.20	1.48	116,672	139,636	2,205,368	2,314,378
2023-09-18	$28.77	$29.00	23.0%	6.9%	16.8%	10.2%	24.9%	4.0%	-0.5%	-13.3M	687.2M	-19.0M	1.46	1.91	62,180	90,800	1,907,740	2,096,613
2023-09-19	$28.68	$29.00	24.4%	7.2%	16.8%	14.8%	26.7%	4.0%	-1.1%	-14.8M	727.0M	-19.1M	1.10	1.71	110,495	121,099	1,936,653	2,131,760
2023-09-20	$28.55	$28.00	25.3%	7.3%	14.7%	17.6%	24.4%	3.6%	-1.5%	-17.1M	688.5M	-19.4M	0.57	1.92	112,109	64,377	2,012,098	2,204,783
2023-09-21	$28.05	$28.00	27.7%	8.0%	16.0%	25.1%	27.5%	4.3%	-0.9%	-36.3M	1.03B	-19.1M	1.20	2.05	86,568	104,069	2,058,318	2,216,874
2023-09-22	$27.66	$28.00	27.8%	8.1%	16.5%	25.2%	27.3%	4.5%	-1.6%	-48.0M	1.32B	-18.9M	0.81	2.06	114,868	92,498	2,086,439	2,259,580
2023-09-25	$27.55	$28.00	28.5%	8.6%	16.5%	27.4%	29.8%	4.6%	-0.3%	-46.8M	1.32B	-18.7M	1.74	1.82	54,701	94,990	2,075,162	2,263,758
2023-09-26	$27.13	$28.00	31.6%	9.4%	16.9%	37.1%	32.3%	5.7%	-0.6%	-49.2M	1.57B	-18.6M	1.49	1.66	85,279	127,105	2,092,975	2,291,028
2023-09-27	$27.20	$28.00	32.0%	9.6%	15.8%	38.6%	31.9%	6.2%	-1.0%	-48.0M	1.52B	-18.8M	0.94	1.85	90,601	85,570	2,120,133	2,341,922
2023-09-28	$27.55	$28.00	29.3%	9.1%	16.8%	30.1%	31.1%	5.8%	-0.6%	-40.0M	1.29B	-19.4M	1.03	2.02	63,821	66,026	2,149,779	2,365,821
2023-09-29	$27.32	$28.00	30.5%	9.0%	16.3%	33.7%	30.7%	5.1%	-1.2%	-45.5M	1.47B	-18.9M	0.78	1.81	96,598	75,386	2,174,719	2,381,865