BAC Options History — October 2023

In October 2023, BAC traded between $25.09 and $27.52. ATM implied volatility averaged 31.0%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 8.4% (HV 20d: 22.5%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.25.

Notable Days

2023-10-17: Highest Volume — 633,818 contracts
2023-10-17: Largest IV drop — 16.9% change
2023-10-03: Highest IV Rank — 48.6%
2023-10-04: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.33	$25.09	$27.52	$26.63	$26.30
Max Pain	$27.20	$25.00	$29.00	$28.00	$25.00
ATM IV	31.0%	24.5%	35.2%	32.0%	29.2%
Expected Move	9.0%	7.0%	11.4%	10.4%	8.1%
HV 20d	22.5%	17.5%	29.4%	17.5%	28.8%
HV 60d	20.8%	19.2%	23.1%	21.7%	23.1%
IV Rank	35.3%	14.9%	48.6%	38.6%	29.8%
IV Percentile	69.3%	27.8%	84.1%	75.4%	61.9%
Term Structure	-0.6%	-1.5%	1.2%	-1.1%	-0.6%
VWIV	32.0%	27.3%	42.3%	36.3%	31.5%
Skew 25d	5.9%	4.3%	7.0%	5.4%	6.0%
Skew 10d	12.2%	8.4%	15.3%	11.6%	11.6%
Call IV 25d	28.6%	23.5%	32.4%	30.1%	26.0%
Put IV 25d	34.6%	27.8%	38.8%	35.5%	32.0%
Bid-Ask Spread %	1.95	1.64	2.30	1.85	2.21
Gamma HHI	0.13	0.08	0.41	0.10	0.13
Net GEX	-53.1M	-152.6M	-21.2M	-52.1M	-41.0M
Net DEX	1.67B	818.4M	2.37B	1.80B	1.50B
Net VEX	-19.7M	-20.7M	-17.5M	-18.1M	-20.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.56	2.32	0.84	0.96
Total Volume	328,681.545	139,087	633,818	200,965	149,544
Total OI	5,134,684.409	4,484,988	5,616,662	4,484,988	5,283,969

Daily Data (22 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
2023-10-02	$26.63	$28.00	32.0%	10.4%	17.5%	38.6%	36.3%	5.4%	-1.1%	-52.1M	1.80B	-18.1M	0.84	1.85	109,484	91,481	2,140,832	2,344,156
2023-10-03	$25.87	$28.00	35.2%	11.3%	19.5%	48.6%	38.8%	6.3%	-1.2%	-55.5M	2.21B	-17.5M	1.22	1.71	134,968	164,854	2,190,509	2,371,669
2023-10-04	$25.89	$27.50	34.4%	11.4%	19.6%	46.1%	42.3%	5.9%	-1.0%	-55.8M	2.03B	-17.5M	1.49	1.76	173,795	258,827	2,228,207	2,343,497
2023-10-05	$26.07	$29.00	34.4%	9.3%	19.9%	46.0%	28.5%	6.6%	-1.3%	-52.2M	1.86B	-18.5M	1.88	2.06	109,925	206,802	2,310,168	2,435,800
2023-10-06	$26.13	$29.00	34.1%	9.2%	19.9%	45.1%	32.1%	6.2%	-1.5%	-51.0M	1.78B	-19.0M	1.69	2.12	194,096	327,731	2,356,475	2,523,246
2023-10-09	$26.30	$29.00	34.2%	9.4%	20.0%	45.3%	31.3%	5.9%	-0.8%	-43.6M	1.67B	-19.6M	0.60	1.84	121,765	73,230	2,335,956	2,676,846
2023-10-10	$26.99	$29.00	32.5%	8.9%	21.3%	40.1%	30.9%	5.0%	-1.1%	-26.5M	1.17B	-20.5M	1.07	2.06	168,014	179,845	2,390,645	2,710,034
2023-10-11	$27.02	$28.00	32.1%	8.8%	21.4%	38.9%	29.7%	5.0%	-1.3%	-29.7M	1.19B	-20.4M	1.01	1.84	117,218	118,707	2,423,811	2,759,175
2023-10-12	$26.87	$28.00	32.1%	8.9%	20.4%	38.8%	30.2%	5.1%	-1.2%	-31.3M	1.31B	-20.4M	1.20	1.64	118,473	141,907	2,466,036	2,789,670
2023-10-13	$26.70	$28.00	33.1%	9.2%	20.2%	41.9%	31.8%	5.6%	-1.3%	-36.1M	1.43B	-20.7M	0.83	1.74	186,490	154,944	2,495,976	2,829,081
2023-10-16	$27.02	$28.00	29.4%	8.4%	20.9%	30.5%	31.8%	5.3%	-1.1%	-34.8M	1.27B	-20.3M	1.26	1.64	181,399	228,319	2,449,603	2,826,697
2023-10-17	$27.52	$28.00	24.5%	7.0%	22.3%	14.9%	27.9%	4.3%	-1.0%	-21.2M	818.4M	-20.5M	0.69	1.77	376,162	257,656	2,532,515	2,892,256
2023-10-18	$27.23	$27.00	28.0%	8.0%	22.5%	25.8%	27.3%	5.6%	-0.9%	-34.6M	1.11B	-20.7M	1.81	1.98	132,215	238,811	2,537,108	2,911,028
2023-10-19	$26.91	$27.00	28.1%	8.1%	22.0%	26.2%	32.8%	5.7%	-0.9%	-57.0M	1.41B	-20.7M	1.52	1.74	116,784	177,678	2,581,617	2,976,229
2023-10-20	$26.27	$27.00	30.1%	8.7%	23.0%	32.4%	31.6%	5.5%	-0.8%	-53.3M	1.86B	-19.9M	2.32	1.88	158,807	368,690	2,607,932	3,008,730
2023-10-23	$25.59	$26.00	29.3%	8.9%	24.5%	29.9%	31.9%	6.7%	0.9%	-77.3M	2.16B	-19.1M	1.46	2.20	143,982	210,617	2,178,427	2,811,971
2023-10-24	$25.49	$26.00	29.6%	8.4%	24.1%	30.9%	29.6%	7.0%	1.1%	-81.7M	2.19B	-18.9M	1.17	2.11	88,250	103,037	2,225,873	2,904,837
2023-10-25	$25.55	$26.00	28.3%	8.8%	24.1%	26.9%	36.1%	7.0%	0.9%	-77.0M	2.17B	-19.3M	1.17	2.07	161,725	189,355	2,248,165	2,937,330
2023-10-26	$26.16	$25.00	29.7%	8.9%	25.3%	31.2%	30.0%	7.0%	1.2%	-45.3M	1.65B	-20.7M	1.20	2.25	146,858	176,110	2,323,103	2,976,428
2023-10-27	$25.09	$25.00	31.7%	9.4%	28.9%	37.5%	31.8%	6.6%	0.9%	-152.6M	2.37B	-19.4M	1.67	2.30	124,948	208,404	2,342,063	3,058,339
2023-10-30	$25.70	$25.00	29.6%	9.0%	29.4%	31.0%	30.5%	6.4%	-0.6%	-58.1M	1.89B	-20.0M	0.56	2.23	89,310	49,777	2,306,331	2,920,717
2023-10-31	$26.30	$25.00	29.2%	8.1%	28.8%	29.8%	31.5%	6.0%	-0.6%	-41.0M	1.50B	-20.7M	0.96	2.21	76,371	73,173	2,338,551	2,945,418