BAC Options History — December 2023

In December 2023, BAC traded between $30.51 and $33.91. ATM implied volatility averaged 24.3%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.3% (HV 20d: 26.6%). Max pain ranged from $29.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2023-12-14: Highest Volume — 768,285 contracts
2023-12-11: Largest IV spike — 9.7% change
2023-12-20: Highest IV Rank — 23.1%
2023-12-26: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.35	$30.51	$33.91	$30.88	$33.69
Max Pain	$29.98	$29.50	$30.00	$29.50	$30.00
ATM IV	24.3%	20.3%	27.1%	20.6%	24.7%
Expected Move	7.2%	6.6%	7.9%	6.6%	7.4%
HV 20d	26.6%	19.9%	28.8%	27.1%	27.9%
HV 60d	28.7%	27.1%	30.4%	27.4%	28.8%
IV Rank	14.3%	1.7%	23.1%	2.9%	15.7%
IV Percentile	34.9%	2.0%	58.3%	4.4%	41.3%
Term Structure	0.5%	-1.0%	4.1%	-0.1%	-0.5%
VWIV	25.9%	23.4%	28.2%	23.4%	27.0%
Skew 25d	1.0%	-0.2%	1.9%	1.9%	1.3%
Skew 10d	2.5%	-0.8%	5.1%	5.1%	4.4%
Call IV 25d	24.5%	20.1%	27.5%	20.4%	24.9%
Put IV 25d	25.4%	20.9%	28.1%	22.3%	26.2%
Bid-Ask Spread %	1.87	1.51	2.59	1.98	1.83
Gamma HHI	0.11	0.08	0.30	0.13	0.10
Net GEX	77.4M	44.9M	157.4M	64.3M	84.6M
Net DEX	-1.94B	-3.55B	-763.4M	-1.17B	-2.45B
Net VEX	-20.6M	-21.5M	-19.5M	-21.2M	-20.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.31	1.42	0.33	0.66
Total Volume	251,927.05	101,794	768,285	347,518	147,016
Total OI	4,937,366.8	4,637,983	5,235,018	4,914,058	4,967,147

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
2023-12-01	$30.88	$29.50	20.6%	6.6%	27.1%	2.9%	23.4%	1.9%	-0.1%	64.3M	-1.17B	-21.2M	0.33	1.98	261,325	86,193	2,152,065	2,761,993
2023-12-04	$30.80	$30.00	21.4%	7.0%	25.3%	5.3%	26.0%	1.3%	3.5%	55.0M	-1.03B	-20.9M	1.28	1.86	88,289	113,253	2,158,751	2,724,332
2023-12-05	$30.55	$30.00	20.3%	6.7%	25.4%	1.7%	24.0%	1.6%	3.6%	50.0M	-783.0M	-20.7M	0.98	2.09	73,400	71,943	2,176,435	2,768,704
2023-12-06	$30.51	$30.00	21.0%	6.9%	25.3%	4.1%	24.9%	1.7%	3.6%	44.9M	-763.4M	-20.4M	0.72	1.63	171,250	123,950	2,172,343	2,787,646
2023-12-07	$30.64	$30.00	22.0%	7.0%	24.6%	7.1%	25.1%	1.4%	3.8%	52.7M	-874.5M	-20.6M	0.82	2.59	78,544	64,047	2,189,119	2,808,181
2023-12-08	$31.02	$30.00	21.5%	6.8%	23.8%	5.7%	24.3%	0.9%	4.1%	157.4M	-1.24B	-21.0M	0.71	1.92	118,563	84,164	2,213,658	2,815,815
2023-12-11	$30.87	$30.00	23.6%	6.8%	24.1%	12.2%	25.2%	1.6%	-0.7%	58.3M	-996.9M	-20.5M	1.11	1.51	53,193	58,825	2,163,824	2,783,305
2023-12-12	$30.76	$30.00	23.0%	6.6%	24.3%	10.3%	23.8%	1.3%	-0.5%	62.8M	-922.7M	-19.7M	0.78	1.54	82,518	64,111	2,177,684	2,787,499
2023-12-13	$31.95	$30.00	24.5%	6.8%	19.9%	15.1%	24.3%	1.2%	-0.8%	93.9M	-2.09B	-19.9M	0.47	2.00	249,434	117,370	2,206,525	2,795,364
2023-12-14	$33.89	$30.00	26.5%	7.3%	27.8%	21.2%	26.3%	-0.2%	-1.0%	80.0M	-3.55B	-19.5M	0.31	1.97	584,404	183,881	2,240,159	2,830,687
2023-12-15	$33.34	$30.00	26.0%	7.3%	28.8%	19.7%	26.2%	-0.2%	-1.0%	81.0M	-2.96B	-20.4M	0.56	1.99	296,068	165,328	2,331,624	2,903,394
2023-12-18	$33.44	$30.00	25.6%	7.3%	28.6%	18.6%	26.2%	0.4%	-0.2%	78.6M	-2.52B	-20.1M	0.71	1.84	139,124	98,675	2,159,979	2,478,004
2023-12-19	$33.61	$30.00	26.1%	7.4%	28.6%	20.1%	26.6%	0.1%	-0.5%	83.1M	-2.62B	-20.4M	0.59	1.81	169,287	99,829	2,196,100	2,533,441
2023-12-20	$33.06	$30.00	27.1%	7.8%	28.6%	23.1%	27.9%	0.7%	-0.5%	67.0M	-2.19B	-20.8M	1.42	1.83	161,179	228,607	2,239,102	2,573,682
2023-12-21	$33.11	$30.00	27.0%	7.8%	28.5%	22.7%	27.9%	0.5%	-0.5%	69.7M	-2.16B	-21.5M	0.67	1.66	116,741	77,734	2,305,453	2,635,006
2023-12-22	$33.39	$30.00	26.6%	7.7%	28.6%	21.6%	27.7%	0.7%	-0.7%	103.8M	-2.45B	-21.0M	0.71	1.54	121,849	86,804	2,328,175	2,659,789
2023-12-26	$33.91	$30.00	26.8%	7.9%	28.5%	22.2%	28.2%	0.8%	-0.3%	83.0M	-2.72B	-20.4M	0.60	2.28	106,458	63,602	2,223,746	2,640,684
2023-12-27	$33.72	$30.00	25.7%	7.6%	28.6%	18.6%	27.3%	1.3%	-0.3%	83.6M	-2.51B	-21.0M	1.34	1.95	55,453	74,336	2,254,396	2,662,723
2023-12-28	$33.91	$30.00	25.6%	7.6%	27.5%	18.4%	26.6%	1.2%	-0.5%	94.7M	-2.70B	-20.4M	0.48	1.65	68,604	33,190	2,266,856	2,673,946
2023-12-29	$33.69	$30.00	24.7%	7.4%	27.9%	15.7%	27.0%	1.3%	-0.5%	84.6M	-2.45B	-20.8M	0.66	1.83	88,810	58,206	2,282,020	2,685,127