BAC Options History — March 2007

In March 2007, BAC traded between $49.46 and $51.86. ATM implied volatility averaged 20.4%. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.5% (HV 20d: 20.9%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2007-03-15: Highest Volume — 74,645 contracts
  • 2007-03-15: Largest IV drop — 25.3% change
  • 2007-03-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.73$49.46$51.86$50.38$51.02
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV20.4%14.6%27.6%23.9%19.2%
Expected Move5.4%4.2%6.9%6.9%5.5%
HV 20d20.9%16.5%24.6%16.6%21.0%
HV 60d16.3%14.8%16.9%14.9%16.6%
Term Structure-0.9%-4.4%0.3%-4.4%-0.6%
VWIV19.0%15.7%23.9%23.6%18.9%
Skew 25d4.3%2.9%6.1%5.1%4.5%
Skew 10d10.2%5.8%15.8%14.1%11.5%
Call IV 25d16.6%12.6%22.5%21.3%15.5%
Put IV 25d20.9%17.2%26.6%26.5%20.0%
Bid-Ask Spread %7.513.4312.275.447.42
Gamma HHI0.260.180.520.230.19
Net GEX22.5M8.3M60.6M20.9M13.8M
Net DEX-833.1M-1.16B-386.3M-736.7M-853.9M
Net VEX-13.6M-14.2M-12.6M-13.4M-14.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.645.690.825.69
Total Volume38,439.36410,56374,64560,49248,495
Total OI1,169,292.4091,107,5131,232,7881,112,3871,232,788

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$50.38$50.0023.9%6.9%16.6%0.0%23.6%5.1%-4.4%20.9M-736.7M-13.4M0.825.4433,21227,280639,427472,960
2007-03-02$50.01$50.0023.4%6.7%16.5%0.0%23.9%4.1%-3.6%21.3M-645.1M-13.7M2.366.9611,09726,243650,923480,402
2007-03-05$49.64$50.0026.1%6.0%16.6%0.0%21.3%4.1%-1.8%19.4M-532.8M-13.7M0.909.3318,91517,073655,683488,297
2007-03-06$50.94$50.0022.6%5.6%19.5%0.0%18.7%4.5%-1.3%28.0M-969.6M-13.7M0.9712.2715,16014,750663,577489,632
2007-03-07$50.59$50.0021.4%5.4%19.3%0.0%19.1%3.8%-1.1%27.9M-859.4M-13.6M1.378.437,73010,575666,851493,435
2007-03-08$50.77$50.0021.7%5.2%19.3%0.0%18.0%3.6%-1.0%30.1M-898.3M-13.4M1.009.0411,78311,807669,324495,799
2007-03-09$50.95$50.0021.5%5.3%19.4%0.0%18.2%4.0%-1.0%29.6M-939.9M-13.7M1.797.644,6728,353672,021499,979
2007-03-12$51.09$50.0023.8%5.3%19.4%0.0%19.1%4.9%-1.2%30.1M-999.8M-13.6M0.7411.586,0564,507673,124505,000
2007-03-13$49.46$50.0027.6%5.6%22.2%0.0%20.8%4.2%-1.2%26.7M-435.6M-13.4M1.4810.7023,04234,174676,818505,654
2007-03-14$49.77$50.0027.1%6.1%21.7%0.0%21.4%5.3%-0.9%32.4M-558.5M-13.7M1.028.2922,90223,345686,020510,004
2007-03-15$50.10$50.0020.2%5.8%21.7%0.0%20.0%4.6%-0.5%60.6M-744.8M-12.6M0.648.2945,64928,996689,100518,676
2007-03-16$49.62$50.0019.9%5.7%21.8%0.0%20.2%4.7%-0.2%30.2M-386.3M-13.5M0.875.1534,94730,397685,973519,487
2007-03-19$50.37$50.0018.8%5.4%22.7%0.0%17.7%4.8%0.2%8.3M-689.7M-13.5M0.877.8620,62617,900616,201491,312
2007-03-20$50.76$50.0017.4%5.0%23.0%0.0%17.6%4.1%0.3%10.2M-804.9M-13.4M1.735.6021,67837,580622,249497,392
2007-03-21$51.86$50.0014.6%4.2%24.6%0.0%16.4%3.2%0.3%17.8M-1.16B-13.5M1.493.4328,59342,683633,798509,115
2007-03-22$51.64$50.0015.1%4.3%24.6%0.0%18.7%4.4%-0.0%15.4M-1.06B-13.8M1.125.7711,79413,166642,611524,939
2007-03-23$51.69$50.0015.0%4.3%24.1%0.0%15.7%2.9%-0.0%15.3M-1.13B-13.6M0.715.908,0125,655646,116529,791
2007-03-26$51.56$50.0015.0%4.3%24.1%0.0%17.2%6.1%-0.3%15.6M-1.05B-13.7M0.956.366,5726,233650,563530,348
2007-03-27$51.84$50.0015.7%4.5%19.8%0.0%16.0%3.7%-0.4%15.9M-1.16B-13.6M0.646.2815,2209,701652,994530,881
2007-03-28$50.77$50.0019.7%5.6%21.2%0.0%19.2%3.8%-1.5%11.1M-804.2M-13.8M1.715.7815,72326,887661,091536,274
2007-03-29$51.19$50.0018.9%5.4%21.2%0.0%17.3%5.2%-0.7%15.3M-909.3M-14.1M2.397.6010,76425,719667,307540,497
2007-03-30$51.02$50.0019.2%5.5%21.0%0.0%18.9%4.5%-0.6%13.8M-853.9M-14.2M5.697.427,25241,243673,361559,427