BAC Options History — April 2007

In April 2007, BAC traded between $50.28 and $51.82. ATM implied volatility averaged 17.0%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.7% (HV 20d: 16.3%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2007-04-17: Highest Volume — 82,763 contracts
  • 2007-04-12: Largest IV drop — 19.5% change
  • 2007-04-02: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.86$50.28$51.82$50.43$50.90
Max Pain$51.13$50.00$52.50$50.00$50.00
ATM IV17.0%14.8%21.6%19.8%15.2%
Expected Move4.8%4.3%5.7%5.7%4.3%
HV 20d16.3%13.7%21.3%21.3%13.7%
HV 60d17.1%16.7%17.6%16.7%17.2%
Term Structure-0.3%-1.2%1.0%-0.2%-0.0%
VWIV16.3%13.6%19.9%19.9%14.9%
Skew 25d3.4%1.6%4.9%4.9%1.6%
Skew 10d7.6%3.2%12.3%8.8%7.6%
Call IV 25d14.6%11.9%17.3%17.3%14.4%
Put IV 25d18.0%15.0%22.2%22.2%16.0%
Bid-Ask Spread %6.794.7712.166.017.27
Gamma HHI0.180.160.220.160.19
Net GEX7.7M-1.1M26.0M6.8M3.9M
Net DEX-884.1M-1.38B-647.1M-647.1M-917.2M
Net VEX-14.0M-14.7M-12.1M-14.3M-14.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.032.511.111.14
Total Volume35,128.69,62782,76316,20924,455
Total OI1,311,766.751,256,2501,398,1591,256,2501,365,200

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$50.43$50.0019.8%5.7%21.3%0.0%19.9%4.9%-0.2%6.8M-647.1M-14.3M1.116.017,6718,538674,918581,332
2007-04-03$50.86$50.0019.0%5.5%19.4%0.0%18.7%4.1%-0.5%9.5M-788.9M-14.4M1.355.224,6596,313676,484585,411
2007-04-04$50.89$50.0017.9%5.1%19.2%0.0%17.2%3.0%-0.6%9.5M-793.3M-14.1M0.694.985,7113,916677,916586,955
2007-04-05$50.85$50.0018.4%5.3%19.2%0.0%17.9%4.5%-1.1%8.5M-769.8M-14.2M0.505.2410,7975,431678,051587,732
2007-04-09$50.86$52.5020.7%5.2%19.1%0.0%15.9%4.5%-1.2%9.5M-783.7M-14.0M1.1011.569,0749,984681,855589,585
2007-04-10$51.07$52.5020.7%5.2%19.1%0.0%17.0%4.4%-0.9%11.9M-881.6M-14.1M0.414.777,3853,034685,532594,271
2007-04-11$50.51$52.5021.6%5.3%15.5%0.0%17.9%4.5%-1.0%5.9M-667.3M-13.9M0.547.0810,7845,876688,944593,927
2007-04-12$50.28$52.5017.4%5.0%15.5%0.0%17.6%4.5%-0.7%8.4M-685.0M-12.1M0.647.1721,39713,668694,487596,157
2007-04-13$50.42$52.5017.1%4.9%15.4%0.0%17.5%4.2%-0.5%5.8M-670.1M-14.0M0.9512.1613,25012,562706,708603,517
2007-04-16$51.23$52.5016.4%4.7%15.8%0.0%15.8%2.5%-0.1%15.8M-1.02B-13.4M1.086.7621,21622,848710,011602,898
2007-04-17$51.30$52.5014.9%4.3%15.0%0.0%16.3%2.5%-0.3%16.4M-1.08B-13.2M0.036.4880,1102,653716,004617,265
2007-04-18$51.82$52.5015.6%4.5%15.2%0.0%16.9%2.4%-0.9%26.0M-1.38B-14.0M0.276.8645,23212,197745,654618,055
2007-04-19$50.91$52.5016.4%4.7%14.6%0.0%16.0%2.9%-0.5%4.2M-1.09B-14.2M0.497.5351,54725,225766,619621,679
2007-04-20$51.04$50.0015.2%4.3%14.6%0.0%15.1%2.8%0.7%4.7M-1.13B-13.9M0.315.8143,40713,444770,640627,519
2007-04-23$50.51$50.0015.0%4.3%15.0%0.0%14.7%3.9%0.7%-1.1M-789.0M-13.9M0.587.1229,68917,350694,869578,172
2007-04-24$50.62$50.0014.9%4.3%15.0%0.0%14.1%2.4%0.4%554.4K-821.6M-14.2M2.515.9913,87534,859713,230590,568
2007-04-25$51.23$50.0014.9%4.3%15.5%0.0%13.6%3.0%1.0%5.7M-1.04B-13.6M1.045.3427,23728,250719,567599,223
2007-04-26$50.72$50.0014.9%4.3%14.1%0.0%14.1%2.4%-0.1%-1.1M-851.3M-14.4M0.386.2025,4529,627726,099612,951
2007-04-27$50.77$50.0014.8%4.3%13.7%0.0%14.3%3.3%-0.2%3.8M-870.2M-14.7M0.436.229,6734,176740,370614,960
2007-04-30$50.90$50.0015.2%4.3%13.7%0.0%14.9%1.6%-0.0%3.9M-917.2M-14.5M1.147.2711,45313,002743,710621,490