BAC Options History — June 2007

In June 2007, BAC traded between $48.80 and $50.85. ATM implied volatility averaged 14.6%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.3% (HV 20d: 10.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2007-06-14: Highest Volume — 70,726 contracts
  • 2007-06-14: Largest IV spike — 80.7% change
  • 2007-06-25: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.86$48.80$50.85$50.78$48.89
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV14.6%7.9%16.4%14.0%14.8%
Expected Move4.3%4.0%4.7%4.0%4.3%
HV 20d10.2%7.7%12.9%8.4%12.9%
HV 60d12.3%11.4%14.0%13.9%11.5%
Term Structure0.8%0.3%1.7%1.0%1.3%
VWIV15.4%13.9%17.9%13.9%17.0%
Skew 25d3.7%0.3%6.1%0.3%5.8%
Skew 10d9.0%-1.6%13.5%-1.6%11.5%
Call IV 25d13.7%11.9%16.0%13.3%14.0%
Put IV 25d17.3%13.6%19.8%13.6%19.8%
Bid-Ask Spread %6.543.7111.325.154.84
Gamma HHI0.230.180.400.300.18
Net GEX12.1M-39.3M42.7M32.2M-6.4M
Net DEX-803.5M-1.26B-388.4M-1.16B-388.4M
Net VEX-14.6M-15.4M-8.9M-14.7M-15.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.461.761.620.94
Total Volume31,863.33313,12570,72622,85030,773
Total OI1,332,650.714810,1041,401,2121,324,7851,393,372

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$50.78$50.0014.0%4.0%8.4%0.0%13.9%0.3%1.0%32.2M-1.16B-14.7M1.625.158,71714,133735,855588,930
2007-06-04$50.85$50.0014.3%4.3%8.5%0.0%13.9%4.4%0.3%32.9M-1.26B-14.0M1.506.7012,64418,917738,280597,540
2007-06-05$50.66$50.0014.7%4.3%8.4%0.0%14.3%3.3%0.3%29.3M-1.18B-14.2M1.275.915,7907,335744,570603,361
2007-06-06$50.33$50.0015.0%4.5%8.7%0.0%15.8%4.0%0.5%26.5M-1.02B-14.7M1.0910.2412,56813,653745,849600,565
2007-06-07$49.79$50.0015.8%4.6%9.3%0.0%16.4%3.4%0.4%20.2M-775.7M-15.4M1.429.6011,26815,972754,883608,658
2007-06-08$50.26$50.0013.7%4.5%8.1%0.0%15.3%3.5%0.7%24.4M-1.00B-15.0M0.7211.3213,3549,572758,624614,423
2007-06-11$50.05$50.0015.9%4.6%7.7%0.0%17.9%3.3%0.3%19.6M-483.9M-8.9M1.767.668,92215,674452,749357,355
2007-06-12$49.66$50.0016.3%4.5%8.1%0.0%16.1%3.4%0.7%25.5M-791.0M-14.5M1.687.397,24012,177765,481613,475
2007-06-13$50.36$50.007.9%4.4%9.6%0.0%15.2%4.0%0.5%42.7M-1.09B-15.1M0.805.4126,73921,397767,609615,428
2007-06-14$50.08$50.0014.3%4.1%9.6%0.0%14.4%3.2%0.8%39.8M-906.5M-15.0M1.235.4331,66239,064762,057624,151
2007-06-15$50.08$50.0013.9%4.0%9.6%0.0%13.9%2.0%1.7%-39.3M-938.8M-14.6M0.465.6226,81412,239759,104642,108
2007-06-18$49.91$50.0013.8%4.0%9.5%0.0%14.7%2.2%0.8%4.4M-818.1M-14.8M1.256.9215,24019,110702,363594,040
2007-06-19$50.55$50.0014.3%4.1%10.8%0.0%14.6%2.4%0.8%13.2M-1.01B-14.8M0.656.3117,86811,701710,461605,028
2007-06-20$49.98$50.0014.8%4.3%11.2%0.0%14.3%2.8%1.0%7.7M-828.6M-15.0M1.036.3025,71226,454719,774607,927
2007-06-21$49.89$50.0014.7%4.2%11.2%0.0%15.2%3.3%0.9%3.7M-778.9M-15.1M1.166.9910,87112,642733,477617,798
2007-06-22$48.95$50.0016.2%4.6%12.7%0.0%16.6%2.5%0.3%-2.3M-491.8M-15.2M0.993.7116,32716,178727,028627,065
2007-06-25$48.85$50.0016.4%4.7%12.6%0.0%16.9%5.5%0.6%-5.6M-411.9M-15.0M1.497.0415,05922,412732,172628,863
2007-06-26$48.80$50.0015.7%4.5%12.6%0.0%16.3%5.6%1.2%-7.1M-441.7M-15.0M0.874.5814,67212,718735,993638,009
2007-06-27$49.19$50.0014.7%4.2%12.9%0.0%15.6%6.1%1.3%-4.9M-552.7M-14.9M1.264.1813,05516,433740,239635,639
2007-06-28$49.09$50.0015.0%4.3%12.9%0.0%14.9%6.0%0.8%-2.9M-538.6M-15.0M0.806.0914,48911,565744,500640,862
2007-06-29$48.89$50.0014.8%4.3%12.9%0.0%17.0%5.8%1.3%-6.4M-388.4M-15.1M0.944.8415,89214,881749,814643,558