BAC Options History — July 2007

In July 2007, BAC traded between $47.15 and $49.80. ATM implied volatility averaged 19.5%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.2% (HV 20d: 14.3%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2007-07-24: Highest Volume — 157,528 contracts
  • 2007-07-12: Largest IV drop — 33.5% change
  • 2007-07-31: Highest IV Rank — 80.3%
  • 2007-07-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.64$47.15$49.80$49.32$47.42
Max Pain$49.76$47.50$50.00$50.00$47.50
ATM IV19.5%14.3%26.7%15.0%26.7%
Expected Move5.5%4.1%7.6%4.3%7.6%
HV 20d14.3%12.6%16.9%13.4%16.6%
HV 60d11.9%11.1%13.0%11.6%13.0%
IV Rank51.8%28.7%80.3%28.7%80.3%
IV Percentile81.1%36.5%97.9%36.5%97.9%
Term Structure-0.0%-1.5%1.5%0.8%-1.5%
VWIV19.2%14.8%25.0%15.6%24.6%
Skew 25d4.8%2.3%7.3%6.3%7.3%
Skew 10d10.9%5.7%17.8%14.5%16.3%
Call IV 25d17.3%11.7%22.8%12.9%22.8%
Put IV 25d22.1%16.8%30.1%19.2%30.1%
Bid-Ask Spread %7.494.579.764.577.30
Gamma HHI0.180.160.210.190.19
Net GEX-4.9M-11.5M4.9M-6.0M-8.4M
Net DEX-403.6M-840.8M55.3M-565.5M3.4M
Net VEX-15.5M-16.5M-15.0M-15.3M-16.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.263.520.663.52
Total Volume59,376.95211,031157,52813,761123,583
Total OI1,486,2011,411,9171,603,6201,411,9171,601,055

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$49.32$50.0015.0%4.3%13.4%0.0%15.6%6.3%0.8%-6.0M-565.5M-15.3M0.664.578,2945,467756,964654,953
2007-07-03$49.55$50.0014.3%4.1%13.5%0.0%14.8%5.1%1.1%-1.7M-653.6M-15.2M0.376.058,6503,178758,423655,031
2007-07-05$49.37$50.0014.6%4.2%13.4%28.7%15.3%5.8%1.2%-3.4M-624.7M-15.2M0.535.157,2143,817763,902653,809
2007-07-06$49.15$50.0014.7%4.5%13.0%28.9%16.4%3.4%1.4%-6.8M-537.1M-15.1M0.667.3112,5698,264765,114654,895
2007-07-09$48.81$50.0016.8%4.6%12.6%37.9%16.6%2.9%0.6%-8.2M-424.7M-15.0M0.487.1816,7018,006772,062657,067
2007-07-10$48.36$50.0022.2%5.7%12.9%61.3%18.9%4.0%-0.8%-8.2M-270.5M-15.1M0.829.0423,75819,385779,136660,879
2007-07-11$48.51$50.0025.5%5.7%12.8%75.4%18.2%4.4%-0.6%-5.1M-365.4M-15.3M1.329.3221,86228,966787,872664,550
2007-07-12$49.53$50.0017.0%4.9%14.0%38.8%17.2%4.0%0.2%91.0K-722.5M-15.4M0.836.3723,39619,407798,865681,432
2007-07-13$49.50$50.0017.2%4.9%13.9%39.7%18.4%2.9%-0.1%1.5M-731.1M-15.3M1.307.5111,93915,464801,879676,873
2007-07-16$49.62$50.0017.4%5.0%13.9%40.5%18.0%2.3%-0.2%3.4M-786.1M-15.3M0.477.8214,4836,811800,286679,648
2007-07-17$49.80$50.0017.0%4.9%14.0%38.9%17.7%3.2%0.4%4.9M-840.8M-15.3M0.837.4321,12417,581804,490680,129
2007-07-18$49.36$50.0017.3%5.0%13.4%40.2%18.7%4.2%0.9%1.6M-636.9M-15.4M0.808.5029,36423,558813,185681,741
2007-07-19$49.27$50.0016.1%4.6%12.9%35.0%16.9%3.9%1.5%939.8K-613.7M-15.0M0.686.6235,34823,966822,771688,901
2007-07-20$48.31$50.0021.3%6.1%14.5%57.2%20.8%5.4%-0.6%-6.0M-227.6M-15.4M0.907.2042,15137,960830,904703,540
2007-07-23$48.15$50.0020.3%5.8%13.0%52.9%20.7%4.4%-0.4%-11.5M-235.7M-15.4M0.267.4847,93312,388769,071674,949
2007-07-24$47.15$50.0021.8%6.3%14.9%59.5%19.7%5.8%-0.5%-9.8M55.3M-15.2M2.186.8049,598107,930788,347681,456
2007-07-25$47.93$50.0021.0%6.0%16.2%56.2%21.2%5.5%-1.0%-10.4M-194.8M-16.0M2.478.9142,672105,441817,133702,723
2007-07-26$47.23$50.0023.6%6.8%16.6%67.1%24.2%6.5%-1.2%-9.7M-4.5M-16.2M1.359.2148,22965,192813,642729,623
2007-07-27$47.41$47.5025.7%7.4%16.7%76.2%25.0%6.3%-1.4%-9.8M-19.0M-16.3M1.189.7644,63752,809826,370752,931
2007-07-30$47.70$50.0024.1%6.9%16.9%69.5%24.4%7.3%-0.7%-11.1M-79.6M-16.5M0.947.6824,61123,210834,625768,995
2007-07-31$47.42$47.5026.7%7.6%16.6%80.3%24.6%7.3%-1.5%-8.4M3.4M-16.3M3.527.3027,31696,267839,952761,103