BAC Options History — April 2010

In April 2010, BAC traded between $17.47 and $19.48. ATM implied volatility averaged 33.7%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 8.9% (HV 20d: 24.8%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2010-04-16: Highest Volume — 1,285,798 contracts
  • 2010-04-15: Largest IV drop — 40.8% change
  • 2010-04-14: Highest IV Rank — 23.7%
  • 2010-04-27: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.42$17.47$19.48$18.04$17.83
Max Pain$16.86$16.00$18.00$17.00$18.00
ATM IV33.7%28.7%53.7%29.5%34.5%
Expected Move8.9%8.2%10.6%8.5%9.9%
HV 20d24.8%16.5%34.9%18.5%34.9%
HV 60d30.3%28.4%32.7%32.1%30.5%
IV Rank7.4%3.3%23.7%3.9%8.1%
IV Percentile18.3%3.2%69.4%6.0%24.6%
Term Structure1.3%-0.6%2.9%-0.6%2.0%
VWIV32.1%29.8%36.2%30.3%35.7%
Skew 25d4.0%0.3%7.0%3.7%6.4%
Skew 10d10.7%0.0%18.2%9.6%15.1%
Call IV 25d30.2%27.6%34.7%29.0%33.9%
Put IV 25d34.2%31.1%40.2%32.7%40.2%
Bid-Ask Spread %2.391.494.054.052.28
Gamma HHI0.190.150.260.180.15
Net GEX54.6M24.0M75.0M60.3M31.0M
Net DEX-2.63B-4.07B-1.35B-2.57B-1.68B
Net VEX-22.9M-25.0M-21.2M-21.4M-24.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.331.160.890.84
Total Volume429,841.667153,5391,285,798153,539372,501
Total OI6,893,744.6196,469,1007,357,6956,469,1007,357,695

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$18.04$17.0029.5%8.5%18.5%3.9%30.3%3.7%-0.6%60.3M-2.57B-21.4M0.894.0581,45472,0853,909,4732,559,627
2010-04-05$18.13$16.0030.7%8.2%17.8%4.9%29.8%4.1%2.8%61.3M-2.62B-21.2M0.342.57151,45451,4933,930,1872,588,269
2010-04-06$18.49$16.0033.3%8.4%18.6%7.1%29.8%3.0%1.5%67.8M-3.05B-21.4M0.522.17182,67694,6503,945,1352,598,890
2010-04-07$18.62$16.0032.1%8.2%18.6%6.0%30.3%3.4%1.4%68.4M-3.13B-21.4M0.402.25363,978145,3383,974,4652,609,064
2010-04-08$18.65$16.0031.5%8.5%18.0%5.5%31.0%3.5%0.8%68.4M-3.17B-21.5M0.562.73183,385102,3163,974,4652,609,064
2010-04-09$18.59$17.0030.8%8.4%18.1%5.0%30.6%2.9%1.2%71.9M-3.18B-21.4M0.952.38148,279140,7544,034,3462,683,418
2010-04-12$18.66$17.0039.0%8.5%16.5%11.7%32.3%3.5%1.2%69.8M-3.14B-21.5M0.602.10213,777127,6144,035,6042,683,453
2010-04-13$18.67$17.0042.5%8.4%16.5%14.6%30.4%2.8%0.8%74.9M-3.26B-21.8M0.692.36219,920150,9104,125,9452,800,174
2010-04-14$19.40$17.0053.7%9.1%20.2%23.7%31.9%2.8%-0.2%72.9M-3.90B-22.5M0.402.80540,960218,4374,131,1112,848,091
2010-04-15$19.48$17.0031.8%9.1%20.1%5.9%32.1%0.3%0.0%75.0M-4.07B-22.6M0.332.05681,839221,6594,206,6582,917,615
2010-04-16$18.41$17.0032.9%9.4%29.5%6.8%33.5%2.4%2.9%60.2M-2.67B-23.2M0.722.58746,651539,1474,324,3092,966,413
2010-04-19$18.39$17.0033.5%9.6%28.7%7.2%33.9%3.6%0.5%46.5M-2.34B-23.7M0.932.43352,316326,7793,985,4222,714,092
2010-04-20$18.61$17.0028.7%8.2%28.8%3.3%32.4%5.2%1.8%49.4M-2.47B-24.0M0.801.49230,090183,5774,059,7552,808,590
2010-04-21$18.28$17.0031.3%9.0%29.8%5.5%32.0%4.7%1.0%41.4M-2.13B-23.9M0.572.13201,740115,0024,082,9742,816,576
2010-04-22$18.54$17.0029.2%8.4%28.9%3.7%31.9%4.8%1.8%49.3M-2.47B-24.2M1.162.68151,329175,0874,093,3152,824,516
2010-04-23$18.43$17.0030.9%8.9%28.9%5.1%31.8%5.2%2.0%43.1M-2.24B-24.3M0.942.02102,40096,1334,122,0052,851,928
2010-04-26$18.05$17.0031.2%8.9%29.9%5.4%32.2%4.4%1.8%40.5M-2.05B-23.5M0.532.17143,34576,0254,159,9122,868,675
2010-04-27$17.47$17.0036.8%10.6%32.0%10.0%36.2%5.3%0.8%24.0M-1.35B-23.5M0.822.81258,786211,5814,160,4302,888,745
2010-04-28$17.78$17.0031.8%9.1%32.2%5.9%34.0%7.0%2.0%30.3M-1.65B-24.2M0.672.24209,468139,3214,234,6122,947,910
2010-04-29$18.30$17.0031.4%9.0%33.7%5.5%31.1%5.0%1.5%39.6M-2.17B-25.0M0.531.96197,658104,7614,306,3593,029,350
2010-04-30$17.83$18.0034.5%9.9%34.9%8.1%35.7%6.4%2.0%31.0M-1.68B-24.6M0.842.28202,191170,3104,316,7743,040,921