BAC Options History — November 2010

In November 2010, BAC traded between $10.95 and $12.60. ATM implied volatility averaged 39.6%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 2.1% (HV 20d: 37.5%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-11-05: Highest Volume — 1,204,045 contracts
  • 2010-11-10: Largest IV drop — 27.7% change
  • 2010-11-02: Highest IV Rank — 80.6%
  • 2010-11-30: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.76$10.95$12.60$11.50$10.95
Max Pain$12.19$12.00$13.00$13.00$12.00
ATM IV39.6%32.1%53.6%52.7%48.7%
Expected Move10.5%9.2%12.0%11.9%12.0%
HV 20d37.5%32.1%45.3%40.2%35.6%
HV 60d35.0%33.2%36.2%33.3%34.5%
IV Rank41.6%20.6%80.6%77.1%67.0%
IV Percentile63.7%25.0%96.8%96.4%94.4%
Term Structure2.1%-2.0%6.1%-0.6%0.4%
VWIV37.4%34.6%42.5%39.2%42.5%
Skew 25d4.2%1.2%7.6%6.1%4.3%
Skew 10d9.5%1.7%14.8%12.3%10.8%
Call IV 25d36.2%33.1%42.6%37.2%42.6%
Put IV 25d40.4%37.5%46.8%43.3%46.8%
Bid-Ask Spread %3.142.174.873.022.62
Gamma HHI0.150.130.210.170.17
Net GEX3.1M-16.1M27.7M-14.4M-4.9M
Net DEX730.0M-273.4M1.43B1.30B1.04B
Net VEX-18.1M-20.5M-15.7M-17.0M-16.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.191.280.600.90
Total Volume447,809.143169,7771,204,045302,902691,829
Total OI11,402,312.6679,686,55412,450,04411,427,24710,165,232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$11.50$13.0052.7%11.9%40.2%77.1%39.2%6.1%-0.6%-14.4M1.30B-17.0M0.603.02189,214113,6886,816,2904,610,957
2010-11-02$11.40$13.0053.6%12.0%37.6%80.6%41.0%6.9%-2.0%-16.1M1.43B-16.9M0.484.36280,542133,4216,900,3244,648,738
2010-11-03$11.52$13.0045.5%10.0%38.2%58.0%38.2%7.6%1.0%-13.3M1.31B-17.4M0.604.87158,40094,5316,988,2044,694,641
2010-11-04$12.13$13.0037.2%10.2%43.6%34.7%36.0%1.2%0.9%12.3M542.5M-18.3M0.444.52624,423273,7527,046,3564,717,501
2010-11-05$12.36$12.0039.4%10.7%44.3%41.1%38.6%3.4%0.4%16.6M85.2M-19.7M0.752.69686,447517,5987,159,0264,666,728
2010-11-08$12.60$12.0046.5%10.5%45.0%60.9%37.7%2.8%1.9%27.7M-273.4M-20.5M0.693.33282,638193,6077,241,4244,629,482
2010-11-09$12.27$12.0046.0%10.9%44.4%59.5%38.3%3.5%1.1%13.5M283.2M-19.8M0.443.40362,865158,8537,261,5344,633,725
2010-11-10$12.57$12.0033.3%9.7%45.3%24.0%35.1%4.6%2.6%22.0M-84.6M-20.2M0.573.91253,714144,4737,325,4214,675,066
2010-11-11$12.37$12.0036.8%10.6%41.5%33.8%36.9%4.1%0.4%14.6M178.0M-20.0M0.193.47436,79784,3257,359,8174,685,948
2010-11-12$12.12$12.0035.3%10.1%38.0%29.5%35.1%4.0%1.6%5.8M553.7M-19.3M0.413.41330,623134,5017,379,6254,706,708
2010-11-15$12.10$12.0034.5%9.9%36.4%27.3%35.7%3.9%1.6%7.4M557.9M-19.0M1.232.9893,236115,0237,393,7524,738,858
2010-11-16$11.94$12.0036.2%10.4%33.0%32.0%37.3%2.9%2.3%867.4K751.2M-18.7M0.953.00264,631252,1307,391,5814,760,043
2010-11-17$11.62$12.0036.1%10.3%34.4%31.8%37.0%4.4%5.6%-2.6M1.10B-18.2M0.802.48209,342167,9467,451,8714,803,279
2010-11-18$11.70$12.0034.0%9.7%32.1%26.0%37.0%3.6%6.0%4.1M1.13B-17.8M0.752.32211,445158,7187,517,9864,837,959
2010-11-19$11.66$12.0032.1%9.2%32.1%20.6%34.6%4.4%6.1%6.6M1.15B-17.8M1.242.23147,271182,3727,585,6184,864,426
2010-11-22$11.30$12.0037.3%10.7%32.9%35.1%38.0%3.6%4.3%-434.7K776.1M-16.7M0.592.54259,126152,2646,020,4213,666,133
2010-11-23$11.09$12.0038.3%11.0%33.3%37.9%39.7%4.3%1.8%-5.6M988.4M-15.7M1.282.69167,763215,2426,125,8443,747,198
2010-11-24$11.28$12.0035.4%10.2%32.9%30.0%35.2%4.7%3.5%-7.2M823.3M-17.0M0.662.17122,57780,4276,197,8083,853,927
2010-11-26$11.12$12.0035.2%10.5%33.3%29.3%36.5%4.1%3.3%-2.7M889.6M-16.6M0.603.56106,14463,6336,252,1113,869,272
2010-11-29$11.31$12.0038.3%10.4%33.8%38.0%36.5%4.1%3.1%44.2K788.0M-16.5M0.842.37156,847131,6146,245,3093,812,423
2010-11-30$10.95$12.0048.7%12.0%35.6%67.0%42.5%4.3%0.4%-4.9M1.04B-16.2M0.902.62364,625327,2046,295,4603,869,772