BAC Options History — January 2011

In January 2011, BAC traded between $13.55 and $15.25. ATM implied volatility averaged 33.2%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.2% (HV 20d: 34.4%). Max pain ranged from $12.50 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2011-01-20: Highest Volume — 1,040,244 contracts
  • 2011-01-28: Largest IV spike — 17.2% change
  • 2011-01-10: Highest IV Rank — 38.6%
  • 2011-01-03: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.30$13.55$15.25$14.19$13.73
Max Pain$12.90$12.50$13.00$12.50$13.00
ATM IV33.2%27.1%38.6%36.4%32.5%
Expected Move9.4%7.8%10.5%10.5%8.1%
HV 20d34.4%29.4%37.2%37.2%37.0%
HV 60d36.3%34.0%39.2%39.2%35.8%
IV Rank23.8%6.6%38.6%32.7%21.7%
IV Percentile33.2%1.6%67.5%57.1%29.4%
Term Structure0.4%-2.2%2.3%-2.2%1.4%
VWIV33.6%28.7%36.9%36.9%31.5%
Skew 25d2.5%0.9%3.6%3.6%3.2%
Skew 10d6.3%2.9%10.6%7.9%10.6%
Call IV 25d33.0%28.2%35.9%35.9%29.2%
Put IV 25d35.5%30.0%39.5%39.5%32.4%
Bid-Ask Spread %2.341.505.091.682.32
Gamma HHI0.210.160.260.240.17
Net GEX49.4M27.6M69.5M53.4M33.4M
Net DEX-2.24B-3.77B-976.0M-2.35B-1.17B
Net VEX-21.1M-22.1M-19.6M-21.0M-20.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.300.910.350.79
Total Volume623,421.4288,4441,040,244905,444291,952
Total OI9,834,435.856,966,53311,499,36610,338,7757,740,424

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$14.19$12.5036.4%10.5%37.2%32.7%36.9%3.6%-2.2%53.4M-2.35B-21.0M0.351.68673,066232,3786,585,6353,753,140
2011-01-04$14.24$12.5032.9%9.7%35.9%23.0%34.9%3.0%0.2%56.5M-2.45B-20.8M0.411.50402,286164,7286,620,1923,798,691
2011-01-05$14.50$12.5030.7%9.8%35.4%16.7%34.5%2.6%-0.3%55.8M-2.79B-21.1M0.411.97526,646215,8476,670,5513,832,843
2011-01-06$14.44$12.5031.1%10.0%34.5%18.0%33.8%1.8%-0.8%57.4M-2.70B-21.4M0.331.76559,900181,9606,769,5533,913,204
2011-01-07$14.25$13.0034.6%10.0%31.3%27.5%36.1%3.4%1.0%52.3M-2.38B-21.6M0.353.57749,573264,3406,780,8703,988,634
2011-01-10$14.40$13.0038.6%9.8%31.3%38.6%34.8%2.8%1.1%52.4M-2.43B-21.7M0.353.09243,87985,1286,751,4704,023,631
2011-01-11$14.69$13.0038.4%9.2%30.0%38.3%34.0%3.4%1.3%60.3M-2.84B-21.8M0.473.26367,715172,3916,797,5454,044,189
2011-01-12$14.99$13.0036.3%9.2%29.4%32.3%33.1%3.3%0.3%66.7M-3.31B-22.0M0.411.87433,859178,0516,819,3004,084,610
2011-01-13$14.77$13.0033.2%9.5%30.0%23.7%34.2%2.6%-0.2%64.9M-2.96B-22.1M0.412.29286,937118,8406,899,9894,124,836
2011-01-14$15.25$13.0033.4%9.6%30.9%24.2%33.9%1.3%0.2%69.5M-3.77B-22.0M0.302.25640,526192,1926,934,6904,148,319
2011-01-18$15.00$13.0034.4%9.9%32.3%27.2%35.4%1.6%-1.0%67.1M-3.28B-21.8M0.405.09381,487153,1666,957,9044,165,713
2011-01-19$14.37$13.0035.1%10.1%37.1%29.0%34.9%1.8%0.2%53.2M-2.26B-21.5M0.592.35454,081270,1737,002,2024,205,929
2011-01-20$14.54$13.0034.5%9.9%36.3%27.4%35.8%2.0%-0.2%58.0M-2.46B-21.6M0.912.64544,525495,7197,037,7354,249,725
2011-01-21$14.25$13.0032.7%9.4%36.2%22.2%33.6%0.9%0.8%34.9M-2.06B-21.3M0.511.91444,955226,1427,103,0944,396,272
2011-01-24$13.92$13.0031.0%8.9%36.1%17.6%31.4%3.3%0.7%34.2M-1.38B-19.8M0.641.91308,957196,4094,260,4472,706,086
2011-01-25$13.63$13.0030.9%8.8%36.7%17.2%32.6%3.6%1.2%29.0M-1.04B-19.6M0.701.80470,728331,1454,337,1752,768,640
2011-01-26$13.55$13.0029.0%8.3%36.8%12.0%30.4%1.6%1.0%27.6M-976.0M-19.8M0.821.66158,684129,7604,446,6642,899,328
2011-01-27$13.67$13.0027.1%7.8%36.9%6.6%28.7%1.9%2.3%31.9M-1.11B-20.1M0.572.19249,960142,3894,494,4142,931,278
2011-01-28$13.60$13.0031.7%8.6%36.9%19.5%31.8%2.6%0.9%29.4M-1.06B-20.5M0.631.65324,271203,6834,621,7173,022,078
2011-01-31$13.73$13.0032.5%8.1%37.0%21.7%31.5%3.2%1.4%33.4M-1.17B-20.6M0.792.32162,808129,1444,674,0633,066,361