BAC Options History — April 2011

In April 2011, BAC traded between $12.23 and $13.72. ATM implied volatility averaged 30.2%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 11.5% (HV 20d: 18.7%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2011-04-15: Highest Volume — 804,348 contracts
  • 2011-04-14: Largest IV drop — 41.7% change
  • 2011-04-13: Highest IV Rank — 66.4%
  • 2011-04-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.92$12.23$13.72$13.37$12.28
Max Pain$13.05$13.00$14.00$14.00$13.00
ATM IV30.2%22.7%48.7%25.4%23.9%
Expected Move7.6%6.5%8.7%8.7%6.5%
HV 20d18.7%14.3%25.4%25.3%19.4%
HV 60d26.1%23.7%28.1%28.0%23.8%
IV Rank16.6%0.0%66.4%0.5%3.2%
IV Percentile24.0%0.0%94.4%0.4%1.2%
Term Structure0.8%-2.0%2.4%-2.0%2.3%
VWIV26.8%23.0%29.8%29.7%23.0%
Skew 25d2.2%1.0%4.4%2.4%2.3%
Skew 10d4.5%1.3%8.1%1.3%4.3%
Call IV 25d26.3%22.6%29.4%29.4%22.9%
Put IV 25d28.5%25.2%31.8%31.8%25.2%
Bid-Ask Spread %5.643.0311.663.795.59
Gamma HHI0.180.140.200.150.19
Net GEX11.3M-7.8M41.5M20.2M-3.7M
Net DEX-281.7M-1.21B339.9M-665.4M206.2M
Net VEX-20.9M-22.1M-19.6M-21.9M-20.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.271.520.451.52
Total Volume348,817.7169,429804,348228,813173,498
Total OI8,949,470.558,145,9339,408,1948,681,6689,383,370

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$13.37$14.0025.4%8.7%25.3%0.5%29.7%2.4%-2.0%20.2M-665.4M-21.9M0.453.79157,54771,2665,287,7263,393,942
2011-04-04$13.44$13.0030.4%8.3%25.4%14.7%29.0%1.5%0.2%25.0M-792.1M-21.8M0.473.57184,22787,4045,295,5783,388,448
2011-04-05$13.47$13.0032.5%8.1%18.1%20.8%28.2%2.1%0.1%24.8M-758.8M-21.8M0.616.07105,97165,0785,366,0793,419,186
2011-04-06$13.72$13.0033.8%8.1%19.7%24.5%29.0%2.4%-0.0%41.5M-1.21B-22.1M0.273.81241,94664,5555,394,9423,427,237
2011-04-07$13.61$13.0033.6%8.2%18.4%23.7%29.2%1.5%-0.1%38.7M-1.04B-21.7M0.676.44122,39082,2075,473,7803,450,109
2011-04-08$13.48$13.0038.3%8.3%18.1%37.0%28.6%1.8%0.5%30.0M-864.7M-22.1M0.697.87148,426103,0945,491,4623,479,930
2011-04-11$13.49$13.0040.4%8.2%18.0%43.0%28.4%1.3%1.0%33.4M-896.3M-22.0M0.524.53126,03666,0085,502,0023,508,931
2011-04-12$13.47$13.0047.8%8.3%16.9%64.0%29.3%1.1%0.3%29.6M-821.8M-21.7M0.873.83180,197157,3645,530,8873,530,396
2011-04-13$13.27$13.0048.7%8.2%16.3%66.4%29.1%1.3%1.0%17.7M-563.2M-21.1M0.627.03228,339141,8175,568,6103,529,433
2011-04-14$13.13$13.0028.4%8.1%14.3%9.0%29.8%1.0%-0.1%9.8M-363.9M-20.9M1.4311.66268,297382,5905,618,5033,565,107
2011-04-15$12.82$13.0024.5%7.0%15.7%0.0%25.5%1.5%1.5%-7.8M339.9M-19.7M1.147.33376,473427,8755,717,2733,690,921
2011-04-18$12.42$13.0027.5%7.9%18.3%8.1%27.1%4.3%1.0%-5.2M246.0M-19.6M0.735.16449,349327,2724,841,8883,304,045
2011-04-19$12.34$13.0025.4%7.3%18.2%2.3%25.2%4.0%1.9%-7.6M316.5M-20.0M0.628.48365,231225,0904,986,6523,457,832
2011-04-20$12.27$13.0025.8%7.4%17.7%3.5%26.5%4.4%1.4%-6.4M301.5M-20.5M0.458.26270,654122,5405,183,9373,533,228
2011-04-21$12.31$13.0022.7%6.5%17.8%0.0%23.1%2.1%1.7%-5.0M284.4M-20.0M0.843.08181,675152,6885,329,5483,580,791
2011-04-25$12.44$13.0024.5%7.0%18.4%4.8%24.4%2.1%1.5%374.1K62.0M-20.9M0.795.45169,224133,9975,398,0933,641,230
2011-04-26$12.23$13.0023.0%6.6%18.8%0.9%23.6%1.2%2.4%-5.1M245.5M-20.4M0.683.64129,31987,9155,481,0723,703,908
2011-04-27$12.33$13.0023.5%6.7%19.3%2.2%23.6%2.9%1.1%-3.4M206.5M-20.3M0.304.09130,69938,7305,512,2523,717,537
2011-04-28$12.42$13.0024.0%6.9%19.3%3.4%23.8%3.1%-0.0%-950.5K133.2M-20.3M1.083.03110,325119,0415,577,3283,726,218
2011-04-29$12.28$13.0023.9%6.5%19.4%3.2%23.0%2.3%2.3%-3.7M206.2M-20.2M1.525.5968,898104,6005,615,7143,767,656