BAC Options History — September 2011

In September 2011, BAC traded between $6.06 and $7.91. ATM implied volatility averaged 74.6%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded below realized volatility by 10.1% (HV 20d: 84.7%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-09-22: Highest Volume — 945,688 contracts
  • 2011-09-15: Largest IV spike — 44.7% change
  • 2011-09-23: Highest IV Rank — 44.8%
  • 2011-09-23: Largest Expected Move — 25.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.85$6.06$7.91$7.91$6.12
Max Pain$8.48$8.00$9.00$9.00$8.00
ATM IV74.6%47.3%87.6%59.6%85.5%
Expected Move22.1%17.6%25.1%17.6%24.3%
HV 20d84.7%63.9%116.4%115.6%66.6%
HV 60d76.1%71.5%79.1%71.5%79.1%
IV Rank36.4%18.8%44.8%26.7%43.4%
IV Percentile92.1%85.7%95.6%92.5%94.4%
Term Structure-0.4%-5.5%9.4%6.6%2.0%
VWIV77.1%63.1%87.1%64.8%85.2%
Skew 25d19.7%5.2%27.2%5.2%25.7%
Skew 10d41.8%16.9%59.1%16.9%51.3%
Call IV 25d68.7%54.3%78.0%63.8%75.7%
Put IV 25d88.3%69.0%101.3%69.0%101.3%
Bid-Ask Spread %2.621.844.643.212.75
Gamma HHI0.140.100.230.100.14
Net GEX224.3K-5.7M7.9M7.9M-575.2K
Net DEX1.24B929.8M1.36B929.8M1.32B
Net VEX-11.5M-14.8M-9.1M-14.8M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.481.430.670.95
Total Volume424,004195,981945,688375,936253,003
Total OI12,156,265.38111,190,01712,987,68612,443,39011,891,871

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$7.91$9.0059.6%17.6%115.6%26.7%64.8%5.2%6.6%7.9M929.8M-14.8M0.673.21225,207150,7297,477,0384,966,352
2011-09-02$7.25$9.0083.1%22.3%116.4%41.9%81.3%13.6%5.3%2.2M1.24B-13.2M1.434.64287,193411,0737,519,2325,000,108
2011-09-06$6.99$9.0084.7%24.7%103.2%42.9%87.1%22.4%-4.8%226.9K1.26B-12.6M1.012.45199,922202,3067,461,1955,041,952
2011-09-07$7.48$9.0079.5%23.2%101.8%39.5%76.9%25.3%-5.5%3.7M1.10B-13.8M0.672.02254,924171,9817,508,8935,043,807
2011-09-08$7.20$9.0074.1%22.7%93.6%36.1%78.6%20.1%-4.4%1.3M1.17B-13.2M0.992.24157,329155,2237,576,2645,083,816
2011-09-09$6.98$9.0079.8%23.9%91.0%39.8%86.2%26.3%-5.4%-5.7M1.29B-12.5M1.162.62289,183334,7267,602,6155,120,702
2011-09-12$7.05$9.0075.9%24.2%91.1%37.2%82.5%27.2%-4.1%-605.2K1.27B-12.5M0.772.99247,382191,1197,587,0425,089,943
2011-09-13$7.00$9.0061.4%22.0%86.4%27.9%74.2%20.6%-1.6%-1.4M1.30B-12.1M0.942.29174,240164,5587,650,7895,108,495
2011-09-14$7.05$9.0047.3%20.4%85.0%18.8%73.3%19.5%-0.5%-2.4M1.29B-12.0M0.952.29201,990191,9737,670,9195,100,994
2011-09-15$7.33$9.0068.5%19.6%86.2%32.4%68.0%19.8%-2.9%359.2K1.20B-12.3M0.732.50292,260212,5377,722,8165,120,745
2011-09-16$7.23$8.0062.4%17.9%83.3%28.5%63.1%18.8%0.2%1.7M1.22B-12.1M1.033.23181,279186,8327,810,0945,177,592
2011-09-19$6.99$8.0065.0%18.6%84.2%30.2%69.4%16.6%-0.7%1.1M1.18B-11.4M0.802.53164,441132,0386,800,0944,389,923
2011-09-20$6.90$8.0063.2%18.1%78.6%29.1%65.0%14.4%-0.3%819.3K1.23B-10.9M0.651.96134,68487,1456,834,3954,424,818
2011-09-21$6.38$8.0082.6%23.7%83.6%41.6%78.8%17.1%-1.4%-166.9K1.27B-10.0M1.173.20336,769395,5546,869,7094,446,927
2011-09-22$6.06$8.0086.7%24.9%76.0%44.2%85.9%19.8%-0.1%-2.6M1.36B-9.1M0.542.11615,918329,7706,952,0084,612,805
2011-09-23$6.31$8.0087.6%25.1%69.3%44.8%83.0%20.5%-2.9%-457.3K1.27B-10.2M0.631.84306,349193,6487,018,2554,661,117
2011-09-26$6.60$8.0070.9%20.3%71.5%34.0%75.1%19.0%9.4%887.7K1.27B-10.4M0.482.83198,60195,5486,909,9284,664,949
2011-09-27$6.48$8.0082.7%23.7%63.9%41.6%77.7%20.9%0.5%-21.2K1.26B-10.2M0.942.94181,421170,0697,017,6404,686,118
2011-09-28$6.16$8.0082.6%23.7%64.9%41.5%80.3%17.8%2.3%-1.0M1.31B-9.7M1.022.14113,572115,6077,072,3044,719,634
2011-09-29$6.35$8.0083.0%23.8%66.4%41.8%82.1%22.2%0.8%-487.5K1.30B-10.1M1.212.2188,795107,1867,108,5654,759,110
2011-09-30$6.12$8.0085.5%24.3%66.6%43.4%85.2%25.7%2.0%-575.2K1.32B-9.3M0.952.75129,896123,1077,140,7884,751,083