BAC Options History — May 2012

In May 2012, BAC traded between $6.83 and $8.31. ATM implied volatility averaged 46.5%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 12.4% (HV 20d: 34.1%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2012-05-18: Highest Volume — 539,519 contracts
  • 2012-05-30: Largest IV spike — 32.2% change
  • 2012-05-30: Highest IV Rank — 23.3%
  • 2012-05-17: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.45$6.83$8.31$8.31$7.35
Max Pain$8.32$8.00$9.00$8.00$8.00
ATM IV46.5%34.9%59.9%44.6%50.2%
Expected Move13.0%10.0%15.1%10.4%14.1%
HV 20d34.1%26.4%42.9%41.9%35.6%
HV 60d41.8%41.0%42.6%41.8%42.4%
IV Rank15.9%10.8%23.3%17.0%16.7%
IV Percentile44.1%19.4%64.7%41.3%52.8%
Term Structure1.8%0.0%5.7%2.1%1.9%
VWIV45.9%34.9%54.0%36.7%47.5%
Skew 25d5.9%1.6%13.7%1.6%7.2%
Skew 10d10.8%4.6%24.2%4.6%10.0%
Call IV 25d45.2%37.3%52.8%37.3%44.4%
Put IV 25d51.0%38.9%61.8%38.9%51.7%
Bid-Ask Spread %2.111.502.912.032.22
Gamma HHI0.180.150.400.190.15
Net GEX2.7M-15.3M7.9M7.9M6.4M
Net DEX316.1M-82.7M639.1M-82.7M238.0M
Net VEX-11.3M-12.1M-9.6M-12.1M-11.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.211.380.350.37
Total Volume320,503.273139,197539,519232,796245,060
Total OI10,008,405.0458,977,96610,658,08710,008,8989,557,410

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$8.31$8.0044.6%10.4%41.9%17.0%36.7%1.6%2.1%7.9M-82.7M-12.1M0.352.03171,86360,9335,885,0154,123,883
2012-05-02$8.16$8.0041.9%10.0%41.8%15.3%34.9%1.9%2.3%5.9M-31.4M-12.0M0.421.50159,45067,0525,936,7764,130,899
2012-05-03$8.00$8.0034.9%10.3%41.2%10.8%36.1%4.3%1.4%3.1M114.1M-11.9M0.641.83188,172119,8565,969,6364,151,667
2012-05-04$7.74$9.0041.6%11.1%42.0%12.5%40.1%3.3%0.7%2.0M279.9M-11.5M0.492.11218,833107,8326,036,2684,194,597
2012-05-07$7.96$9.0043.2%11.3%42.9%13.6%40.5%5.9%1.1%7.8M72.4M-12.1M0.452.91180,70681,7386,072,6294,163,629
2012-05-08$7.79$9.0047.6%11.9%40.8%16.5%43.9%3.6%0.3%5.0M277.6M-11.2M0.732.31185,322135,5386,112,6774,178,011
2012-05-09$7.73$9.0040.3%12.1%37.8%11.7%43.2%3.1%0.0%6.6M222.1M-11.8M0.662.21195,851128,5566,150,8314,178,507
2012-05-10$7.70$9.0043.4%12.4%34.6%13.7%44.1%2.2%0.7%4.9M243.8M-11.8M0.432.17340,932145,3826,219,3254,214,934
2012-05-11$7.55$9.0044.5%12.8%30.3%14.5%46.7%1.7%0.3%4.1M301.5M-11.4M0.712.51253,131179,2086,358,9904,188,222
2012-05-14$7.35$9.0047.7%13.7%30.2%16.6%47.9%4.5%0.8%6.8K465.6M-11.2M0.612.55147,15889,3476,278,6474,242,731
2012-05-15$7.30$8.0048.9%14.0%28.9%17.4%48.6%6.3%0.4%-367.4K476.0M-11.1M0.642.44145,67092,8216,305,5784,236,496
2012-05-16$7.11$8.0050.7%14.5%29.2%18.6%51.4%4.3%0.3%-4.1M570.8M-10.8M0.452.04308,019139,3906,331,2624,242,592
2012-05-17$6.98$8.0052.5%15.1%29.2%19.8%54.0%6.8%0.9%-7.0M639.1M-10.6M1.022.39225,550230,1136,340,1944,249,245
2012-05-18$7.02$8.0050.8%14.6%26.4%18.6%52.2%13.7%3.5%-15.3M604.5M-10.8M1.082.19259,134280,3856,392,1204,265,967
2012-05-21$6.83$8.0048.6%13.9%26.8%17.2%51.0%10.9%1.7%-7.2K592.0M-9.6M0.522.05270,669140,2545,485,4793,492,487
2012-05-22$6.98$8.0047.2%13.5%28.7%15.9%49.5%7.5%3.1%1.9M436.3M-10.8M0.211.63420,44090,3185,578,6823,545,153
2012-05-23$7.17$8.0047.6%13.6%30.9%16.1%47.8%9.6%3.8%5.7M338.9M-11.2M0.921.95138,664127,6215,857,1373,565,716
2012-05-24$7.14$8.0048.9%14.0%30.8%17.0%49.6%10.4%4.9%6.2M305.3M-11.5M0.891.54105,91194,2095,884,2823,583,226
2012-05-25$7.15$8.0043.3%13.5%30.9%13.3%48.3%7.0%5.7%5.0M315.2M-11.3M0.582.1488,08651,1115,911,2893,598,940
2012-05-29$7.44$8.0045.3%13.9%34.8%14.6%45.6%9.5%3.1%7.3M270.2M-11.1M0.661.61141,26693,3955,893,9633,569,891
2012-05-30$7.20$8.0059.9%14.3%34.5%23.3%50.4%4.1%1.5%5.6M305.2M-11.3M1.382.0986,542119,5845,922,2093,587,719
2012-05-31$7.35$8.0050.2%14.1%35.6%16.7%47.5%7.2%1.9%6.4M238.0M-11.7M0.372.22178,50566,5555,925,4253,631,985