BAC Options History — September 2012

In September 2012, BAC traded between $7.95 and $9.55. ATM implied volatility averaged 35.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.2% (HV 20d: 34.0%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.39.

Notable Days

  • 2012-09-14: Highest Volume — 1,129,809 contracts
  • 2012-09-10: Largest IV spike — 19.5% change
  • 2012-09-11: Highest IV Rank — 17.7%
  • 2012-09-13: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.92$7.95$9.55$8.00$8.83
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV35.2%28.9%42.5%28.9%30.7%
Expected Move10.0%8.5%10.7%9.1%9.7%
HV 20d34.0%13.2%40.7%13.2%40.7%
HV 60d34.9%32.9%36.7%33.9%32.9%
IV Rank10.8%4.9%17.7%4.9%6.6%
IV Percentile14.9%1.6%30.6%1.6%5.2%
Term Structure0.7%-1.2%5.8%5.5%1.0%
VWIV35.5%30.0%38.6%31.7%35.1%
Skew 25d2.2%0.3%5.6%1.6%1.8%
Skew 10d5.0%-4.5%41.4%2.6%41.4%
Call IV 25d35.7%32.0%38.1%35.2%35.9%
Put IV 25d37.8%32.3%40.1%36.8%37.7%
Bid-Ask Spread %2.181.256.412.001.38
Gamma HHI0.310.200.360.200.36
Net GEX33.2M17.6M48.1M18.3M28.7M
Net DEX-841.5M-1.66B-51.8M-119.3M-547.4M
Net VEX-10.6M-11.6M-9.2M-9.5M-10.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.190.610.440.44
Total Volume441,470.526102,6441,129,809125,929275,096
Total OI8,948,987.3168,578,4099,298,2948,578,4098,950,284

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$8.00$8.0028.9%9.1%13.2%4.9%31.7%1.6%5.5%18.3M-119.3M-9.5M0.442.0087,64338,2865,288,6543,289,755
2012-09-05$7.95$8.0030.8%8.5%13.5%6.7%30.0%4.0%5.8%17.6M-51.8M-9.2M0.382.2674,64328,0015,287,1523,300,498
2012-09-06$8.35$8.0032.7%9.3%21.5%8.5%32.1%0.3%4.4%23.4M-337.5M-9.5M0.311.83460,995143,3145,291,5593,298,378
2012-09-07$8.80$8.0034.2%9.8%27.5%9.9%35.1%3.4%0.2%34.3M-798.5M-10.6M0.241.98663,605157,5815,526,3703,341,350
2012-09-10$8.58$8.0040.9%10.2%29.7%16.2%36.1%2.1%-1.1%31.5M-562.7M-10.1M0.524.18259,768135,8445,514,1853,354,820
2012-09-11$9.03$8.0042.5%10.2%33.7%17.7%37.0%5.6%-0.7%39.8M-989.6M-10.7M0.342.60395,854133,0415,535,0783,387,983
2012-09-12$8.97$8.0034.4%10.4%34.1%10.1%37.4%2.9%-0.8%41.2M-1.01B-10.9M0.466.41424,149195,8455,650,1923,417,154
2012-09-13$9.40$8.0037.3%10.7%36.9%12.9%37.2%2.6%-1.0%45.3M-1.43B-11.3M0.291.89714,549209,0895,697,7493,481,747
2012-09-14$9.55$8.0037.3%10.7%37.0%12.8%38.6%2.0%-1.2%48.1M-1.66B-11.6M0.421.86796,025333,7845,728,8883,538,376
2012-09-17$9.30$8.0036.9%10.6%39.1%12.5%36.7%2.6%0.4%39.6M-1.24B-11.4M0.271.97419,896111,8895,686,3553,510,265
2012-09-18$9.23$8.0036.5%10.5%39.2%12.1%36.9%2.4%0.2%37.0M-1.11B-11.1M0.591.92187,325110,0485,664,3473,546,877
2012-09-19$9.29$8.0035.2%10.1%39.2%10.8%35.4%1.0%-0.2%39.0M-1.18B-11.0M0.321.86215,90868,4055,686,9163,565,990
2012-09-20$9.19$8.0035.2%10.1%39.7%10.9%35.8%2.1%-0.4%36.4M-1.12B-11.2M0.462.20144,82566,5095,719,1413,579,153
2012-09-21$9.11$8.0033.1%9.5%39.7%8.9%34.7%2.0%0.9%33.6M-1.03B-10.8M0.331.47232,65076,6005,720,5923,570,431
2012-09-24$9.10$8.0035.0%10.0%39.8%10.6%35.8%0.8%0.1%32.4M-856.3M-10.8M0.471.77147,19369,2245,279,7953,327,606
2012-09-25$8.93$8.0034.3%9.8%40.3%10.0%35.4%0.6%-0.2%28.6M-681.3M-10.5M0.611.38197,044119,8295,311,0223,358,142
2012-09-26$8.82$8.0036.5%10.5%40.2%12.1%37.0%1.4%-0.1%25.8M-547.1M-10.3M0.431.28231,218100,4645,362,6253,408,572
2012-09-27$8.97$8.0035.5%10.2%40.4%11.1%36.9%1.7%-0.1%31.0M-719.8M-10.7M0.191.25303,97257,8295,417,8593,434,899
2012-09-28$8.83$8.0030.7%9.7%40.7%6.6%35.1%1.8%1.0%28.7M-547.4M-10.2M0.441.38190,41184,6855,501,2823,449,002