BAC Options History — December 2012

In December 2012, BAC traded between $9.80 and $11.61. ATM implied volatility averaged 33.3%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.3% (HV 20d: 31.1%). Max pain ranged from $8.50 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2012-12-05: Highest Volume — 1,131,212 contracts
  • 2012-12-27: Largest IV spike — 7.9% change
  • 2012-12-28: Highest IV Rank — 39.8%
  • 2012-12-28: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.88$9.80$11.61$9.80$11.61
Max Pain$10.11$8.50$11.00$10.00$8.50
ATM IV33.3%29.3%41.6%29.6%39.7%
Expected Move9.6%8.3%12.0%8.5%11.4%
HV 20d31.1%26.2%41.6%37.5%31.7%
HV 60d32.7%30.9%35.8%35.8%32.8%
IV Rank20.2%10.2%39.8%10.9%35.7%
IV Percentile22.8%4.4%55.2%5.6%50.0%
Term Structure0.6%-1.8%3.5%2.7%-1.8%
VWIV34.0%29.3%42.2%30.6%39.8%
Skew 25d1.4%-1.5%3.2%2.2%1.8%
Skew 10d2.5%-3.3%7.2%5.1%2.0%
Call IV 25d33.7%29.0%42.7%30.2%39.3%
Put IV 25d35.1%30.7%42.7%32.4%41.1%
Bid-Ask Spread %3.181.814.952.594.32
Gamma HHI0.270.150.520.520.17
Net GEX52.0M39.9M62.8M42.7M44.6M
Net DEX-2.08B-2.89B-992.8M-992.8M-2.36B
Net VEX-10.5M-11.6M-9.8M-9.8M-11.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.290.810.510.52
Total Volume483,775.85109,9121,131,212214,496429,290
Total OI9,327,952.68,907,7349,846,5589,070,7929,069,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$9.80$10.0029.6%8.5%37.5%10.9%30.6%2.2%2.7%42.7M-992.8M-9.8M0.512.59141,61772,8795,363,8863,706,906
2012-12-04$9.91$9.5031.1%8.9%37.5%13.6%31.6%2.9%2.8%46.4M-1.15B-10.0M0.473.25209,33898,6715,413,7693,731,567
2012-12-05$10.46$9.5032.6%9.3%41.6%16.2%33.2%1.9%1.8%53.0M-1.82B-10.4M0.303.24872,294258,9185,380,7453,754,284
2012-12-06$10.46$0.0031.8%9.1%30.3%14.8%32.6%2.5%3.5%58.6M-1.71B-10.4M0.492.79393,312193,5395,465,4673,809,820
2012-12-07$10.64$10.0030.0%8.6%30.3%11.5%31.0%0.6%1.3%49.4M-1.95B-10.2M0.292.85400,280115,0815,545,3613,874,976
2012-12-10$10.57$10.0031.2%9.0%30.6%13.8%31.5%1.5%1.2%51.8M-1.83B-10.2M0.632.57147,92293,6755,511,9633,844,585
2012-12-11$10.51$10.0029.3%8.4%30.7%10.2%29.5%1.9%1.7%52.2M-1.77B-10.1M0.472.61252,049119,5995,489,5133,875,305
2012-12-12$10.61$10.0029.7%8.5%30.3%11.0%30.0%1.3%1.9%52.1M-1.83B-10.1M0.373.56282,531104,2515,510,8293,872,404
2012-12-13$10.54$0.0030.6%8.7%26.2%12.6%30.8%1.7%1.3%54.2M-1.85B-10.1M0.432.77157,36167,8005,570,4293,929,869
2012-12-14$10.58$10.5029.5%8.3%26.2%12.5%29.3%1.7%2.5%50.8M-1.90B-10.0M0.413.47154,05063,3485,589,1173,933,414
2012-12-17$11.00$10.0031.6%9.3%28.4%17.7%33.7%3.2%-1.2%57.2M-2.31B-9.8M0.451.81478,799213,1365,516,5863,902,058
2012-12-18$11.36$10.0032.5%9.5%27.4%19.7%33.9%1.4%-0.6%61.4M-2.85B-10.2M0.312.02703,706216,6675,611,9363,967,561
2012-12-19$11.19$10.0034.6%10.0%28.6%24.5%36.0%-1.5%-0.8%62.8M-2.60B-10.4M0.524.17339,040177,8115,680,2144,013,318
2012-12-20$11.52$10.0035.5%10.2%29.5%26.3%35.6%2.0%-0.9%59.0M-2.89B-10.7M0.444.95468,069205,9905,643,3704,041,699
2012-12-21$11.29$10.0035.2%10.1%31.1%25.8%36.7%0.1%-0.1%51.7M-2.60B-10.8M0.573.37329,045187,0665,697,5394,149,019
2012-12-24$11.25$11.0035.4%10.2%31.0%26.0%36.0%-0.1%-1.0%48.0M-2.11B-10.5M0.402.6978,36831,5445,176,7903,730,944
2012-12-26$11.54$11.0036.0%10.3%30.2%27.4%36.8%1.2%-1.1%51.8M-2.48B-10.8M0.813.27301,269243,6225,188,6363,727,580
2012-12-27$11.47$11.0038.8%11.1%30.6%33.8%39.3%1.1%-0.2%53.3M-2.35B-11.3M0.723.27371,856267,8065,250,7813,801,296
2012-12-28$11.36$11.0041.6%12.0%31.3%39.8%42.2%0.0%-1.2%39.9M-2.15B-11.6M0.444.07300,814133,1045,279,8953,935,781
2012-12-31$11.61$8.5039.7%11.4%31.7%35.7%39.8%1.8%-1.8%44.6M-2.36B-11.4M0.524.32282,000147,2905,208,0223,861,818