BAC Options History — February 2013

In February 2013, BAC traded between $11.03 and $12.25. ATM implied volatility averaged 29.7%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 1.1% (HV 20d: 30.8%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2013-02-12: Highest Volume — 651,803 contracts
  • 2013-02-25: Largest IV spike — 15.9% change
  • 2013-02-25: Highest IV Rank — 29.3%
  • 2013-02-25: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.71$11.03$12.25$11.71$11.23
Max Pain$11.53$11.00$12.00$11.00$11.50
ATM IV29.7%26.8%36.8%27.3%32.6%
Expected Move8.5%7.6%10.5%7.8%9.4%
HV 20d30.8%24.8%35.6%32.8%32.7%
HV 60d31.9%30.3%34.9%34.7%32.7%
IV Rank13.5%7.0%29.3%8.2%19.9%
IV Percentile15.8%2.0%54.4%2.4%32.9%
Term Structure0.9%-1.2%2.6%1.6%-1.2%
VWIV30.1%27.1%36.5%27.8%32.7%
Skew 25d1.8%-0.2%3.5%1.3%3.0%
Skew 10d3.5%-0.2%8.8%3.1%5.2%
Call IV 25d29.7%27.2%35.9%27.3%31.0%
Put IV 25d31.4%27.9%37.7%28.6%34.0%
Bid-Ask Spread %3.051.655.803.162.72
Gamma HHI0.300.160.440.360.19
Net GEX30.5M4.1M54.3M34.1M6.8M
Net DEX-1.12B-1.81B-337.5M-1.33B-471.1M
Net VEX-11.8M-12.4M-11.4M-11.6M-12.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.341.280.341.28
Total Volume381,049.316238,077651,803399,214369,730
Total OI6,222,530.2115,739,0066,701,3316,161,0436,279,070

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$11.71$11.0027.3%7.8%32.8%8.2%27.8%1.3%1.6%34.1M-1.33B-11.6M0.343.16297,275101,9393,374,0702,786,973
2013-02-04$11.48$11.0028.5%8.2%33.1%10.7%29.3%-0.2%2.6%30.3M-1.11B-11.4M0.712.66146,040103,1763,383,0022,760,559
2013-02-05$11.88$11.0026.9%7.7%35.6%7.1%27.2%0.5%2.6%43.9M-1.46B-11.6M0.462.69265,105121,8253,397,4502,788,279
2013-02-06$11.93$11.5027.8%8.0%35.5%9.2%28.4%1.6%2.0%45.0M-1.49B-11.5M0.672.48194,074129,2813,408,1322,827,040
2013-02-07$11.84$0.0028.5%8.1%31.1%10.7%28.7%0.9%1.1%41.5M-1.35B-11.6M0.593.15205,875120,6683,414,5582,894,209
2013-02-08$11.76$11.5027.5%7.8%29.3%8.6%27.2%1.2%1.6%37.8M-1.30B-11.5M0.453.64164,64373,4343,451,2232,916,605
2013-02-11$11.86$12.0027.8%8.1%29.0%9.2%28.6%1.3%1.6%45.9M-1.37B-11.6M0.622.24176,736109,5753,445,1662,910,205
2013-02-12$12.25$12.0029.0%8.3%30.5%11.8%29.8%3.5%1.0%49.6M-1.81B-12.0M0.352.51483,006168,7973,498,7262,978,990
2013-02-13$12.17$12.0028.6%8.2%30.7%11.1%28.9%2.4%1.1%54.3M-1.70B-11.7M0.462.60294,401134,4323,546,4083,037,881
2013-02-14$12.13$12.0027.8%8.0%30.1%9.2%28.1%2.4%1.2%53.9M-1.65B-11.8M0.382.78210,16879,7573,563,4073,056,885
2013-02-15$12.03$12.0026.8%7.6%25.3%7.0%27.1%2.2%1.3%52.0M-1.51B-11.7M0.461.65252,169117,1493,616,9523,084,379
2013-02-19$12.19$11.5028.0%8.0%24.8%9.6%28.1%1.9%0.9%34.8M-1.35B-11.8M0.683.11209,395141,4353,157,6722,581,334
2013-02-20$11.80$11.5030.6%8.8%27.5%15.5%31.3%1.9%-0.2%19.2M-967.5M-11.9M0.823.13206,056167,9753,185,4282,641,241
2013-02-21$11.42$12.0032.1%9.2%30.0%18.7%32.6%1.2%-0.1%4.1M-591.4M-11.7M0.883.30331,500292,4843,226,3802,681,393
2013-02-22$11.44$11.5031.8%9.1%29.8%18.0%32.4%0.9%-0.2%9.1M-543.3M-12.0M0.673.62249,835168,0203,283,8982,762,123
2013-02-25$11.03$11.5036.8%10.5%32.3%29.3%36.5%1.8%-1.2%4.1M-337.5M-11.9M0.614.11290,690177,3763,228,6742,737,266
2013-02-26$11.13$11.0034.7%9.9%32.3%24.6%34.5%2.6%-0.2%4.3M-400.0M-12.2M0.752.61232,606174,3743,274,1862,818,964
2013-02-27$11.30$11.0031.6%9.1%32.8%17.7%32.5%3.0%1.8%8.9M-550.3M-12.4M0.735.80160,873118,0633,350,4922,878,854
2013-02-28$11.23$11.5032.6%9.4%32.7%19.9%32.7%3.0%-1.2%6.8M-471.1M-12.4M1.282.72162,029207,7013,385,1982,893,872