BAC Options History — March 2013

In March 2013, BAC traded between $11.34 and $12.78. ATM implied volatility averaged 28.9%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 0.3% (HV 20d: 29.2%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2013-03-15: Highest Volume — 956,797 contracts
  • 2013-03-18: Largest IV spike — 9.0% change
  • 2013-03-01: Highest IV Rank — 19.4%
  • 2013-03-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.19$11.34$12.78$11.34$12.18
Max Pain$11.84$11.00$12.50$11.50$12.00
ATM IV28.9%25.7%32.4%32.4%28.4%
Expected Move8.3%7.2%9.3%9.3%8.1%
HV 20d29.2%23.6%32.9%32.9%23.9%
HV 60d31.3%29.9%32.6%32.6%29.9%
IV Rank11.8%4.4%19.4%19.4%10.5%
IV Percentile13.5%0.8%31.3%31.3%10.7%
Term Structure1.0%-1.0%3.9%-0.3%-0.0%
VWIV29.4%25.1%33.6%33.6%28.7%
Skew 25d2.0%0.2%3.6%3.4%0.4%
Skew 10d4.0%-0.5%6.5%6.0%0.5%
Call IV 25d28.8%24.3%31.6%31.6%29.0%
Put IV 25d30.8%26.1%35.0%35.0%29.4%
Bid-Ask Spread %2.741.524.192.613.13
Gamma HHI0.240.190.300.190.20
Net GEX33.1M8.2M60.9M8.2M23.6M
Net DEX-1.36B-2.00B-575.0M-575.0M-1.16B
Net VEX-13.8M-15.1M-12.8M-13.0M-14.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.271.020.720.47
Total Volume429,167229,926956,797355,266244,196
Total OI6,640,220.36,214,4246,981,6426,438,0746,911,976

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$11.34$11.5032.4%9.3%32.9%19.4%33.6%3.4%-0.3%8.2M-575.0M-13.0M0.722.61206,391148,8753,417,5313,020,543
2013-03-04$11.41$11.5031.2%8.9%30.5%16.8%31.1%2.9%3.9%9.8M-646.5M-13.0M0.602.90143,43486,4923,367,7082,920,306
2013-03-05$11.55$11.5030.0%8.6%30.0%14.2%29.7%2.8%0.8%16.0M-786.1M-12.8M0.582.58214,927124,6983,401,5162,935,106
2013-03-06$11.92$11.0029.5%8.5%29.6%13.0%30.4%3.4%1.3%31.1M-1.21B-13.2M0.413.50307,906127,1053,475,0582,976,788
2013-03-07$12.26$11.5029.4%8.4%31.2%12.8%30.5%3.6%1.8%42.0M-1.59B-13.4M0.532.72620,678326,9503,512,3813,002,694
2013-03-08$12.07$11.5029.0%8.3%31.7%12.0%28.9%2.1%2.4%41.3M-1.40B-13.6M0.422.52395,969166,8643,735,0103,116,871
2013-03-11$12.15$11.5027.6%7.9%31.6%8.7%27.6%1.1%2.0%45.3M-1.39B-13.3M0.573.22240,247137,2793,668,9943,050,670
2013-03-12$12.01$12.0027.7%7.9%31.8%8.9%28.1%1.0%2.1%41.0M-1.23B-13.4M0.523.52246,002128,5643,730,9273,100,216
2013-03-13$12.06$12.0027.5%7.9%29.6%8.5%28.2%1.3%1.7%44.7M-1.27B-13.5M0.792.84133,658105,1273,773,7703,138,779
2013-03-14$12.11$0.0028.0%8.0%29.6%9.7%28.0%0.9%1.0%48.4M-1.43B-13.5M0.533.06173,61391,8033,790,9973,140,685
2013-03-15$12.57$12.0025.7%7.2%32.4%4.4%25.1%1.8%1.7%60.9M-2.00B-13.4M0.272.81753,203203,5943,829,5893,152,053
2013-03-18$12.56$12.0028.0%8.2%32.2%9.6%29.8%2.6%-1.0%41.4M-1.66B-13.8M0.561.52320,364180,8423,395,4312,818,993
2013-03-19$12.71$12.0030.0%8.6%32.1%14.1%31.0%2.8%-0.5%40.9M-1.77B-14.5M0.581.98409,111238,6163,511,3342,894,921
2013-03-20$12.78$12.0028.5%8.2%29.4%10.7%29.2%2.6%0.4%42.3M-1.89B-14.6M0.421.96232,19797,0623,562,5142,981,407
2013-03-21$12.57$12.0029.6%8.5%27.2%13.2%30.5%2.0%0.6%31.3M-1.64B-15.1M0.751.57249,568187,4133,599,5393,010,833
2013-03-22$12.56$12.0028.7%8.2%27.3%11.2%29.5%2.3%-0.1%25.3M-1.63B-14.6M0.582.12202,768118,3483,635,6753,071,212
2013-03-25$12.40$12.5030.0%8.4%23.6%14.1%29.8%1.7%0.6%27.3M-1.44B-14.4M1.024.19211,815216,1793,569,1162,987,937
2013-03-26$12.28$12.5028.3%8.1%24.2%10.3%28.6%1.4%0.9%20.3M-1.27B-14.4M0.503.17219,359109,2383,644,7333,101,622
2013-03-27$12.23$12.0029.5%8.5%24.1%12.9%30.0%0.2%0.3%20.3M-1.24B-14.7M0.792.89146,529116,3563,707,1693,141,802
2013-03-28$12.18$12.0028.4%8.1%23.9%10.5%28.7%0.4%-0.0%23.6M-1.16B-14.5M0.473.13165,64878,5483,747,7733,164,203