BAC Options History — June 2013

In June 2013, BAC traded between $12.30 and $13.55. ATM implied volatility averaged 28.0%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.0% (HV 20d: 21.0%). Max pain ranged from $12.50 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2013-06-21: Highest Volume — 571,498 contracts
  • 2013-06-20: Largest IV spike — 15.3% change
  • 2013-06-24: Highest IV Rank — 22.7%
  • 2013-06-24: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.06$12.30$13.55$13.55$12.86
Max Pain$12.97$12.50$14.00$14.00$13.00
ATM IV28.0%24.9%32.4%27.5%27.6%
Expected Move8.0%7.1%9.2%7.8%7.9%
HV 20d21.0%18.1%25.7%24.3%24.7%
HV 60d25.1%24.2%26.4%24.9%26.0%
IV Rank11.6%3.6%22.7%10.4%10.4%
IV Percentile24.7%6.3%61.9%16.7%21.0%
Term Structure0.8%-1.7%3.3%1.5%-0.4%
VWIV28.2%25.2%32.1%27.7%28.2%
Skew 25d2.7%1.7%4.5%2.1%1.7%
Skew 10d5.5%2.6%8.4%5.7%2.9%
Call IV 25d27.3%24.5%31.5%27.4%28.0%
Put IV 25d30.1%27.3%33.9%29.5%29.7%
Bid-Ask Spread %3.921.727.403.675.06
Gamma HHI0.190.140.220.220.16
Net GEX29.9M10.4M40.9M40.8M26.3M
Net DEX-1.44B-2.01B-669.1M-2.01B-1.21B
Net VEX-16.7M-17.3M-16.1M-16.1M-17.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.411.230.600.66
Total Volume311,802.8131,920571,498529,739248,849
Total OI7,230,681.86,764,0547,562,3596,764,0547,515,919

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$13.55$14.0027.5%7.8%24.3%10.4%27.7%2.1%1.5%40.8M-2.01B-16.1M0.603.67330,896198,8433,807,2172,956,837
2013-06-04$13.36$13.5027.9%8.0%18.2%11.2%27.7%2.6%2.7%38.3M-1.83B-16.5M0.772.86145,243112,3863,924,7743,052,455
2013-06-05$13.09$13.5029.7%8.5%19.8%15.9%29.7%2.7%0.6%28.5M-1.49B-16.6M0.604.25207,274124,6343,920,7273,094,168
2013-06-06$13.20$13.0028.7%8.2%19.8%13.3%28.8%2.6%1.0%35.1M-1.65B-16.5M0.453.30262,421117,2773,963,3413,094,098
2013-06-07$13.38$13.0025.4%7.3%20.0%4.8%26.0%2.3%3.3%38.3M-1.80B-16.9M0.543.67191,574103,9154,022,6603,147,317
2013-06-10$13.30$13.0024.9%7.1%20.0%3.6%25.2%2.8%3.1%39.4M-1.75B-16.3M0.674.31131,92488,3203,901,2803,117,396
2013-06-11$13.12$13.0027.3%7.8%20.6%9.8%27.6%2.3%1.8%33.2M-1.53B-16.6M1.145.40137,478156,7173,949,2263,158,059
2013-06-12$13.06$13.0027.3%7.8%18.1%9.8%27.5%2.7%1.8%29.1M-1.44B-16.6M0.844.46127,623107,2203,991,7753,254,032
2013-06-13$13.21$0.0027.2%7.7%18.4%9.5%26.0%3.1%1.7%32.9M-1.62B-16.9M0.922.75106,12498,0954,030,8513,314,955
2013-06-14$13.07$12.5027.4%7.6%18.6%9.9%27.4%2.9%2.3%16.9M-1.45B-16.8M0.877.40115,082100,4714,045,9383,350,092
2013-06-17$13.21$13.0027.3%8.1%19.0%9.9%29.0%3.8%-0.9%32.5M-1.59B-16.6M1.232.45112,155137,7323,963,7023,300,229
2013-06-18$13.27$13.0027.0%7.9%18.9%8.9%27.7%4.5%-0.4%37.1M-1.65B-16.4M0.621.7281,30850,6123,999,8153,357,518
2013-06-19$13.19$13.0026.4%7.6%18.9%7.4%26.4%3.1%-0.4%34.1M-1.56B-16.8M0.412.40192,74979,1704,013,0443,360,907
2013-06-20$12.89$13.0030.4%8.7%20.3%17.8%30.8%4.1%-0.5%21.5M-1.16B-16.6M1.074.56256,403274,3044,018,2763,373,112
2013-06-21$12.69$13.0029.9%8.5%20.8%16.3%30.6%2.4%0.8%19.1M-934.8M-16.8M0.772.06323,053248,4454,108,2233,454,136
2013-06-24$12.30$12.5032.4%9.2%23.2%22.7%32.1%2.4%-1.0%10.4M-669.1M-16.6M0.834.07258,532214,4463,913,7033,199,019
2013-06-25$12.67$12.5030.2%8.7%25.7%17.2%30.0%2.4%-1.7%19.3M-1.01B-16.8M0.465.31178,94981,5643,979,4893,268,895
2013-06-26$12.76$12.5028.1%8.1%25.6%11.9%28.4%2.1%-0.7%23.4M-1.10B-17.1M0.605.01112,85567,6814,024,7743,300,647
2013-06-27$13.01$12.5027.6%7.9%24.7%10.4%27.8%2.1%0.4%40.9M-1.43B-16.9M0.563.77226,022127,7104,055,4503,309,580
2013-06-28$12.86$13.0027.6%7.9%24.7%10.4%28.2%1.7%-0.4%26.3M-1.21B-17.3M0.665.06149,94998,9004,136,9933,378,926