BAC Options History — November 2013

In November 2013, BAC traded between $13.80 and $15.88. ATM implied volatility averaged 19.1%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.7% (HV 20d: 19.7%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2013-11-25: Highest Volume — 561,728 contracts
  • 2013-11-11: Largest IV spike — 6.6% change
  • 2013-11-25: Highest IV Rank — 16.1%
  • 2013-11-29: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.85$13.80$15.88$14.02$15.82
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV19.1%17.1%21.1%17.2%20.9%
Expected Move8.4%8.1%8.7%8.2%8.7%
HV 20d19.7%15.1%21.1%19.4%19.7%
HV 60d17.8%16.6%18.4%16.8%18.4%
IV Rank7.8%0.0%16.1%0.0%15.3%
IV Percentile5.4%0.0%11.5%0.0%11.5%
Term Structure1.1%-0.2%3.0%0.6%0.1%
VWIV28.8%25.8%31.3%29.7%30.1%
Skew 25d0.8%-0.7%1.7%0.9%1.3%
Skew 10d1.5%-1.1%5.0%0.7%3.6%
Call IV 25d19.4%16.9%21.4%16.9%20.9%
Put IV 25d20.2%17.8%22.3%17.8%22.2%
Bid-Ask Spread %3.852.984.663.804.39
Gamma HHI0.370.240.700.420.24
Net GEX71.2M19.3M177.8M31.4M76.4M
Net DEX-2.83B-3.97B-1.56B-1.78B-3.77B
Net VEX-15.2M-16.8M-14.0M-14.0M-16.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.131.030.490.38
Total Volume314,366.9588,425561,728182,182136,009
Total OI7,745,917.47,197,7568,134,9317,767,3467,860,119

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$14.02$12.0017.2%8.2%19.4%0.0%29.7%0.9%0.6%31.4M-1.78B-14.0M0.493.80122,22559,9574,266,1163,501,230
2013-11-04$14.04$12.0017.4%8.1%18.3%0.5%29.3%1.1%1.6%32.9M-1.82B-14.0M0.733.5075,82955,4374,219,7693,484,577
2013-11-05$13.93$12.0017.6%8.2%18.2%1.3%26.2%1.1%0.4%24.2M-1.70B-14.3M0.324.19153,72849,8744,248,0523,518,812
2013-11-06$13.96$12.0017.1%8.1%17.8%0.0%27.9%0.8%0.7%23.3M-1.74B-14.2M0.633.8554,29234,1334,265,3833,541,996
2013-11-07$13.80$12.0017.5%8.2%15.1%1.5%29.7%0.7%1.0%19.3M-1.56B-14.0M0.493.29111,49354,3874,280,3213,550,948
2013-11-08$14.32$12.0017.8%8.1%20.3%2.7%25.8%0.8%1.5%48.6M-2.23B-14.2M0.194.66365,76369,3204,310,6173,569,281
2013-11-11$14.40$12.0019.0%8.2%20.0%7.5%27.8%-0.0%0.5%57.4M-2.37B-14.3M0.253.74202,92151,1134,309,6333,531,234
2013-11-12$14.32$12.0019.1%8.1%19.9%8.2%28.6%0.8%0.5%55.0M-2.28B-14.1M0.463.95101,09546,2274,384,5633,539,862
2013-11-13$14.64$12.0019.4%8.2%19.9%9.2%28.4%0.7%0.3%81.8M-2.68B-14.8M0.134.44389,54949,3494,417,6393,553,580
2013-11-14$14.80$12.0019.7%8.5%20.2%10.5%28.4%0.6%0.5%112.9M-2.97B-15.7M0.264.09235,38561,5364,566,3213,550,546
2013-11-15$14.92$12.0019.0%8.5%20.3%7.5%29.2%1.7%0.1%177.8M-3.11B-15.7M0.373.40243,57090,6434,569,6483,565,283
2013-11-18$14.92$12.0019.3%8.4%20.1%8.9%28.8%-0.3%2.4%71.0M-2.84B-15.4M0.223.90398,92387,2094,116,4833,081,273
2013-11-19$15.20$12.0020.0%8.5%21.0%11.8%29.1%1.1%2.4%81.0M-3.19B-15.9M0.234.23393,78392,1194,226,5673,119,197
2013-11-20$15.14$12.0019.5%8.5%19.1%9.6%29.2%0.3%3.0%84.0M-3.19B-15.9M0.372.98193,76271,3524,337,1093,147,699
2013-11-21$15.59$12.0019.3%8.5%21.1%8.8%29.0%1.7%0.8%92.0M-3.77B-16.1M0.333.20415,224135,2964,383,2703,183,400
2013-11-22$15.64$12.0019.8%8.5%21.1%10.8%31.3%-0.7%-0.2%87.0M-3.86B-16.0M0.464.22348,913161,1004,396,1673,220,316
2013-11-25$15.81$12.0021.1%8.5%21.1%16.1%28.4%1.0%2.6%90.4M-3.94B-16.4M0.594.00354,031207,6974,394,0773,219,767
2013-11-26$15.88$12.0020.2%8.6%20.7%12.5%29.2%0.6%3.0%89.1M-3.97B-16.5M0.313.78206,13963,9574,431,6623,307,446
2013-11-27$15.83$12.0020.2%8.6%20.9%12.6%29.3%1.7%0.2%88.0M-3.82B-16.5M1.033.43169,661174,3384,432,7013,315,684
2013-11-29$15.82$12.0020.9%8.7%19.7%15.3%30.1%1.3%0.1%76.4M-3.77B-16.8M0.384.3998,67637,3334,454,2263,405,893