BAC Options History — January 2014

In January 2014, BAC traded between $16.10 and $17.15. ATM implied volatility averaged 22.5%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.1% (HV 20d: 22.4%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2014-01-15: Highest Volume — 1,370,980 contracts
  • 2014-01-15: Largest IV drop — 17.8% change
  • 2014-01-13: Highest IV Rank — 44.8%
  • 2014-01-02: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.72$16.10$17.15$16.10$16.75
Max Pain$12.14$12.00$15.00$12.00$12.00
ATM IV22.5%18.4%25.9%24.1%25.1%
Expected Move8.4%7.9%8.6%8.6%8.4%
HV 20d22.4%19.9%25.8%20.3%23.8%
HV 60d20.3%19.5%21.5%19.8%21.5%
IV Rank27.2%6.7%44.8%35.3%40.4%
IV Percentile26.4%3.2%56.3%34.9%51.6%
Term Structure-0.2%-2.0%2.3%-0.1%-0.1%
VWIV29.0%25.4%32.2%30.0%28.7%
Skew 25d0.8%-0.8%2.1%0.8%2.1%
Skew 10d1.7%-0.6%5.1%1.9%2.5%
Call IV 25d22.7%19.0%26.3%23.9%24.3%
Put IV 25d23.4%19.9%26.4%24.7%26.4%
Bid-Ask Spread %5.012.707.403.524.82
Gamma HHI0.340.210.640.310.22
Net GEX77.5M35.3M168.5M100.0M44.3M
Net DEX-3.31B-4.72B-1.61B-3.86B-2.13B
Net VEX-16.5M-18.4M-14.5M-14.5M-18.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.220.700.220.57
Total Volume452,747.286192,0851,370,980620,232419,536
Total OI6,902,113.9055,215,6278,515,4757,510,7065,866,710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$16.10$12.0024.1%8.6%20.3%35.3%30.0%0.8%-0.1%100.0M-3.86B-14.5M0.223.52510,168110,0644,213,3493,297,357
2014-01-03$16.41$12.0022.3%8.5%21.2%26.3%29.8%0.3%0.2%89.7M-4.15B-15.3M0.324.17498,451157,9944,250,5063,341,164
2014-01-06$16.66$12.0023.1%8.6%20.8%30.2%29.4%1.1%-1.4%88.3M-4.28B-15.4M0.516.41311,637158,6854,203,1843,355,216
2014-01-07$16.50$12.0021.7%8.5%21.3%23.1%28.9%0.9%-0.5%86.9M-4.07B-14.7M0.675.42265,245176,8074,213,2263,408,675
2014-01-08$16.58$12.0022.7%8.5%21.3%28.5%29.2%0.3%-0.7%76.0M-4.14B-15.3M0.385.56283,043108,1794,211,4553,460,193
2014-01-09$16.83$12.0024.5%8.6%21.6%37.2%30.1%1.3%-1.2%82.8M-4.45B-15.2M0.496.68337,007166,5294,305,9293,509,621
2014-01-10$16.77$12.0023.8%8.6%19.9%33.7%29.5%0.5%-1.3%76.3M-4.28B-15.6M0.414.04274,921113,7114,357,2033,609,692
2014-01-13$16.43$12.0025.9%8.5%21.8%44.8%29.0%0.1%-2.0%67.3M-3.75B-16.4M0.395.04269,301105,5264,357,7773,579,840
2014-01-14$16.77$12.0024.1%8.2%22.3%35.1%28.7%0.4%-1.4%81.0M-4.19B-15.9M0.355.79296,250102,7504,421,1873,628,765
2014-01-15$17.15$12.0019.8%7.9%23.2%13.4%29.3%-0.8%0.3%121.0M-4.72B-15.6M0.367.241,004,462366,5184,420,5823,661,025
2014-01-16$17.08$12.0019.6%8.1%23.2%12.7%27.5%0.9%-1.0%168.5M-4.40B-16.2M0.704.22264,747186,6154,575,5533,817,381
2014-01-17$17.01$12.0019.0%8.2%21.0%9.3%27.9%0.5%-0.5%125.9M-4.19B-16.8M0.317.40298,85492,3124,625,9503,889,525
2014-01-21$17.01$12.0019.4%8.3%21.1%11.7%28.5%0.6%2.2%54.1M-2.34B-16.6M0.674.06218,114145,1973,051,4022,164,225
2014-01-22$17.15$12.0018.4%8.2%20.5%6.7%27.6%0.9%2.3%58.4M-2.46B-17.0M0.474.72130,72061,3653,137,8592,226,307
2014-01-23$16.86$12.0020.4%8.3%21.9%16.8%25.4%0.9%0.8%53.6M-2.18B-17.1M0.523.86241,570126,1853,177,9082,243,198
2014-01-24$16.45$12.0023.6%8.5%24.1%33.0%26.7%-0.1%-0.0%39.4M-1.76B-17.7M0.706.19224,949157,6303,277,5822,304,076
2014-01-27$16.31$15.0023.7%8.2%24.3%33.3%32.2%1.4%1.0%35.3M-1.61B-17.4M0.604.28280,776169,6273,231,1122,292,718
2014-01-28$16.73$12.0023.1%8.2%25.7%30.4%32.2%1.3%0.1%51.8M-2.07B-18.1M0.313.68225,41270,4793,302,5222,385,233
2014-01-29$16.68$12.0024.6%8.3%25.5%37.7%29.4%1.7%0.1%53.0M-2.03B-18.2M0.575.39178,293102,3693,350,9572,393,198
2014-01-30$16.93$12.0023.4%8.3%25.8%31.8%30.0%1.8%-0.0%74.2M-2.37B-18.4M0.472.70201,49994,1963,392,3232,432,707
2014-01-31$16.75$12.0025.1%8.4%23.8%40.4%28.7%2.1%-0.1%44.3M-2.13B-18.4M0.574.82267,358152,1783,394,6522,472,058