BAC Options History — April 2014

In April 2014, BAC traded between $14.95 and $17.34. ATM implied volatility averaged 23.9%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.8% (HV 20d: 24.7%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2014-04-28: Highest Volume — 1,025,017 contracts
  • 2014-04-28: Largest IV spike — 13.0% change
  • 2014-04-11: Highest IV Rank — 71.9%
  • 2014-04-11: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.23$14.95$17.34$17.34$15.14
Max Pain$15.60$15.00$17.00$15.00$17.00
ATM IV23.9%20.2%28.3%23.2%21.9%
Expected Move7.6%6.8%8.4%7.8%7.1%
HV 20d24.7%20.0%33.4%22.6%32.9%
HV 60d22.7%21.3%26.0%21.5%25.6%
IV Rank43.3%19.8%71.9%38.8%30.9%
IV Percentile49.4%13.1%94.8%36.9%23.8%
Term Structure-0.3%-1.3%1.0%-0.1%0.4%
VWIV26.4%24.0%28.8%26.5%24.9%
Skew 25d0.9%-0.7%2.5%0.0%1.3%
Skew 10d2.0%-1.8%5.5%0.3%2.9%
Call IV 25d24.0%19.9%29.3%23.7%21.7%
Put IV 25d24.9%21.6%28.9%23.7%23.0%
Bid-Ask Spread %4.773.158.323.796.05
Gamma HHI0.210.160.260.210.16
Net GEX46.0M16.1M76.9M76.9M24.5M
Net DEX-1.14B-2.16B-86.7M-2.16B-239.7M
Net VEX-19.6M-20.4M-17.8M-19.8M-19.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.220.750.230.75
Total Volume323,360.429123,3601,025,017151,890267,018
Total OI6,580,558.5716,197,8097,100,5286,197,8096,946,394

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$17.34$15.0023.2%7.8%22.6%38.8%26.5%0.0%-0.1%76.9M-2.16B-19.8M0.233.79123,41328,4773,727,3532,470,456
2014-04-02$17.23$15.0024.0%7.7%20.0%44.1%26.4%-0.1%-0.6%73.0M-2.08B-19.9M0.224.09205,51244,5473,750,5262,476,360
2014-04-03$17.15$15.0023.9%7.8%20.0%43.7%26.7%0.4%-0.4%74.7M-2.00B-20.0M0.453.59118,55952,8693,865,6092,491,458
2014-04-04$16.72$15.0024.1%7.8%21.8%44.5%27.1%-0.7%1.0%53.0M-1.47B-19.6M0.443.44252,198111,8513,920,7362,513,654
2014-04-07$16.38$15.0026.1%7.9%22.5%57.4%28.4%-0.2%-0.6%40.2M-1.17B-19.4M0.473.64306,529144,5123,858,1042,507,277
2014-04-08$16.44$15.0025.1%7.8%22.4%51.3%26.6%-0.3%-0.2%43.9M-1.21B-19.6M0.223.15219,78847,4273,982,8852,578,227
2014-04-09$16.62$15.0025.5%7.9%22.9%53.6%27.3%-0.1%-0.6%53.6M-1.43B-20.2M0.306.40188,82056,3244,042,2802,600,315
2014-04-10$16.12$15.0028.0%8.1%25.0%70.0%27.7%-0.1%-1.3%38.9M-970.4M-20.1M0.343.76221,14974,2404,108,4572,617,848
2014-04-11$15.77$15.0028.3%8.4%25.0%71.9%28.8%-0.4%-0.6%31.1M-621.2M-19.9M0.424.70303,708127,8824,187,2302,639,698
2014-04-14$16.00$15.0026.9%8.3%24.6%62.7%28.2%0.8%0.4%35.5M-870.3M-19.9M0.514.83182,65993,8954,111,2262,627,103
2014-04-15$16.39$15.0026.4%8.0%26.4%59.5%27.9%1.9%0.1%51.4M-1.30B-20.0M0.316.43282,67587,0774,178,8172,661,684
2014-04-16$16.13$15.0023.7%8.0%26.0%42.3%27.3%1.6%0.3%44.9M-975.5M-19.6M0.433.65382,105163,7974,234,3722,664,041
2014-04-17$16.15$15.0022.0%7.9%23.4%31.1%27.5%1.8%0.5%41.3M-1.14B-20.4M0.443.62197,16387,4844,370,3982,730,130
2014-04-21$16.09$0.0021.8%7.0%22.7%30.2%24.9%1.8%-1.0%40.9M-1.03B-19.4M0.558.3287,03947,8573,852,8342,496,890
2014-04-22$16.29$15.0020.2%6.9%23.3%19.8%24.1%2.3%-0.9%48.8M-1.24B-19.8M0.425.30128,77553,7823,888,2762,516,604
2014-04-23$16.37$17.0020.3%6.9%23.4%20.2%24.0%1.9%-0.8%57.9M-1.32B-19.7M0.313.9394,49228,8683,922,2312,524,699
2014-04-24$16.34$17.0020.5%6.8%23.4%21.9%24.2%1.1%-0.9%59.7M-1.31B-19.5M0.477.96108,21351,2963,951,3842,525,268
2014-04-25$15.95$17.0021.7%7.3%24.5%29.2%24.5%1.7%-0.5%34.6M-878.8M-19.0M0.675.07177,395119,4343,971,2522,533,681
2014-04-28$14.95$17.0024.5%7.3%32.8%47.3%25.4%2.1%0.1%16.1M-86.7M-17.8M0.624.12634,255390,7623,875,8292,512,453
2014-04-29$15.24$17.0023.3%7.2%33.4%39.6%25.2%2.5%0.1%25.5M-357.3M-19.2M0.664.27298,798197,9254,083,7962,673,895
2014-04-30$15.14$17.0021.9%7.1%32.9%30.9%24.9%1.3%0.4%24.5M-239.7M-19.3M0.756.05152,672114,3464,186,7052,759,689