BAC Options History — September 2014

In September 2014, BAC traded between $16.02 and $17.18. ATM implied volatility averaged 20.4%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.2% (HV 20d: 18.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2014-09-02: Highest Volume — 740,240 contracts
  • 2014-09-25: Largest IV spike — 8.0% change
  • 2014-09-29: Highest IV Rank — 42.1%
  • 2014-09-10: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.67$16.02$17.18$16.27$17.05
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV20.4%17.7%23.0%17.8%22.3%
Expected Move6.5%6.3%6.7%6.4%6.6%
HV 20d18.2%15.6%20.6%17.6%16.4%
HV 60d18.7%18.3%18.9%18.9%18.6%
IV Rank26.6%10.4%42.1%11.0%37.9%
IV Percentile37.2%4.8%66.7%6.0%60.7%
Term Structure0.5%-0.4%2.7%0.4%0.4%
VWIV22.7%21.9%23.6%22.5%23.6%
Skew 25d1.2%0.4%2.3%1.3%2.3%
Skew 10d3.2%1.1%5.1%2.3%4.9%
Call IV 25d20.5%17.4%22.8%17.7%22.2%
Put IV 25d21.6%18.8%24.5%19.0%24.5%
Bid-Ask Spread %5.723.678.094.958.09
Gamma HHI0.250.190.420.200.20
Net GEX101.2M77.8M147.9M90.8M80.8M
Net DEX-1.98B-2.77B-979.7M-1.65B-2.19B
Net VEX-25.1M-26.3M-23.8M-24.3M-25.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.111.140.110.42
Total Volume369,806.524198,902740,240740,240229,996
Total OI8,929,188.9058,559,6829,217,6388,657,6249,124,227

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$16.27$15.0017.8%6.4%17.6%11.0%22.5%1.3%0.4%90.8M-1.65B-24.3M0.114.95667,67772,5635,222,5303,435,094
2014-09-03$16.10$15.0017.7%6.4%18.2%10.4%22.0%1.3%0.3%81.9M-1.12B-23.8M0.413.94204,34984,0635,089,0323,470,650
2014-09-04$16.11$15.0018.5%6.4%17.9%15.6%22.6%1.1%-0.3%81.1M-1.14B-24.5M0.394.36170,03666,7285,160,3213,508,847
2014-09-05$16.02$15.0017.8%6.3%17.9%11.1%21.9%0.5%0.5%77.8M-979.7M-23.8M0.533.80219,355116,9595,197,1923,538,738
2014-09-08$16.35$15.0019.2%6.4%18.9%19.4%22.6%1.4%1.9%90.0M-1.53B-24.6M0.263.67297,66177,9745,131,6473,522,158
2014-09-09$16.14$15.0018.8%6.5%19.8%17.4%22.4%0.7%2.3%85.5M-1.18B-24.2M0.397.25155,24060,5555,208,7303,571,198
2014-09-10$16.36$15.0020.0%6.7%20.1%24.4%23.1%1.2%2.7%97.7M-1.68B-24.7M0.187.71242,20144,3315,261,5983,605,911
2014-09-11$16.57$15.0020.8%6.6%20.4%29.4%23.6%1.0%1.2%122.3M-2.06B-25.7M0.226.05326,15972,3665,369,6123,620,608
2014-09-12$16.79$15.0020.4%6.6%20.6%26.9%23.1%1.1%2.0%108.2M-2.54B-25.6M0.336.62376,608124,9445,417,3583,643,943
2014-09-15$16.74$15.0021.4%6.6%20.4%32.6%23.2%1.6%1.1%103.6M-2.17B-25.8M0.345.09263,60089,4955,328,4963,660,259
2014-09-16$16.71$15.0021.2%6.5%20.2%31.6%22.7%1.2%0.3%106.0M-2.11B-25.3M0.405.79142,10956,7935,346,7913,694,725
2014-09-17$16.77$15.0021.5%6.4%20.1%33.3%23.2%0.7%0.0%113.1M-2.30B-25.0M0.165.84284,73945,8305,345,3193,731,458
2014-09-18$17.04$15.0020.7%6.4%20.5%28.7%21.9%1.5%-0.0%139.0M-2.77B-25.2M0.424.48448,503187,6815,369,3433,726,315
2014-09-19$16.95$15.0020.1%6.3%15.9%25.0%22.2%0.4%-0.4%147.9M-2.57B-25.1M0.447.21253,263110,5375,393,1743,796,801
2014-09-22$17.03$15.0020.8%6.3%15.8%29.1%22.4%1.3%-0.1%90.4M-2.27B-24.9M0.456.08279,114125,1945,088,9383,603,981
2014-09-23$17.05$15.0020.6%6.4%15.6%28.1%22.5%0.4%-0.2%97.8M-2.38B-24.9M0.425.76299,385125,3635,209,8053,677,827
2014-09-24$17.18$15.0020.8%6.4%15.7%28.9%22.4%1.3%-0.3%106.3M-2.57B-25.3M0.495.33276,768136,4045,279,8193,740,526
2014-09-25$16.85$15.0022.4%6.5%17.2%38.9%22.7%1.1%-0.3%88.5M-2.01B-26.1M0.454.24359,869163,4485,317,3023,821,042
2014-09-26$17.03$15.0022.2%6.5%16.6%37.5%23.1%2.0%-0.4%135.1M-2.35B-25.9M0.406.80213,54885,1665,367,6893,849,949
2014-09-29$17.01$15.0023.0%6.6%16.7%42.1%23.3%1.7%-0.3%81.4M-2.04B-26.3M1.147.1597,715111,6485,247,0783,816,936
2014-09-30$17.05$15.0022.3%6.6%16.4%37.9%23.6%2.3%0.4%80.8M-2.19B-25.6M0.428.09161,94168,0555,268,9203,855,307