BAC Options History — January 2015

In January 2015, BAC traded between $15.16 and $17.92. ATM implied volatility averaged 25.1%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 4.0% (HV 20d: 29.1%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2015-01-16: Highest Volume — 911,649 contracts
  • 2015-01-16: Largest IV drop — 15.8% change
  • 2015-01-15: Highest IV Rank — 86.7%
  • 2015-01-15: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.15$15.16$17.92$17.92$15.18
Max Pain$16.00$16.00$16.00$16.00$16.00
ATM IV25.1%21.0%29.3%22.3%25.3%
Expected Move7.2%6.1%8.2%6.3%7.3%
HV 20d29.1%19.1%36.1%19.1%36.1%
HV 60d22.0%18.6%25.1%19.7%25.1%
IV Rank63.3%39.8%86.7%47.2%64.1%
IV Percentile83.1%49.6%98.4%64.7%88.9%
Term Structure-0.3%-1.4%1.0%-0.4%-0.0%
VWIV25.2%22.0%28.6%23.6%25.8%
Skew 25d2.7%1.5%4.3%2.7%4.1%
Skew 10d5.3%2.0%9.6%6.0%4.0%
Call IV 25d24.4%20.8%28.6%21.3%22.7%
Put IV 25d27.1%23.0%31.5%24.0%26.8%
Bid-Ask Spread %1.421.121.701.521.33
Gamma HHI0.200.160.270.200.16
Net GEX40.4M-8.7M89.8M84.3M13.4M
Net DEX-370.2M-2.75B1.28B-2.75B548.8M
Net VEX-21.1M-22.4M-18.8M-21.8M-20.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.280.940.630.72
Total Volume430,845.55150,140911,649286,413232,776
Total OI7,963,840.956,045,1449,730,4138,788,8816,935,438

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$17.92$16.0022.3%6.3%19.1%47.2%23.6%2.7%-0.4%84.3M-2.75B-21.8M0.631.52176,246110,1675,039,8533,749,028
2015-01-05$17.38$16.0025.3%7.3%22.2%64.4%25.4%2.6%-0.5%74.3M-1.96B-22.4M0.491.66266,905131,0645,008,8223,722,573
2015-01-06$16.86$16.0028.1%8.0%22.8%79.8%28.0%3.3%-0.6%60.2M-1.18B-22.1M0.371.40443,033163,1925,077,4563,747,857
2015-01-07$16.94$16.0027.0%7.5%22.9%73.8%26.4%2.4%-0.1%76.4M-1.34B-22.1M0.461.70219,461100,8735,236,0793,820,459
2015-01-08$17.27$16.0025.3%7.4%24.1%64.4%26.4%2.5%0.2%89.8M-1.91B-22.1M0.391.28242,37293,5505,244,5143,838,585
2015-01-09$16.98$16.0026.1%7.3%24.5%68.7%26.0%1.7%-0.5%71.8M-1.37B-21.9M0.661.25232,135154,1885,295,0053,858,735
2015-01-12$16.70$16.0028.4%7.7%25.0%81.8%26.7%1.5%-1.1%57.5M-927.2M-21.5M0.501.69295,159147,3765,245,6923,878,608
2015-01-13$16.42$16.0027.0%7.8%25.0%73.8%26.6%2.4%1.0%44.2M-442.5M-21.7M0.441.25331,681144,9265,309,5813,930,751
2015-01-14$16.07$16.0028.9%8.1%25.3%84.6%28.5%3.2%-0.7%27.2M171.7M-20.4M0.691.49417,837289,6805,379,4083,987,168
2015-01-15$15.16$16.0029.3%8.2%32.2%86.7%28.6%2.9%-0.3%-8.7M1.28B-18.8M0.941.27429,639403,5655,464,0604,018,811
2015-01-16$15.38$16.0024.6%7.1%31.1%60.5%24.4%3.9%0.3%9.6M961.9M-19.6M0.851.57491,710419,9395,607,7324,122,681
2015-01-20$15.26$16.0023.9%6.9%30.1%56.5%24.2%2.6%-0.8%11.9M513.1M-19.8M0.381.28234,62389,0923,650,1922,394,952
2015-01-21$15.41$16.0022.7%6.5%30.2%49.5%23.4%2.1%-0.2%18.1M361.8M-20.2M0.461.36235,748109,4503,765,4802,423,466
2015-01-22$16.12$16.0022.5%6.5%35.2%48.5%22.8%2.3%-0.1%42.0M-375.2M-22.4M0.281.38475,799135,3893,871,7812,483,089
2015-01-23$15.76$16.0021.0%6.1%35.0%39.8%22.0%2.2%-1.4%32.6M35.4M-21.2M0.451.31241,578108,7094,016,9212,530,463
2015-01-26$15.85$16.0022.0%6.2%35.2%45.7%22.4%1.7%-0.3%37.1M-77.0M-22.0M0.531.7098,42451,7164,002,4152,517,793
2015-01-27$15.63$16.0023.6%6.8%35.2%54.7%23.1%4.3%-0.6%29.5M133.0M-21.3M0.731.44160,299117,7504,034,9642,550,211
2015-01-28$15.24$16.0025.0%7.2%35.3%62.5%25.4%2.2%0.2%14.3M556.9M-20.2M0.681.33199,539136,3514,105,6302,592,783
2015-01-29$15.44$16.0024.6%7.1%36.0%60.0%25.0%2.7%0.3%22.5M367.4M-20.9M0.701.12167,988116,9824,189,2272,628,556
2015-01-30$15.18$16.0025.3%7.3%36.1%64.1%25.8%4.1%-0.0%13.4M548.8M-20.7M0.721.33135,22197,5554,250,1652,685,273