BAC Options History — May 2015

In May 2015, BAC traded between $16.09 and $16.78. ATM implied volatility averaged 17.3%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.6% (HV 20d: 15.6%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2015-05-28: Highest Volume — 430,062 contracts
  • 2015-05-08: Largest IV drop — 17.0% change
  • 2015-05-06: Highest IV Rank — 37.5%
  • 2015-05-06: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.50$16.09$16.78$16.09$16.52
Max Pain$15.55$15.00$16.00$16.00$16.00
ATM IV17.3%15.5%20.6%17.6%16.0%
Expected Move5.1%4.4%5.8%5.3%4.6%
HV 20d15.6%14.1%17.0%14.8%15.4%
HV 60d17.5%16.1%19.3%19.0%16.2%
IV Rank18.9%8.7%37.5%20.8%11.8%
IV Percentile14.4%2.4%46.8%13.1%5.2%
Term Structure0.5%-0.8%1.7%0.5%0.2%
VWIV18.1%16.0%20.4%18.7%17.0%
Skew 25d1.3%0.2%2.3%1.0%2.0%
Skew 10d2.3%-2.5%5.6%3.1%4.0%
Call IV 25d16.8%15.2%20.3%17.0%15.4%
Put IV 25d18.2%16.3%20.9%17.9%17.4%
Bid-Ask Spread %1.481.092.581.091.17
Gamma HHI0.210.190.250.230.21
Net GEX79.5M50.1M118.6M69.1M62.3M
Net DEX-1.18B-1.44B-770.7M-770.7M-1.06B
Net VEX-22.7M-23.7M-21.9M-22.6M-22.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.251.180.271.04
Total Volume226,598.7103,799430,062324,916172,680
Total OI7,601,724.456,966,4518,089,4257,949,1417,207,908

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$16.09$16.0017.6%5.3%14.8%20.8%18.7%1.0%0.5%69.1M-770.7M-22.6M0.271.09256,56368,3534,756,9083,192,233
2015-05-04$16.44$15.0018.6%5.4%16.3%26.5%18.6%0.6%0.3%99.5M-1.32B-23.1M0.521.68194,637101,7894,752,2733,166,760
2015-05-05$16.35$15.0019.1%5.6%16.4%29.2%19.9%0.5%0.2%96.5M-1.17B-23.7M0.591.33236,578139,9734,782,7683,210,868
2015-05-06$16.24$15.0020.6%5.8%16.5%37.5%20.4%0.2%-0.8%79.5M-880.0M-23.0M0.521.26155,04380,2114,807,2293,213,339
2015-05-07$16.24$15.0020.4%5.7%16.4%36.4%20.4%0.8%0.2%93.6M-960.2M-23.4M0.701.64108,59776,3964,818,9973,213,741
2015-05-08$16.45$15.0016.9%5.2%16.9%16.8%18.2%1.0%0.0%118.6M-1.29B-23.1M0.321.61137,25143,6534,852,0393,237,386
2015-05-11$16.49$15.0017.1%5.2%16.9%18.0%17.9%0.7%1.2%98.2M-1.33B-22.2M0.432.58124,42752,9084,770,9623,192,998
2015-05-12$16.43$16.0017.1%5.3%17.0%17.7%18.0%1.7%1.7%94.3M-1.18B-22.9M0.591.59115,12167,4044,782,5313,205,601
2015-05-13$16.48$15.0016.9%5.2%16.4%16.7%18.1%0.8%1.1%93.6M-1.28B-22.9M0.631.3787,08554,8094,809,4133,209,686
2015-05-14$16.51$15.0017.4%5.1%15.9%19.7%18.8%1.5%0.5%82.8M-1.32B-22.9M0.251.50183,50245,9364,810,8873,201,222
2015-05-15$16.36$15.0017.6%5.3%14.6%20.6%18.3%1.4%1.7%50.1M-1.05B-22.6M0.401.45223,59490,1684,797,2163,208,947
2015-05-18$16.51$16.0016.6%4.8%14.8%15.2%17.4%2.0%-0.0%63.1M-1.03B-22.6M0.471.56123,98458,8414,131,9222,834,529
2015-05-19$16.77$16.0015.6%4.5%15.0%9.3%16.9%1.8%0.9%70.6M-1.38B-22.6M0.381.34197,06675,1404,184,3352,864,101
2015-05-20$16.74$16.0016.6%4.7%14.4%14.9%17.6%1.8%-0.1%72.9M-1.36B-22.7M0.521.13111,25657,6944,230,1712,890,465
2015-05-21$16.73$16.0016.6%4.8%14.3%15.4%17.2%2.1%0.4%73.7M-1.34B-22.6M0.691.2861,47542,3244,244,6402,900,512
2015-05-22$16.78$16.0015.5%4.4%14.1%8.7%16.0%1.1%0.1%69.6M-1.44B-21.9M0.461.2288,81540,6434,254,7802,902,768
2015-05-26$16.50$16.0017.0%4.9%15.6%17.6%18.2%1.3%0.1%63.1M-989.2M-22.3M1.021.30134,090136,6424,192,2282,858,013
2015-05-27$16.72$16.0016.1%4.6%16.0%12.2%17.7%2.3%0.6%70.0M-1.30B-22.3M1.051.3776,86380,4014,238,2292,935,242
2015-05-28$16.70$16.0016.3%4.6%14.8%13.3%16.7%1.9%0.4%68.2M-1.23B-22.3M1.182.14197,404232,6584,230,3452,940,297
2015-05-29$16.52$16.0016.0%4.6%15.4%11.8%17.0%2.0%0.2%62.3M-1.06B-22.1M1.041.1784,72287,9584,250,4732,957,435