BAC Options History — July 2015 In July 2015, BAC traded between $16.29 and $18.43. ATM implied volatility averaged 20.4%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.5% (HV 20d: 22.9%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.47.
Notable Days 2015-07-15 : Highest Volume — 769,022 contracts2015-07-27 : Largest IV spike — 16.8% change2015-07-08 : Highest IV Rank — 70.7%2015-07-08 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $17.53 $16.29 $18.43 $17.21 $17.88 Max Pain $16.59 $16.00 $17.00 $17.00 $17.00 ATM IV 20.4% 16.3% 26.5% 23.0% 17.9% Expected Move 5.8% 4.7% 7.5% 7.2% 5.0% HV 20d 22.9% 18.0% 26.3% 19.9% 24.8% HV 60d 18.8% 16.8% 20.0% 16.8% 19.9% IV Rank 36.7% 13.4% 70.7% 51.4% 22.7% IV Percentile 48.6% 7.5% 95.2% 77.4% 27.4% Term Structure -0.1% -2.1% 1.4% -1.8% 0.6% VWIV 20.7% 16.5% 25.8% 24.8% 17.5% Skew 25d 2.5% 1.5% 3.8% 1.7% 2.9% Skew 10d 5.1% 2.6% 7.2% 2.6% 3.5% Call IV 25d 19.5% 15.6% 25.6% 21.9% 16.6% Put IV 25d 21.9% 17.3% 29.4% 23.7% 19.5% Bid-Ask Spread % 1.39 1.09 2.28 1.37 1.09 Gamma HHI 0.21 0.18 0.31 0.18 0.19 Net GEX 97.8M 38.4M 161.0M 76.1M 105.1M Net DEX -2.04B -3.29B -410.7M -1.63B -2.17B Net VEX -22.7M -23.8M -22.0M -23.8M -22.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.28 0.70 0.63 0.46 Total Volume 340,957.409 178,803 769,022 178,803 213,433 Total OI 7,519,306.045 7,296,117 7,801,184 7,380,196 7,657,760
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-07-01 $17.21 $17.00 23.0% 7.2% 19.9% 51.4% 24.8% 1.7% -1.8% 76.1M -1.63B -23.8M 0.63 1.37 109,967 68,836 4,410,764 2,969,432 2015-07-02 $17.02 $17.00 22.8% 7.2% 19.9% 50.2% 24.8% 2.8% -0.2% 70.2M -1.36B -23.2M 0.52 1.19 187,218 98,193 4,427,099 2,987,825 2015-07-06 $16.95 $16.00 23.8% 6.7% 18.0% 55.5% 23.4% 2.5% -0.2% 60.7M -1.24B -23.3M 0.33 1.49 160,007 53,378 4,380,059 2,933,326 2015-07-07 $16.70 $16.00 24.9% 6.6% 18.6% 62.1% 23.5% 2.5% -2.1% 52.8M -914.0M -23.0M 0.63 1.84 252,119 158,653 4,461,577 2,952,798 2015-07-08 $16.29 $16.00 26.5% 7.5% 19.7% 70.7% 25.6% 3.8% -0.2% 38.4M -410.7M -22.5M 0.70 1.36 151,403 106,280 4,509,430 2,965,706 2015-07-09 $16.52 $16.00 26.4% 7.1% 19.4% 70.5% 25.8% 3.2% -0.5% 48.1M -728.5M -23.0M 0.45 1.78 171,373 76,427 4,554,093 2,990,318 2015-07-10 $16.72 $16.00 24.6% 6.6% 20.1% 60.1% 24.1% 2.4% -0.1% 60.7M -1.05B -23.1M 0.42 1.52 177,542 73,788 4,617,923 3,020,725 2015-07-13 $17.05 $16.00 22.5% 6.3% 21.6% 48.6% 23.8% 2.7% -1.1% 81.7M -1.51B -22.8M 0.37 1.52 178,199 65,770 4,519,868 2,963,858 2015-07-14 $17.08 $16.00 21.7% 6.2% 21.6% 43.8% 22.0% 2.7% 0.4% 91.6M -1.63B -22.9M 0.47 2.28 188,991 89,665 4,581,957 2,982,373 2015-07-15 $17.69 $16.00 19.1% 5.0% 25.1% 29.5% 18.8% 2.5% -2.0% 122.7M -2.61B -22.7M 0.28 1.46 601,128 167,894 4,626,230 3,009,366 2015-07-16 $17.95 $16.00 16.3% 4.7% 25.2% 13.4% 17.4% 2.1% -0.1% 161.0M -3.00B -22.3M 0.46 1.25 417,281 192,565 4,708,009 3,038,138 2015-07-17 $18.11 $17.00 16.8% 4.8% 25.3% 16.4% 18.2% 2.6% 0.0% 121.0M -3.28B -22.5M 0.38 1.10 343,051 128,824 4,725,577 3,075,607 2015-07-20 $18.12 $17.00 16.4% 4.7% 24.9% 14.2% 17.3% 1.5% 1.1% 126.1M -2.86B -22.3M 0.54 1.29 205,835 111,781 4,482,119 2,813,998 2015-07-21 $18.09 $17.00 16.8% 4.8% 24.2% 16.5% 16.8% 1.9% 0.7% 125.4M -2.76B -22.7M 0.30 1.24 356,169 107,018 4,516,358 2,852,555 2015-07-22 $18.43 $17.00 16.7% 4.8% 24.8% 15.9% 17.3% 2.1% 0.1% 139.3M -3.29B -22.4M 0.29 1.24 418,524 121,252 4,588,238 2,876,345 2015-07-23 $18.15 $17.00 17.0% 4.9% 25.2% 17.6% 16.5% 1.7% 0.8% 129.4M -2.78B -22.4M 0.47 1.26 256,105 120,780 4,600,178 2,931,135 2015-07-24 $17.93 $17.00 18.1% 5.2% 25.5% 23.6% 18.5% 2.6% 0.3% 106.2M -2.32B -22.5M 0.53 1.21 224,806 120,023 4,635,477 2,943,222 2015-07-27 $17.64 $17.00 21.2% 6.0% 26.3% 40.9% 21.2% 3.1% 0.1% 90.4M -1.90B -22.6M 0.65 1.15 182,801 118,990 4,527,895 2,888,664 2015-07-28 $17.88 $17.00 19.5% 5.5% 24.2% 31.7% 20.4% 2.6% 1.4% 105.6M -2.28B -22.5M 0.47 1.34 134,195 63,650 4,577,381 2,933,238 2015-07-29 $18.18 $17.00 18.4% 5.3% 24.6% 25.4% 19.4% 2.8% 1.1% 121.8M -2.69B -22.6M 0.42 1.26 234,951 98,202 4,612,736 2,957,359 2015-07-30 $18.11 $17.00 18.7% 5.1% 24.6% 27.1% 17.8% 2.0% 0.1% 118.0M -2.56B -22.4M 0.48 1.28 130,651 63,345 4,622,347 2,995,670 2015-07-31 $17.88 $17.00 17.9% 5.0% 24.8% 22.7% 17.5% 2.9% 0.6% 105.1M -2.17B -22.0M 0.46 1.09 146,425 67,008 4,644,834 3,012,926
« Jun 2015 | All History | Aug 2015 » Home BAC History July 2015