BAC Options History — November 2016

In November 2016, BAC traded between $16.47 and $21.16. ATM implied volatility averaged 26.6%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.5% (HV 20d: 26.1%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2016-11-10: Highest Volume — 1,476,523 contracts
  • 2016-11-10: Largest IV spike — 24.6% change
  • 2016-11-14: Highest IV Rank — 35.6%
  • 2016-11-14: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.02$16.47$21.16$16.57$21.16
Max Pain$16.14$15.00$20.00$15.00$20.00
ATM IV26.6%23.3%33.1%26.0%25.6%
Expected Move7.8%6.6%9.5%8.1%7.9%
HV 20d26.1%13.3%34.6%14.8%34.6%
HV 60d21.4%15.7%25.4%16.7%25.4%
IV Rank17.6%8.4%35.6%16.0%14.7%
IV Percentile39.9%13.9%79.0%38.1%32.1%
Term Structure-0.0%-1.3%1.1%-0.0%0.5%
VWIV28.5%23.9%35.3%28.0%28.1%
Skew 25d3.4%1.7%5.3%4.6%2.2%
Skew 10d6.4%0.0%12.1%11.4%5.0%
Call IV 25d25.6%21.5%32.4%24.2%25.1%
Put IV 25d29.0%25.0%36.0%28.8%27.3%
Bid-Ask Spread %6.561.9814.4510.776.42
Gamma HHI0.220.160.380.270.16
Net GEX113.0M84.2M157.3M95.6M139.7M
Net DEX-5.05B-6.89B-2.06B-2.24B-4.99B
Net VEX-16.1M-17.9M-14.3M-15.5M-16.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.140.720.720.43
Total Volume608,369.238194,8121,476,523194,812869,349
Total OI7,695,543.4766,924,2148,669,8337,158,2636,924,214

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$16.57$15.0026.0%8.1%14.8%16.0%28.0%4.6%-0.0%95.6M-2.24B-15.5M0.7210.77112,94081,8724,340,2352,818,028
2016-11-02$16.52$15.0026.5%8.2%13.4%17.4%30.6%5.3%-0.0%93.1M-2.15B-15.7M0.5514.45148,01781,8554,376,7072,848,597
2016-11-03$16.47$16.0027.7%8.5%13.5%20.6%29.1%5.0%-0.6%95.4M-2.06B-15.8M0.2913.20198,42657,6894,421,9342,879,622
2016-11-04$16.51$16.0027.2%7.7%13.3%19.4%27.6%5.3%-0.3%123.4M-2.17B-16.0M0.174.10413,89468,8314,489,7122,898,932
2016-11-07$16.99$16.0023.8%6.9%16.3%9.8%26.4%5.1%0.3%121.4M-3.09B-15.3M0.5911.68190,249112,8684,591,6692,809,898
2016-11-08$17.02$16.0023.4%7.0%15.5%8.7%25.8%5.1%1.1%120.6M-3.13B-15.3M0.568.25196,341110,0614,570,8922,848,512
2016-11-09$17.95$16.0023.7%6.9%23.4%9.6%26.1%3.9%0.5%118.6M-4.66B-14.3M0.3114.02884,605278,0104,682,9532,854,425
2016-11-10$18.78$16.0029.5%8.7%26.6%25.8%32.2%3.6%1.0%89.2M-5.57B-14.7M0.398.491,064,180412,3434,653,5502,946,112
2016-11-11$18.99$16.0028.6%8.3%26.6%23.2%31.4%3.9%0.9%140.2M-5.72B-15.2M0.322.76748,785243,3064,814,3103,106,325
2016-11-14$19.97$16.0033.1%9.5%30.3%35.6%35.3%3.6%-1.1%86.8M-6.70B-16.1M0.463.82818,105377,5734,840,8983,037,640
2016-11-15$20.03$16.0031.7%9.1%30.4%31.8%33.1%2.4%-1.3%84.2M-6.53B-16.2M0.312.52576,854181,1244,851,7213,216,258
2016-11-16$19.70$16.0030.9%8.8%31.8%29.5%34.2%2.9%-0.4%89.0M-6.38B-17.4M0.381.98383,778147,0085,158,3493,263,387
2016-11-17$20.07$16.0029.0%8.3%31.8%24.3%30.2%2.9%-0.6%109.3M-6.89B-17.9M0.362.88509,320185,1275,265,1283,325,344
2016-11-18$20.01$16.0026.1%7.4%32.1%16.2%27.0%2.3%0.3%157.3M-6.86B-17.1M0.662.29255,329169,6005,300,5073,369,326
2016-11-21$20.26$16.0023.9%6.9%32.1%10.2%24.6%2.3%-0.2%105.5M-5.93B-16.6M0.487.89281,746135,5664,637,8792,822,678
2016-11-22$20.34$16.0023.8%6.9%31.9%9.9%24.8%2.5%0.1%115.3M-6.07B-16.6M0.454.70275,291124,3264,734,0562,866,824
2016-11-23$20.61$16.0023.3%6.6%31.9%8.4%23.9%1.9%0.0%123.0M-6.46B-16.4M0.375.30360,953133,5154,791,6852,907,417
2016-11-25$20.86$16.0024.3%7.1%31.8%11.4%25.7%2.3%-0.3%148.2M-6.80B-15.9M0.435.18204,01787,5254,878,7842,954,773
2016-11-28$20.34$16.0025.3%7.5%33.0%14.1%26.9%1.7%-0.6%108.5M-5.85B-16.7M0.404.23232,49793,0534,783,7272,907,690
2016-11-29$20.27$17.0025.2%7.5%32.9%13.7%26.6%1.9%0.2%109.8M-5.82B-16.3M0.142.82850,283119,5434,853,5332,962,182
2016-11-30$21.16$20.0025.6%7.9%34.6%14.7%28.1%2.2%0.5%139.7M-4.99B-16.2M0.436.42606,253263,0963,902,6543,021,560