BAC Options History — December 2016

In December 2016, BAC traded between $21.22 and $23.17. ATM implied volatility averaged 29.3%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.1% (HV 20d: 28.2%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2016-12-08: Highest Volume — 1,005,563 contracts
  • 2016-12-08: Largest IV spike — 13.6% change
  • 2016-12-14: Highest IV Rank — 35.6%
  • 2016-12-14: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.43$21.22$23.17$21.43$22.09
Max Pain$17.57$17.00$20.00$20.00$18.00
ATM IV29.3%25.8%33.1%28.2%30.3%
Expected Move8.5%7.8%9.3%8.9%8.8%
HV 20d28.2%21.4%34.7%34.1%21.4%
HV 60d25.9%25.3%26.8%25.4%25.7%
IV Rank25.3%15.4%35.6%22.2%28.0%
IV Percentile59.4%33.3%79.8%54.0%67.5%
Term Structure0.2%-0.8%1.8%-0.5%-0.1%
VWIV30.3%27.9%33.2%31.6%31.0%
Skew 25d1.8%0.7%3.0%3.0%2.1%
Skew 10d2.9%-0.6%8.6%2.5%8.6%
Call IV 25d29.0%25.3%33.2%27.7%29.6%
Put IV 25d30.8%27.1%34.4%30.7%31.7%
Bid-Ask Spread %3.231.966.246.244.16
Gamma HHI0.140.110.170.160.11
Net GEX113.0M83.5M142.3M129.8M93.1M
Net DEX-6.16B-7.34B-4.93B-5.30B-5.29B
Net VEX-18.5M-19.5M-17.0M-17.0M-19.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.300.800.440.59
Total Volume547,119.762188,6061,005,563932,305353,864
Total OI7,949,450.4767,191,1948,645,3517,191,1948,094,157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$21.43$20.0028.2%8.9%34.1%22.2%31.6%3.0%-0.5%129.8M-5.30B-17.0M0.446.24649,454282,8514,006,0963,185,098
2016-12-02$21.22$20.0027.7%8.3%34.6%20.8%28.9%2.4%-0.1%100.3M-4.93B-17.4M0.506.00372,616187,2014,142,3233,301,127
2016-12-05$21.80$17.0027.3%8.2%34.7%19.5%29.6%1.8%1.3%108.1M-5.70B-17.2M0.542.54398,258214,6074,106,0943,237,872
2016-12-06$22.09$17.0025.8%7.8%34.3%15.4%27.9%1.7%1.8%131.0M-6.09B-17.0M0.582.65311,612181,3224,222,1893,338,284
2016-12-07$22.48$17.0026.4%8.2%34.1%17.1%28.9%1.9%1.8%136.1M-6.63B-17.0M0.582.33461,717265,6404,268,7283,384,331
2016-12-08$22.98$17.0030.0%8.9%30.9%27.1%31.6%1.5%1.1%118.9M-7.17B-17.6M0.423.39709,626295,9374,383,8973,467,455
2016-12-09$23.07$17.0029.9%8.8%28.5%26.9%31.3%1.5%1.6%122.2M-7.25B-17.5M0.302.50652,078195,9954,436,1623,553,723
2016-12-12$22.66$17.0032.3%9.2%30.2%33.6%32.6%0.7%-0.7%112.0M-6.57B-19.2M0.432.10402,676173,4794,588,6013,451,460
2016-12-13$22.62$17.0032.5%9.2%26.1%34.1%33.1%1.0%-0.8%117.4M-6.50B-19.2M0.342.49548,196184,6304,669,6243,507,684
2016-12-14$22.78$17.0033.1%9.3%26.1%35.6%33.2%1.5%-0.8%135.5M-6.82B-19.4M0.523.27503,355260,9894,891,7503,582,286
2016-12-15$23.17$17.0031.1%8.8%24.8%30.3%31.1%1.9%-0.7%142.3M-7.34B-18.5M0.422.46509,205212,2334,861,7193,645,580
2016-12-16$22.72$17.0030.2%8.5%26.4%27.7%30.1%1.6%-0.8%99.8M-6.65B-19.5M0.452.21370,362167,4134,927,6353,717,716
2016-12-19$22.49$17.0029.5%8.4%26.8%25.8%30.0%1.4%0.3%101.8M-5.88B-19.4M0.553.20477,154264,1074,586,8873,186,861
2016-12-20$22.73$17.0029.1%8.3%26.8%24.5%29.5%1.8%-0.0%125.3M-6.28B-19.3M0.561.96178,55499,5544,751,6013,260,991
2016-12-21$22.65$17.0028.0%8.0%27.0%21.7%28.4%1.4%0.3%118.0M-6.17B-19.1M0.802.65132,550106,6594,762,4743,296,241
2016-12-22$22.54$18.0028.4%8.1%27.0%22.7%29.1%1.7%0.2%106.0M-5.97B-19.3M0.403.24192,46677,0554,816,1553,324,694
2016-12-23$22.58$18.0028.7%8.2%26.9%23.5%29.5%1.6%0.3%98.3M-6.06B-19.2M0.692.61113,45678,8214,830,5093,332,904
2016-12-27$22.61$18.0028.7%8.2%24.6%23.5%29.1%2.0%0.1%101.4M-6.06B-18.4M0.743.25108,39580,2114,613,6493,261,047
2016-12-28$22.35$18.0028.7%8.3%25.2%23.6%30.0%2.4%0.2%91.5M-5.65B-18.7M0.563.46194,415109,6064,646,0233,290,073
2016-12-29$22.00$18.0029.9%8.7%21.8%27.0%30.8%2.6%0.2%83.5M-5.00B-19.0M0.445.16284,809126,3874,680,7003,326,060
2016-12-30$22.09$18.0030.3%8.8%21.4%28.0%31.0%2.1%-0.1%93.1M-5.29B-19.0M0.594.16223,135130,7294,754,7163,339,441