BAC Options History — January 2017

In January 2017, BAC traded between $22.05 and $23.47. ATM implied volatility averaged 26.4%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.8% (HV 20d: 22.6%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2017-01-13: Highest Volume — 743,730 contracts
  • 2017-01-13: Largest IV drop — 13.9% change
  • 2017-01-03: Highest IV Rank — 32.0%
  • 2017-01-03: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.83$22.05$23.47$22.48$22.71
Max Pain$19.50$18.00$20.00$18.00$20.00
ATM IV26.4%21.8%31.8%31.8%24.6%
Expected Move7.6%6.2%9.5%9.5%7.2%
HV 20d22.6%18.5%25.9%21.7%25.9%
HV 60d27.1%25.8%28.5%25.8%28.5%
IV Rank17.1%4.5%32.0%32.0%12.3%
IV Percentile37.2%7.5%72.6%72.6%24.2%
Term Structure-0.1%-1.1%0.9%-0.4%-0.3%
VWIV26.9%22.5%33.5%33.5%25.1%
Skew 25d2.1%1.4%2.8%2.4%2.4%
Skew 10d3.4%-1.8%5.6%3.8%5.4%
Call IV 25d25.8%21.4%30.9%30.9%23.6%
Put IV 25d27.8%23.0%33.3%33.3%25.9%
Bid-Ask Spread %5.042.4110.883.425.35
Gamma HHI0.170.110.380.110.15
Net GEX104.2M49.7M194.6M104.5M77.9M
Net DEX-5.24B-6.86B-3.07B-5.86B-3.16B
Net VEX-17.7M-18.4M-17.0M-18.4M-18.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.380.810.470.56
Total Volume398,210.55219,816743,730308,402303,058
Total OI7,290,372.255,054,7928,722,4527,887,0595,576,577

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$22.48$18.0031.8%9.5%21.7%32.0%33.5%2.4%-0.4%104.5M-5.86B-18.4M0.473.42209,94298,4604,626,7963,260,263
2017-01-04$22.91$18.0030.3%8.8%20.7%28.0%31.3%2.3%-0.3%121.8M-6.50B-17.9M0.412.41240,55698,3864,689,4733,299,597
2017-01-05$22.63$19.0030.7%8.5%20.9%28.9%31.1%1.9%-0.4%113.9M-6.09B-18.1M0.534.02206,781109,2774,720,9333,332,068
2017-01-06$22.73$19.0029.7%8.3%20.1%26.3%29.4%1.4%-0.6%101.8M-6.20B-18.0M0.413.30227,00493,8604,744,6773,361,093
2017-01-09$22.60$19.0030.1%8.4%18.5%27.3%30.2%1.7%-0.6%101.1M-6.00B-17.3M0.475.85227,098106,2624,675,2633,317,994
2017-01-10$23.06$19.0029.5%8.3%19.9%25.7%29.2%1.7%-0.4%119.0M-6.69B-17.2M0.384.64319,636121,0124,783,2423,363,911
2017-01-11$23.04$19.0029.2%8.1%18.7%25.0%28.7%1.7%-1.1%123.1M-6.53B-17.4M0.553.68251,820139,5324,843,8533,406,407
2017-01-12$22.93$19.0029.4%8.3%18.8%25.3%29.1%2.4%-0.7%117.2M-6.43B-17.8M0.435.74402,805173,0614,972,8263,477,670
2017-01-13$23.06$20.0025.3%7.2%18.8%14.0%25.2%2.2%-0.2%194.6M-6.86B-17.0M0.489.23502,194241,5365,113,2313,553,866
2017-01-17$22.05$20.0026.9%7.7%23.8%18.4%26.9%2.3%-1.0%75.9M-4.96B-17.1M0.537.17401,378213,5114,888,4703,475,897
2017-01-18$22.60$20.0025.3%7.3%24.7%14.2%26.6%2.7%-0.4%103.3M-5.77B-17.4M0.434.40302,267128,9824,962,1303,602,030
2017-01-19$22.52$20.0025.4%7.3%24.5%14.3%26.0%2.4%0.1%92.0M-5.86B-17.4M0.613.40178,115108,2555,039,7973,619,164
2017-01-20$22.63$20.0022.7%6.5%24.2%6.9%23.6%2.8%0.2%49.7M-5.95B-17.3M0.413.42315,507129,9605,066,6383,655,814
2017-01-23$22.60$20.0023.2%6.7%24.2%8.2%24.0%2.2%0.4%69.0M-3.07B-17.3M0.605.98192,288114,6733,145,0501,909,742
2017-01-24$23.00$20.0023.1%6.6%24.9%7.8%23.6%1.7%0.4%92.0M-3.52B-17.5M0.496.08340,892166,8743,246,9801,973,749
2017-01-25$23.41$20.0022.6%6.6%25.6%6.5%23.1%1.5%0.9%120.8M-4.04B-18.1M0.432.77312,712134,2543,391,6322,059,394
2017-01-26$23.47$20.0022.3%6.5%25.6%5.8%23.5%1.7%0.5%131.8M-4.10B-17.5M0.534.97180,01695,7103,477,8182,104,580
2017-01-27$23.35$20.0021.8%6.2%25.2%4.5%22.5%1.7%0.7%94.9M-3.94B-18.3M0.494.01147,79572,0213,507,9292,115,982
2017-01-30$22.90$20.0024.0%7.1%25.6%10.4%25.4%2.5%0.2%80.0M-3.32B-18.4M0.8110.88197,390159,3313,398,7602,046,149
2017-01-31$22.71$20.0024.6%7.2%25.9%12.3%25.1%2.4%-0.3%77.9M-3.16B-18.3M0.565.35193,772109,2863,503,6452,072,932