BAC Options History — April 2017

In April 2017, BAC traded between $22.27 and $24.02. ATM implied volatility averaged 26.5%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.1% (HV 20d: 24.3%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2017-04-24: Highest Volume — 662,528 contracts
  • 2017-04-24: Largest IV drop — 20.8% change
  • 2017-04-12: Highest IV Rank — 42.8%
  • 2017-04-17: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.16$22.27$24.02$23.60$23.36
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV26.5%21.7%31.2%26.5%21.7%
Expected Move7.6%6.2%8.7%7.8%6.2%
HV 20d24.3%16.7%28.7%27.2%21.0%
HV 60d24.6%23.3%25.7%25.7%24.7%
IV Rank24.4%5.8%42.8%24.7%5.8%
IV Percentile53.5%7.5%90.5%56.7%7.5%
Term Structure-0.3%-1.4%0.7%-0.1%0.1%
VWIV26.6%21.8%30.4%27.9%21.8%
Skew 25d3.2%1.9%4.9%2.6%2.6%
Skew 10d6.0%3.6%8.7%5.5%4.3%
Call IV 25d25.3%21.1%28.4%25.6%21.1%
Put IV 25d28.4%23.3%33.1%28.1%23.7%
Bid-Ask Spread %5.351.9615.253.503.27
Gamma HHI0.130.110.150.130.13
Net GEX68.9M-15.1M140.8M101.1M91.8M
Net DEX-1.93B-3.30B-546.0M-2.51B-2.27B
Net VEX-20.9M-22.1M-19.9M-21.4M-21.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.301.230.580.48
Total Volume425,591.947135,492662,528381,173304,462
Total OI6,530,929.6325,997,2667,252,0416,154,9976,477,057

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$23.60$23.0026.5%7.8%27.2%24.7%27.9%2.6%-0.1%101.1M-2.51B-21.4M0.583.50241,053140,1203,767,8302,387,167
2017-04-04$23.44$23.0026.7%7.8%27.3%25.2%27.5%2.5%0.1%92.3M-2.30B-21.4M0.431.96199,64985,1553,822,6132,439,874
2017-04-05$23.25$23.0028.1%8.2%27.2%30.7%28.5%3.0%-0.7%86.0M-2.10B-21.2M0.585.98243,475140,8423,882,1602,455,952
2017-04-06$23.28$23.0027.3%8.0%27.1%27.8%27.3%2.7%-0.1%82.2M-2.08B-20.8M0.812.71190,775153,9543,925,2952,511,019
2017-04-07$23.20$23.0028.2%8.0%27.1%31.1%28.1%3.3%-0.6%72.7M-1.95B-21.2M0.672.52203,956136,7683,976,9472,534,502
2017-04-10$22.98$23.0027.7%7.9%27.1%29.3%28.5%4.1%0.6%65.1M-1.69B-20.4M0.392.53270,124104,6243,823,1852,487,833
2017-04-11$22.86$23.0030.3%8.4%27.1%39.6%30.4%2.8%-1.4%61.1M-1.57B-20.6M0.563.60277,630156,6353,900,9002,517,824
2017-04-12$22.62$23.0031.2%8.4%27.2%42.8%29.9%4.9%-1.4%50.0M-1.33B-20.3M1.233.41205,624252,7773,954,1512,564,423
2017-04-13$22.43$23.0029.9%8.6%27.0%37.7%28.7%4.4%0.4%1.1M-800.9M-19.9M0.777.03359,362278,4613,999,8292,717,650
2017-04-17$22.27$23.0030.5%8.7%26.9%40.3%29.9%4.1%-1.3%-15.1M-546.0M-19.9M0.663.1081,60353,8893,894,1212,828,069
2017-04-18$22.82$23.0027.0%7.7%28.7%26.5%28.0%3.6%-0.1%24.1M-1.28B-20.4M0.5311.70378,262200,3894,006,1412,881,377
2017-04-19$22.69$23.0026.0%7.5%16.7%22.7%26.8%3.5%-0.5%11.7M-1.10B-20.4M0.504.98297,146148,2614,124,2342,924,015
2017-04-20$23.11$23.0024.3%7.0%18.0%15.8%24.4%2.9%-0.3%96.2M-1.98B-20.5M0.893.77236,042210,0474,195,5032,961,950
2017-04-21$22.86$23.0027.9%8.1%18.5%30.2%28.1%4.4%-0.3%16.9M-1.20B-21.0M0.4915.25395,001194,5344,221,6113,030,430
2017-04-24$23.63$23.0022.1%6.5%22.0%7.3%22.3%2.1%0.7%81.2M-2.64B-20.8M0.4410.74458,704203,8243,434,3422,562,924
2017-04-25$24.02$23.0022.6%6.6%22.6%9.1%23.2%2.1%-0.1%128.5M-3.30B-21.4M0.308.15480,231145,5163,593,0772,557,263
2017-04-26$23.97$23.0022.7%6.6%21.5%9.7%23.0%2.5%-0.1%140.8M-3.21B-22.1M0.314.53257,40180,0043,712,7542,613,119
2017-04-27$23.71$23.0022.0%6.3%21.8%6.9%21.8%1.9%0.3%121.7M-2.79B-21.8M0.622.99197,566122,3813,770,7772,629,745
2017-04-28$23.36$23.0021.7%6.2%21.0%5.8%21.8%2.6%0.1%91.8M-2.27B-21.3M0.483.27205,10099,3623,814,3052,662,752