BAC Options History — September 2017

In September 2017, BAC traded between $22.89 and $25.42. ATM implied volatility averaged 22.3%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.2% (HV 20d: 22.4%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2017-09-07: Highest Volume — 679,891 contracts
  • 2017-09-05: Largest IV spike — 17.8% change
  • 2017-09-07: Highest IV Rank — 44.3%
  • 2017-09-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.37$22.89$25.42$24.11$25.32
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV22.3%20.5%24.6%20.7%21.5%
Expected Move6.4%5.3%7.5%5.3%6.1%
HV 20d22.4%18.8%24.4%18.8%23.2%
HV 60d20.7%19.7%21.8%19.7%20.2%
IV Rank28.6%17.2%44.3%18.2%23.3%
IV Percentile31.9%14.3%59.5%15.1%24.6%
Term Structure0.4%-0.6%1.7%0.4%0.7%
VWIV22.4%18.6%25.5%18.6%22.3%
Skew 25d2.4%1.8%2.8%2.0%2.1%
Skew 10d4.9%3.9%6.0%4.6%5.2%
Call IV 25d21.4%19.7%23.6%19.9%20.7%
Put IV 25d23.8%21.5%26.3%21.9%22.9%
Bid-Ask Spread %1.931.612.642.071.82
Gamma HHI0.140.110.180.140.15
Net GEX113.7M-2.1M178.6M119.4M128.1M
Net DEX-2.21B-3.51B-292.5M-1.95B-3.25B
Net VEX-20.7M-21.8M-19.1M-20.7M-21.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.310.760.340.59
Total Volume360,266.8185,860679,891390,652235,903
Total OI6,133,720.15,709,2866,699,5596,020,2326,293,619

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$24.11$24.0020.7%5.3%18.8%18.2%18.6%2.0%0.4%119.4M-1.95B-20.7M0.342.07292,58798,0653,391,5022,628,730
2017-09-05$23.29$24.0024.4%7.5%22.1%42.5%25.5%2.8%1.4%31.0M-752.8M-19.6M0.571.77273,453156,6413,273,8512,568,779
2017-09-06$23.42$24.0023.1%7.3%22.3%33.7%24.3%2.8%1.7%40.6M-880.0M-19.3M0.311.67212,42166,6813,312,0542,631,341
2017-09-07$22.93$24.0024.6%7.3%23.2%44.3%25.2%2.5%1.3%-2.1M-310.3M-19.1M0.541.89441,243238,6483,374,4402,654,811
2017-09-08$22.89$24.0024.1%7.1%22.1%40.4%24.9%2.3%1.2%5.4M-292.5M-19.6M0.762.26177,215133,8573,603,9832,785,650
2017-09-11$23.35$24.0022.3%6.6%23.3%28.9%22.6%2.5%0.3%38.8M-864.7M-19.3M0.352.04218,17977,2733,482,9582,775,602
2017-09-12$23.97$24.0022.4%6.4%23.8%29.6%22.8%2.4%-0.2%140.5M-1.84B-20.0M0.322.17380,883122,4473,538,7872,788,343
2017-09-13$24.34$24.0022.2%6.4%24.4%28.0%22.3%2.8%0.3%178.6M-2.52B-20.2M0.381.61328,525126,4343,615,7422,840,558
2017-09-14$24.24$24.0022.6%6.4%23.8%30.7%21.8%2.5%-0.6%176.2M-2.40B-20.6M0.641.91223,569142,9283,706,0902,895,550
2017-09-15$24.37$24.0022.5%6.4%22.5%30.0%22.0%2.5%-0.3%120.2M-2.62B-20.7M0.381.80189,08172,6383,743,3392,956,220
2017-09-18$24.69$24.0022.7%6.5%22.9%31.1%22.4%2.3%-0.1%133.2M-2.61B-21.1M0.471.90229,623107,8193,195,0262,514,260
2017-09-19$24.86$24.0022.2%6.4%22.2%28.2%22.4%2.2%0.2%140.9M-2.83B-21.6M0.611.96191,932116,3943,244,1412,567,771
2017-09-20$25.05$24.0021.8%6.2%21.3%25.2%22.1%2.3%0.4%150.4M-3.12B-21.3M0.541.81296,917160,0333,280,7222,621,033
2017-09-21$25.19$24.0021.1%6.0%21.2%20.5%20.6%2.1%0.4%162.6M-3.27B-21.8M0.561.74222,425125,2113,357,8122,693,203
2017-09-22$25.02$24.0020.5%5.8%21.5%17.2%20.8%1.8%0.5%139.3M-2.93B-21.6M0.752.64183,983138,0103,417,6122,738,404
2017-09-25$24.73$24.0022.4%6.4%22.0%29.2%22.1%2.6%0.3%122.8M-2.43B-21.3M0.541.87169,36091,2933,312,6872,617,009
2017-09-26$24.80$24.0021.4%6.1%21.9%22.9%21.6%2.3%0.4%133.9M-2.56B-21.3M0.531.82121,64064,2203,352,9052,632,327
2017-09-27$25.42$24.0021.7%6.3%23.2%25.1%22.5%2.7%0.2%166.5M-3.51B-21.4M0.511.96379,479192,9683,393,6232,654,512
2017-09-28$25.35$24.0021.6%6.2%23.2%23.8%22.0%2.6%0.3%148.4M-3.33B-21.3M0.511.87135,80869,5503,468,1672,751,239
2017-09-29$25.32$24.0021.5%6.1%23.2%23.3%22.3%2.1%0.7%128.1M-3.25B-21.3M0.591.82148,25087,6533,506,2782,787,341