BAC Options History — November 2017

In November 2017, BAC traded between $26.25 and $28.25. ATM implied volatility averaged 21.8%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.3% (HV 20d: 17.5%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2017-11-29: Highest Volume — 1,682,627 contracts
  • 2017-11-29: Largest IV spike — 9.2% change
  • 2017-11-30: Highest IV Rank — 41.6%
  • 2017-11-30: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.06$26.25$28.25$27.51$28.22
Max Pain$25.38$25.00$27.00$26.00$27.00
ATM IV21.8%19.8%24.2%21.5%24.2%
Expected Move6.4%5.9%7.7%6.0%7.7%
HV 20d17.5%14.9%21.9%17.0%21.8%
HV 60d19.2%18.7%20.3%20.0%19.2%
IV Rank25.6%12.2%41.6%23.6%41.6%
IV Percentile35.4%10.7%70.6%28.2%70.6%
Term Structure0.4%-0.6%1.5%-0.3%-0.2%
VWIV22.6%20.6%28.1%20.7%27.0%
Skew 25d2.0%1.0%2.9%1.7%1.7%
Skew 10d3.8%2.4%5.5%3.2%3.0%
Call IV 25d21.0%19.1%23.6%20.6%23.6%
Put IV 25d23.0%20.7%25.3%22.2%25.3%
Bid-Ask Spread %1.931.522.681.982.61
Gamma HHI0.180.130.260.160.19
Net GEX163.2M98.8M239.1M164.3M215.9M
Net DEX-4.08B-6.16B-2.90B-4.72B-4.90B
Net VEX-21.7M-22.3M-21.0M-21.8M-22.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.190.540.400.24
Total Volume399,667.1997,5501,682,627263,634923,122
Total OI6,626,9426,317,5177,173,6356,460,3496,411,075

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$27.51$26.0021.5%6.0%17.0%23.6%20.7%1.7%-0.3%164.3M-4.72B-21.8M0.401.98187,95775,6773,519,2352,941,114
2017-11-02$27.85$25.0021.1%6.4%16.8%20.6%22.7%1.7%-0.1%220.8M-5.25B-21.8M0.441.58243,631107,7953,568,6582,971,915
2017-11-03$27.78$25.0020.2%6.2%16.9%14.5%21.8%1.8%0.6%154.9M-5.10B-21.8M0.421.92122,69851,4843,596,1583,009,973
2017-11-06$27.75$25.0019.8%6.0%15.9%12.2%21.6%1.6%0.8%166.2M-4.95B-21.0M0.491.70167,82582,3333,437,7542,906,631
2017-11-07$27.15$25.0020.5%6.3%18.3%16.6%22.5%2.5%1.5%132.3M-4.08B-21.3M0.421.98268,677114,1093,510,8952,952,929
2017-11-08$26.77$25.0021.3%6.5%19.1%22.3%23.8%2.0%1.3%113.8M-3.53B-21.7M0.472.68237,604111,8373,609,0823,003,234
2017-11-09$26.50$25.0022.9%6.8%18.5%32.7%23.4%2.7%1.1%106.8M-3.15B-21.7M0.391.60299,945116,4983,690,5873,022,564
2017-11-10$26.54$25.0022.0%6.4%17.5%26.7%22.7%2.4%0.5%98.8M-3.33B-21.5M0.531.70165,10888,1123,760,7883,053,186
2017-11-13$26.40$25.0022.3%6.5%16.9%28.7%21.8%2.9%-0.6%119.6M-3.14B-21.1M0.481.96153,05974,1093,634,5433,006,133
2017-11-14$26.25$25.0023.1%6.6%17.0%33.9%22.3%2.3%0.1%106.5M-2.90B-21.3M0.211.84236,91750,8613,695,4943,050,626
2017-11-15$26.87$25.0023.1%6.6%18.4%34.3%22.8%2.6%0.1%185.0M-3.97B-21.7M0.251.72561,562142,2473,740,9683,060,519
2017-11-16$26.77$25.0022.0%6.3%18.5%26.5%21.9%1.8%0.7%223.5M-3.97B-22.3M0.391.52199,93878,9494,007,6123,105,740
2017-11-17$26.60$25.0021.4%6.1%16.6%22.6%21.8%1.8%0.6%136.7M-3.69B-22.1M0.541.61168,83691,9174,040,2063,133,429
2017-11-20$26.75$25.0021.8%6.2%16.7%25.5%21.2%2.1%0.2%153.1M-3.61B-21.8M0.461.89137,43563,3543,601,7472,715,770
2017-11-21$26.78$25.0021.2%6.0%15.0%21.4%21.7%2.1%0.4%169.5M-3.65B-21.9M0.372.14174,58864,3433,657,9452,743,017
2017-11-22$26.68$26.0021.1%6.1%15.0%21.0%21.1%1.7%0.2%167.5M-3.55B-21.8M0.302.03159,98447,9553,767,9642,772,828
2017-11-24$26.59$26.0021.1%5.9%14.9%20.5%20.6%1.4%-0.0%153.4M-3.42B-21.8M0.392.5170,25927,2913,874,3792,794,735
2017-11-27$26.60$26.0021.9%6.3%14.9%26.3%22.2%1.6%0.5%161.3M-3.44B-21.4M0.291.61202,42959,6153,733,7052,739,330
2017-11-28$27.66$26.0022.0%6.7%20.8%26.5%23.6%1.0%0.7%239.1M-5.19B-22.1M0.262.14461,487118,8373,823,3272,776,501
2017-11-29$28.25$26.0024.0%7.5%21.9%40.0%28.1%1.5%-0.1%238.4M-6.16B-21.7M0.191.871,412,594270,0333,886,4062,837,080
2017-11-30$28.22$27.0024.2%7.7%21.8%41.6%27.0%1.7%-0.2%215.9M-4.90B-22.2M0.242.61745,512177,6103,497,0512,914,024