BAC Options History — December 2017

In December 2017, BAC traded between $28.04 and $29.83. ATM implied volatility averaged 22.2%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.1% (HV 20d: 22.3%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2017-12-04: Highest Volume — 1,001,282 contracts
  • 2017-12-13: Largest IV drop — 7.2% change
  • 2017-12-01: Highest IV Rank — 46.3%
  • 2017-12-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.22$28.04$29.83$28.04$29.59
Max Pain$25.75$25.00$27.00$27.00$27.00
ATM IV22.2%20.8%25.0%25.0%21.6%
Expected Move6.6%6.1%8.2%8.2%6.2%
HV 20d22.3%17.6%25.1%21.6%17.9%
HV 60d19.1%18.6%19.8%18.6%18.7%
IV Rank29.4%19.1%46.3%46.3%26.2%
IV Percentile43.9%20.6%77.0%77.0%35.3%
Term Structure0.5%-0.5%1.9%-0.5%-0.1%
VWIV23.4%21.5%29.2%29.2%21.6%
Skew 25d1.7%0.9%2.3%2.3%1.8%
Skew 10d3.7%2.1%5.0%4.3%4.4%
Call IV 25d21.7%20.5%24.5%24.5%21.1%
Put IV 25d23.4%21.5%26.8%26.8%22.9%
Bid-Ask Spread %2.031.562.581.742.17
Gamma HHI0.190.140.250.140.22
Net GEX223.5M169.8M258.4M169.8M207.2M
Net DEX-5.75B-6.43B-4.59B-4.59B-5.56B
Net VEX-21.5M-22.5M-20.2M-22.5M-20.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.331.110.560.35
Total Volume388,996.65132,5881,001,282736,362194,337
Total OI6,732,759.56,236,1427,400,2066,553,1946,482,146

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$28.04$27.0025.0%8.2%21.6%46.3%29.2%2.3%-0.5%169.8M-4.59B-22.5M0.561.74473,444262,9183,581,3502,971,844
2017-12-04$29.07$25.0024.4%7.2%25.0%42.7%25.2%1.8%-0.2%236.5M-6.12B-22.0M0.431.70700,955300,3273,659,0672,927,970
2017-12-05$28.91$25.0023.6%7.2%25.1%37.2%25.9%1.6%0.4%230.1M-5.76B-22.4M0.741.75269,835199,9943,709,7653,030,069
2017-12-06$28.63$25.0023.7%7.1%23.9%38.0%25.2%1.4%0.4%212.8M-5.34B-22.4M0.771.77183,474141,8923,745,3753,136,032
2017-12-07$28.75$25.0022.6%6.8%23.1%30.7%23.7%1.6%0.2%225.1M-5.53B-22.3M0.461.62312,303143,1593,808,1023,211,024
2017-12-08$28.99$25.0021.6%6.8%22.6%24.5%23.7%1.5%0.4%234.7M-5.92B-22.2M0.391.56332,022130,0353,894,1693,256,094
2017-12-11$28.97$25.0021.1%6.6%22.6%21.1%23.6%1.7%1.9%248.8M-5.79B-22.0M1.111.88147,088163,6623,830,4353,186,068
2017-12-12$29.36$25.0022.4%6.8%22.5%29.8%23.7%1.7%1.3%248.2M-6.43B-21.8M0.612.24347,485212,4283,865,9453,245,173
2017-12-13$28.88$25.0020.8%6.4%23.5%19.1%22.5%1.8%1.5%219.3M-5.71B-21.7M0.551.90267,882146,1583,937,5463,290,472
2017-12-14$28.74$25.0021.5%6.5%22.7%23.6%22.8%0.9%1.3%208.1M-5.27B-21.9M0.852.53182,061153,9493,976,8223,320,701
2017-12-15$29.03$26.0021.1%6.3%22.7%22.8%22.8%1.0%1.7%171.8M-6.06B-21.6M0.351.79328,902114,5484,040,8043,359,402
2017-12-18$29.48$26.0021.5%6.3%22.7%25.7%22.1%1.7%0.3%218.4M-5.61B-21.2M0.612.45170,220103,2893,499,8522,736,290
2017-12-19$29.45$26.0022.0%6.4%22.8%29.1%22.6%1.2%0.3%217.6M-5.62B-21.1M0.592.02150,28888,6113,542,7382,785,887
2017-12-20$29.53$26.0021.2%6.1%22.7%23.3%21.5%1.6%0.1%239.0M-5.77B-21.2M0.791.84134,762106,1163,605,4992,826,962
2017-12-21$29.81$26.0021.5%6.1%22.5%25.6%22.4%1.9%-0.0%258.4M-6.22B-21.3M0.592.58239,572141,9883,636,8392,875,381
2017-12-22$29.83$26.0022.3%6.5%22.4%31.7%23.0%2.2%-0.5%215.5M-6.16B-21.3M0.372.54220,50180,5633,646,8282,920,680
2017-12-26$29.75$26.0022.5%6.5%22.5%33.0%22.5%1.8%0.4%225.5M-5.83B-20.7M0.802.30123,54299,1263,504,1092,795,005
2017-12-27$29.71$27.0022.1%6.2%18.8%30.1%22.2%2.3%0.0%236.0M-5.78B-20.5M0.592.3583,52449,0643,542,4332,847,410
2017-12-28$29.79$27.0021.8%6.3%17.6%27.6%22.7%2.0%0.1%247.3M-5.89B-20.2M0.331.93209,95269,9573,554,3372,868,565
2017-12-29$29.59$27.0021.6%6.2%17.9%26.2%21.6%1.8%-0.1%207.2M-5.56B-20.3M0.352.17143,83350,5043,587,1262,895,020