BAC Options History — March 2018

In March 2018, BAC traded between $29.19 and $32.92. ATM implied volatility averaged 24.0%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.6% (HV 20d: 23.5%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2018-03-23: Highest Volume — 797,771 contracts
  • 2018-03-22: Largest IV spike — 26.9% change
  • 2018-03-23: Highest IV Rank — 91.2%
  • 2018-03-23: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.49$29.19$32.92$31.54$29.99
Max Pain$30.90$30.00$32.00$32.00$30.00
ATM IV24.0%19.3%32.6%24.3%28.2%
Expected Move7.2%6.0%9.5%7.1%8.6%
HV 20d23.5%14.9%32.9%32.0%32.9%
HV 60d22.1%20.5%27.0%21.8%27.0%
IV Rank38.0%8.3%91.2%39.5%63.6%
IV Percentile61.8%8.3%99.2%82.5%95.2%
Term Structure0.2%-2.5%2.8%-0.7%-0.2%
VWIV24.9%20.9%33.6%24.6%29.7%
Skew 25d4.6%3.3%5.7%4.3%4.9%
Skew 10d8.9%6.7%11.4%8.6%9.0%
Call IV 25d21.9%17.0%30.0%22.5%26.3%
Put IV 25d26.5%20.3%35.3%26.8%31.1%
Bid-Ask Spread %2.391.583.902.472.88
Gamma HHI0.160.100.210.130.10
Net GEX156.6M53.6M243.2M106.3M103.6M
Net DEX-3.35B-5.39B-930.5M-2.96B-1.91B
Net VEX-24.7M-25.8M-23.7M-25.2M-25.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.290.800.460.41
Total Volume403,618176,088797,771547,981394,456
Total OI5,406,037.0484,828,6735,831,1235,272,8665,831,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$31.54$32.0024.3%7.1%32.0%39.5%24.6%4.3%-0.7%106.3M-2.96B-25.2M0.462.47374,445173,5363,101,3342,171,532
2018-03-02$31.68$32.0023.6%6.9%31.6%35.5%24.0%5.2%-0.8%148.1M-3.17B-25.4M0.472.89412,102192,8393,243,6352,202,762
2018-03-05$32.19$30.0022.6%6.8%31.6%28.9%23.7%4.9%0.3%197.1M-4.21B-25.3M0.411.78263,787108,1953,153,0692,124,775
2018-03-06$32.08$30.0022.5%6.9%26.4%28.6%23.8%4.9%0.6%202.8M-4.01B-25.2M0.592.20122,69672,7653,174,1282,167,163
2018-03-07$32.20$31.0023.2%7.0%25.2%32.5%23.3%4.8%0.2%212.1M-4.14B-25.2M0.481.74188,56990,3183,196,6832,194,745
2018-03-08$32.16$31.0022.4%6.8%25.2%27.5%23.4%4.6%0.2%225.7M-4.10B-25.1M0.442.25211,99592,6613,248,0642,224,047
2018-03-09$32.65$31.0019.8%6.0%18.2%11.6%21.3%3.8%0.2%225.4M-5.15B-24.3M0.401.68391,986155,5103,333,7192,257,272
2018-03-12$32.92$31.0019.3%6.1%17.9%8.3%21.5%3.9%1.8%243.2M-5.39B-23.7M0.492.30225,859110,5783,186,7552,226,827
2018-03-13$32.35$31.0020.6%6.8%17.4%16.8%23.1%4.0%2.8%209.1M-4.33B-24.5M0.522.02235,490122,5033,206,8392,273,565
2018-03-14$32.18$31.0021.3%6.7%17.6%21.2%23.0%4.1%1.9%197.2M-3.95B-24.7M0.342.57231,29477,9363,284,2222,317,603
2018-03-15$32.13$31.0020.6%6.4%15.0%16.9%22.6%3.8%2.0%212.8M-3.93B-24.5M0.401.58145,83359,0543,353,2582,337,480
2018-03-16$32.23$31.0019.3%6.0%14.9%8.8%20.9%3.3%2.3%156.1M-4.41B-24.0M0.502.00159,49079,7313,395,1352,352,920
2018-03-19$32.02$31.0022.2%6.5%15.0%26.4%22.1%4.6%0.1%145.1M-3.54B-24.1M0.512.29244,106123,3292,850,3031,978,370
2018-03-20$32.01$31.0021.9%6.3%15.0%24.8%22.1%4.7%-0.0%166.0M-3.59B-24.1M0.622.37108,90067,1882,975,1102,024,993
2018-03-21$31.88$31.0022.5%6.5%15.1%28.5%22.5%4.3%-0.6%159.2M-3.44B-24.1M0.381.72268,117101,0993,021,0552,045,564
2018-03-22$30.58$31.0028.5%8.2%21.1%66.0%27.3%5.3%-1.3%72.9M-2.06B-24.4M0.403.90473,591189,7413,105,7802,081,563
2018-03-23$29.19$31.0032.6%9.5%25.9%91.2%31.7%5.3%-2.5%53.6M-930.5M-24.1M0.543.11517,993279,7783,286,8482,124,497
2018-03-26$30.48$30.5027.9%8.2%30.5%61.7%27.8%4.8%-0.5%103.0M-2.38B-25.3M0.292.22352,384103,9333,152,2242,141,144
2018-03-27$29.50$31.0030.9%9.2%32.2%80.6%30.6%5.7%-0.5%71.9M-1.37B-25.1M0.292.92418,730119,8263,282,6982,174,595
2018-03-28$29.38$30.5030.8%9.3%32.2%80.0%33.6%5.0%-0.9%77.4M-1.36B-25.2M0.803.24229,567184,0683,508,1512,215,228
2018-03-29$29.99$30.0028.2%8.6%32.9%63.6%29.7%4.9%-0.2%103.6M-1.91B-25.8M0.412.88280,330114,1263,511,1102,320,013