BAC Options History — July 2018

In July 2018, BAC traded between $27.78 and $31.31. ATM implied volatility averaged 19.9%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.2% (HV 20d: 22.0%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2018-07-16: Highest Volume — 759,846 contracts
  • 2018-07-13: Largest IV drop — 9.8% change
  • 2018-07-02: Highest IV Rank — 41.1%
  • 2018-07-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.64$27.78$31.31$28.21$30.91
Max Pain$29.76$29.00$30.00$30.00$30.00
ATM IV19.9%17.6%24.0%24.0%18.5%
Expected Move5.7%5.0%7.1%7.1%5.3%
HV 20d22.0%13.1%27.0%16.8%25.4%
HV 60d21.1%19.5%22.3%20.7%22.0%
IV Rank17.0%3.7%41.1%41.1%9.1%
IV Percentile28.2%0.4%83.7%83.7%7.5%
Term Structure0.1%-0.6%0.6%-0.3%0.1%
VWIV20.2%17.7%25.0%25.0%18.9%
Skew 25d1.6%1.0%2.0%1.7%1.7%
Skew 10d2.8%0.9%4.3%2.9%2.8%
Call IV 25d19.4%16.7%23.1%23.1%17.9%
Put IV 25d20.9%18.3%25.0%24.8%19.6%
Bid-Ask Spread %1.551.212.251.471.87
Gamma HHI0.120.090.170.100.11
Net GEX152.9M40.3M263.7M42.8M181.1M
Net DEX-2.42B-4.01B15.0M-309.8M-3.45B
Net VEX-25.1M-26.0M-23.5M-24.0M-25.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.130.820.130.54
Total Volume412,688.905252,254759,846686,470304,800
Total OI5,894,209.0955,389,2726,481,5665,616,9795,530,910

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$28.21$30.0024.0%7.1%16.8%41.1%25.0%1.7%-0.3%42.8M-309.8M-24.0M0.131.47610,15276,3183,432,3072,184,672
2018-07-03$27.78$30.0023.4%7.1%17.3%38.0%25.0%2.0%-0.3%40.3M15.0M-23.6M0.451.78174,26377,9913,679,8282,206,787
2018-07-05$27.94$30.0022.6%6.5%13.2%33.1%22.5%1.7%-0.4%44.5M-52.5M-23.5M0.261.46223,91058,4253,716,7742,228,888
2018-07-06$28.02$30.0021.6%6.3%13.1%27.2%21.7%1.6%-0.1%53.5M-241.6M-23.7M0.251.22316,81280,0373,766,0712,217,163
2018-07-09$29.05$30.0021.5%6.3%19.2%26.5%22.1%2.0%0.3%127.6M-1.72B-25.1M0.301.24318,27294,3223,612,6132,196,752
2018-07-10$28.86$30.0021.9%6.3%19.0%29.3%22.3%1.5%0.2%125.1M-1.46B-25.2M0.401.64196,31579,4913,700,8622,227,898
2018-07-11$28.67$30.0022.5%6.4%18.8%32.3%22.7%1.6%-0.0%107.1M-1.24B-24.9M0.251.60219,50755,4893,768,0672,253,060
2018-07-12$28.75$30.0022.6%6.4%18.8%33.2%22.3%1.3%-0.6%138.4M-1.45B-25.4M0.331.57269,26487,7013,859,2012,271,897
2018-07-13$28.43$29.0020.4%6.0%18.7%20.2%20.9%1.0%0.6%45.4M-778.8M-24.1M0.471.21364,541172,8723,934,6462,307,758
2018-07-16$29.79$29.0018.5%5.3%25.2%9.2%18.9%1.6%0.3%258.0M-3.09B-25.8M0.541.30492,964266,8823,849,7542,312,100
2018-07-17$30.06$29.0018.0%5.2%25.3%6.3%18.1%1.0%0.2%263.7M-3.68B-26.0M0.821.46303,444250,3113,880,8152,387,609
2018-07-18$30.14$29.0017.7%5.1%25.2%4.3%17.7%1.4%0.2%233.6M-3.75B-25.8M0.601.28237,912142,1493,919,9292,424,649
2018-07-19$29.72$29.0017.8%5.1%25.8%5.1%18.0%1.5%0.4%215.0M-2.69B-25.3M0.671.51210,944141,1953,951,2232,460,706
2018-07-20$30.13$30.0017.9%5.1%26.2%5.3%18.0%1.5%0.0%174.4M-3.85B-25.8M0.411.21438,791180,7513,986,8152,494,751
2018-07-23$30.80$30.0018.3%5.3%27.0%7.7%18.8%1.5%0.3%178.4M-3.73B-25.8M0.241.84491,387118,1523,295,8892,093,383
2018-07-24$30.79$30.0018.1%5.1%25.7%6.5%18.2%1.7%0.1%174.3M-3.63B-25.9M0.411.67236,42597,9803,303,3762,140,831
2018-07-25$31.08$30.0017.6%5.0%25.8%3.7%17.8%1.6%0.0%191.8M-3.97B-25.8M0.501.50169,16784,4073,342,9012,177,543
2018-07-26$30.92$30.0017.6%5.0%25.7%3.7%17.7%1.8%0.0%193.8M-3.77B-25.7M0.361.44212,15875,4003,372,3872,208,323
2018-07-27$31.11$30.0017.8%5.0%25.6%4.9%18.0%1.7%-0.0%228.2M-3.96B-25.5M0.312.25276,57484,8993,399,1602,241,462
2018-07-30$31.31$30.0018.6%5.5%24.8%9.4%19.4%2.0%0.2%193.5M-4.01B-25.2M0.291.97290,63983,4543,287,6052,151,026
2018-07-31$30.91$30.0018.5%5.3%25.4%9.1%18.9%1.7%0.1%181.1M-3.45B-25.2M0.541.87197,893106,9073,345,7162,185,194