BAC Options History — September 2018

In September 2018, BAC traded between $29.48 and $31.29. ATM implied volatility averaged 18.9%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.9% (HV 20d: 14.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.43.

Notable Days

  • 2018-09-19: Highest Volume — 559,068 contracts
  • 2018-09-17: Largest IV spike — 11.5% change
  • 2018-09-28: Highest IV Rank — 31.4%
  • 2018-09-27: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.62$29.48$31.29$31.12$29.48
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV18.9%17.7%21.1%17.9%21.1%
Expected Move5.7%5.0%6.1%5.0%6.1%
HV 20d14.0%10.9%16.3%15.5%16.3%
HV 60d19.3%18.8%19.8%19.2%19.8%
IV Rank19.8%13.2%31.4%14.5%31.4%
IV Percentile23.2%7.5%47.6%10.7%47.6%
Term Structure0.6%-1.0%3.0%0.2%0.1%
VWIV20.2%18.0%23.5%18.0%21.6%
Skew 25d2.1%0.4%3.0%2.3%0.4%
Skew 10d3.9%1.0%5.4%4.2%1.4%
Call IV 25d18.0%16.4%21.4%17.0%21.4%
Put IV 25d20.1%17.9%21.9%19.3%21.9%
Bid-Ask Spread %2.221.952.522.152.23
Gamma HHI0.150.100.440.130.11
Net GEX155.9M18.3M448.6M154.7M18.3M
Net DEX-2.25B-3.54B-991.6M-2.83B-991.6M
Net VEX-22.9M-24.5M-21.8M-24.4M-21.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.260.620.390.53
Total Volume311,417.105194,185559,068242,380372,425
Total OI5,420,7174,992,6845,731,1615,325,6865,438,940

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$31.12$30.0017.9%5.0%15.5%14.5%18.0%2.3%0.2%154.7M-2.83B-24.4M0.392.15174,05668,3243,182,1392,143,547
2018-09-05$31.16$30.0018.1%5.1%15.5%15.5%23.5%2.8%0.4%185.2M-2.89B-24.5M0.322.15259,66983,6153,257,4182,169,812
2018-09-06$30.87$30.0018.2%5.8%15.2%16.1%20.5%3.0%0.4%151.9M-2.37B-23.9M0.622.07164,005101,8853,209,6872,189,154
2018-09-07$30.96$30.0017.9%5.8%15.1%14.2%20.3%2.9%0.3%273.3M-2.54B-24.3M0.312.16322,017100,5293,267,5182,193,370
2018-09-10$30.83$30.0017.8%5.7%14.4%13.7%20.3%2.6%2.0%154.4M-2.38B-23.6M0.552.15137,59475,2203,205,0792,144,334
2018-09-11$30.89$30.0017.7%5.7%11.9%13.2%20.4%2.5%2.3%162.0M-2.43B-23.4M0.542.52126,24467,9413,231,2612,154,479
2018-09-12$30.46$30.0018.0%6.0%12.4%14.8%20.6%2.1%3.0%109.3M-1.94B-22.6M0.381.95311,869117,2233,272,8742,184,366
2018-09-13$30.17$30.0018.4%5.8%11.7%16.8%19.9%1.9%2.5%51.7M-1.51B-22.6M0.322.20336,222107,9723,362,2762,221,906
2018-09-14$30.35$30.0017.7%5.6%10.9%13.3%18.7%1.5%2.8%91.2M-1.79B-22.6M0.612.04144,28888,6303,455,7202,225,226
2018-09-17$30.20$30.0019.7%5.8%11.0%24.1%20.4%2.5%-0.8%75.4M-1.62B-22.3M0.322.23165,00552,3083,194,7732,196,030
2018-09-18$30.26$30.0019.4%5.7%10.9%22.3%19.2%2.2%-1.0%92.8M-1.77B-21.9M0.412.38152,42163,0753,271,3282,199,683
2018-09-19$31.10$30.0019.4%5.6%14.7%22.5%19.4%2.1%-0.6%255.1M-3.19B-22.4M0.262.46442,645116,4233,340,2582,211,583
2018-09-20$31.29$30.0018.7%5.4%14.7%18.6%18.8%1.9%-0.7%286.1M-3.54B-22.4M0.432.27284,260121,9493,456,8872,237,100
2018-09-21$31.03$30.0018.4%5.3%14.9%16.9%19.0%2.4%-0.3%448.6M-3.03B-22.7M0.352.33232,63080,9413,454,5032,276,658
2018-09-24$30.71$30.0019.9%5.8%15.4%24.8%20.4%2.3%-0.1%134.1M-2.32B-22.6M0.562.33190,143107,4353,006,3871,986,297
2018-09-25$30.74$30.0019.9%5.8%14.2%24.9%19.9%2.2%-0.1%146.3M-2.38B-22.9M0.592.26132,93778,8243,095,1382,032,445
2018-09-26$30.19$30.0020.5%6.1%15.4%28.2%21.2%1.4%0.2%97.7M-1.76B-22.1M0.362.17193,26568,9823,149,5932,059,654
2018-09-27$29.97$30.0020.7%6.1%15.6%29.5%21.5%1.0%-0.1%74.2M-1.51B-21.9M0.282.07214,64059,3143,231,4192,084,781
2018-09-28$29.48$30.0021.1%6.1%16.3%31.4%21.6%0.4%0.1%18.3M-991.6M-21.8M0.532.23243,635128,7903,333,5362,105,404