BAC Options History — January 2019

In January 2019, BAC traded between $24.59 and $29.57. ATM implied volatility averaged 26.7%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 6.1% (HV 20d: 32.7%). 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 6 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2019-01-16: Highest Volume — 1,266,031 contracts
  • 2019-01-15: Largest IV drop — 13.6% change
  • 2019-01-03: Highest IV Rank — 66.3%
  • 2019-01-02: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.44$24.59$29.57$24.91$28.31
Max Pain$25.86$25.00$27.00$26.00$26.00
ATM IV26.7%21.8%35.0%33.1%22.8%
Expected Move7.6%6.3%10.1%10.1%6.8%
HV 20d32.7%27.5%38.1%36.7%31.6%
HV 60d31.1%29.6%33.0%29.6%31.6%
IV Rank38.5%22.0%66.3%60.1%25.4%
IV Percentile71.0%44.8%96.4%94.4%53.2%
Term Structure-0.5%-2.2%1.0%-0.9%-0.1%
VWIV27.0%22.4%35.5%35.5%23.1%
Skew 25d4.7%2.8%6.9%6.7%3.8%
Skew 10d9.6%6.5%13.5%13.1%7.2%
Call IV 25d24.6%19.8%32.1%29.6%21.3%
Put IV 25d29.2%23.5%39.0%36.4%25.1%
Bid-Ask Spread %2.822.273.702.273.70
Gamma HHI0.140.070.610.080.11
Net GEX75.9M8.1M251.0M18.8M36.0M
Net DEX-1.49B-3.81B700.4M499.6M-1.30B
Net VEX-19.6M-21.5M-16.7M-16.8M-21.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.330.830.540.41
Total Volume369,377.04866,3001,266,031246,259407,024
Total OI5,051,984.9053,620,0556,272,3355,415,3534,139,142

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$24.91$26.0033.1%10.1%36.7%60.1%35.5%6.7%-0.9%18.8M499.6M-16.8M0.542.27159,65886,6013,415,9551,999,398
2019-01-03$24.59$25.0035.0%9.3%31.9%66.3%34.5%6.9%-0.9%8.1M700.4M-16.7M0.432.74163,94571,1183,455,6582,026,568
2019-01-04$25.59$25.0031.7%8.6%35.5%55.3%32.0%5.8%-0.4%45.2M-190.3M-17.7M0.502.94393,625196,8923,496,0432,026,867
2019-01-07$25.62$25.0032.6%8.7%34.3%58.2%30.0%6.1%-2.1%21.4M-175.2M-18.0M0.513.6996,65548,9023,496,0902,001,192
2019-01-08$25.45$25.0031.4%9.0%33.3%54.4%31.2%5.8%-0.3%22.8M-71.7M-18.0M0.543.23136,17572,8573,593,7382,034,591
2019-01-09$25.73$25.0030.7%8.4%31.4%52.1%29.6%5.9%-1.5%37.3M-398.8M-18.3M0.593.24131,55978,0353,652,2782,056,182
2019-01-10$25.72$25.0029.4%8.0%31.2%47.8%28.0%5.6%-1.9%42.7M-392.7M-18.1M0.572.45137,30278,1193,703,2392,085,920
2019-01-11$25.99$25.0029.2%8.3%31.3%46.9%28.8%5.3%-0.0%251.0M-708.7M-18.7M0.552.70204,221112,7403,739,7492,104,606
2019-01-14$26.34$25.0028.9%8.3%31.1%46.0%28.4%5.2%-2.2%48.8M-994.3M-18.8M0.832.37243,914201,4233,690,9492,034,320
2019-01-15$26.63$25.0025.0%7.1%31.2%32.9%25.4%3.9%0.6%60.3M-1.28B-18.9M0.742.89258,755190,2623,769,3212,107,879
2019-01-16$28.43$25.0025.1%7.2%37.9%33.3%25.2%3.1%-1.8%137.8M-3.29B-19.9M0.332.44948,972317,0593,827,8552,166,838
2019-01-17$28.95$26.0023.8%6.8%38.1%29.0%25.5%3.7%0.1%124.2M-3.63B-21.3M0.402.87588,056234,0723,920,1412,302,045
2019-01-18$29.26$26.0021.8%6.3%36.8%22.0%22.5%2.8%-1.1%86.5M-3.81B-20.8M0.362.39408,434147,9253,888,0122,384,323
2019-01-22$28.98$27.0023.4%7.0%37.2%27.3%25.4%3.9%0.9%77.7M-2.17B-20.8M0.552.92213,549116,3902,205,2751,414,780
2019-01-23$28.91$27.0023.3%6.9%34.1%27.0%26.5%3.6%0.5%86.6M-2.13B-21.0M0.772.75187,060143,3612,299,3941,467,821
2019-01-24$29.10$27.0022.8%6.7%31.9%25.4%23.5%3.8%1.0%98.8M-2.30B-21.3M0.732.63102,74674,6842,369,6171,530,356
2019-01-25$29.56$27.0021.8%6.3%27.5%22.0%22.4%3.7%0.5%145.2M-2.75B-21.4M0.412.65205,06084,1322,392,4751,563,157
2019-01-28$29.57$27.0023.0%6.5%27.6%26.2%23.8%4.5%-0.3%88.3M-2.44B-21.3M0.722.3738,57627,7242,278,4441,513,277
2019-01-29$29.39$27.0022.9%6.4%28.2%25.9%23.5%4.0%-0.3%85.4M-2.32B-21.4M0.412.51156,78564,8392,346,5191,558,052
2019-01-30$29.12$27.0022.6%6.3%28.9%24.8%22.7%3.6%-0.3%71.9M-2.07B-21.5M0.463.56156,34971,3632,440,3881,593,229
2019-01-31$28.31$26.0022.8%6.8%31.6%25.4%23.1%3.8%-0.1%36.0M-1.30B-21.0M0.413.70289,107117,9172,507,8871,631,255