BAC Options History — June 2019

In June 2019, BAC traded between $26.53 and $28.99. ATM implied volatility averaged 25.6%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 3.7% (HV 20d: 29.4%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2019-06-28: Highest Volume — 410,460 contracts
  • 2019-06-19: Largest IV spike — 11.8% change
  • 2019-06-03: Highest IV Rank — 42.9%
  • 2019-06-03: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.03$26.53$28.99$26.53$28.99
Max Pain$27.10$26.00$28.00$28.00$27.00
ATM IV25.6%24.6%28.0%28.0%24.9%
Expected Move7.7%7.1%8.3%8.3%7.4%
HV 20d29.4%25.3%34.6%27.4%25.4%
HV 60d25.8%24.1%27.2%24.8%24.7%
IV Rank35.0%31.7%42.9%42.9%32.6%
IV Percentile72.5%63.9%84.5%84.5%63.9%
Term Structure0.3%-1.6%2.7%-0.2%-0.1%
VWIV27.6%25.6%38.2%30.0%25.6%
Skew 25d4.9%4.4%5.5%5.4%4.8%
Skew 10d10.1%8.6%11.3%10.4%9.3%
Call IV 25d23.5%22.3%25.9%25.9%22.9%
Put IV 25d28.5%27.1%31.3%31.3%27.7%
Bid-Ask Spread %2.091.712.401.812.20
Gamma HHI0.100.070.440.090.44
Net GEX22.0M-22.9M202.2M-22.9M202.2M
Net DEX-132.5M-1.12B982.3M982.3M-1.12B
Net VEX-18.3M-18.9M-17.2M-17.2M-18.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.271.200.750.53
Total Volume207,892.5593,750410,460247,121410,460
Total OI4,212,121.63,452,2264,649,0814,260,8093,689,690

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$26.53$28.0028.0%8.3%27.4%42.9%30.0%5.4%-0.2%-22.9M982.3M-17.2M0.751.81141,007106,1142,406,3871,854,422
2019-06-04$27.88$28.0025.6%7.3%34.1%34.8%26.8%5.1%0.2%22.6M21.7M-18.8M0.711.77149,147105,4722,469,4481,891,302
2019-06-05$27.91$28.0025.1%7.2%33.1%33.4%38.2%5.0%-0.3%11.9M51.3M-18.7M0.271.71270,82971,8852,464,5051,929,909
2019-06-06$27.90$27.0024.9%7.6%33.0%32.4%26.7%5.2%-0.4%20.2M48.9M-18.6M0.612.14107,93165,8242,448,1931,951,594
2019-06-07$27.49$27.0025.3%8.1%33.2%33.8%26.9%4.8%-0.5%4.5M332.5M-18.3M0.492.11103,13550,8492,480,6481,968,382
2019-06-10$28.14$27.0024.9%7.8%34.6%32.5%26.7%4.4%2.5%21.7M-235.6M-18.6M0.602.34103,13862,0452,421,3701,867,086
2019-06-11$28.22$27.0025.4%8.0%29.8%34.2%26.9%4.6%2.6%22.2M-297.2M-18.9M0.722.07111,95380,4132,436,9571,887,104
2019-06-12$27.94$27.0025.6%8.0%29.0%34.8%28.7%4.6%2.2%5.1M-37.9M-18.6M1.202.1975,97191,4332,478,1281,916,544
2019-06-13$27.88$26.0025.1%7.8%28.6%33.1%28.7%4.7%2.7%-2.2M16.4M-18.5M1.042.0645,85947,8912,516,7791,941,042
2019-06-14$28.09$27.0025.3%7.8%28.4%33.8%28.0%4.9%2.6%8.0M-180.6M-18.2M1.202.3360,64872,4812,534,4591,945,232
2019-06-17$27.97$27.0026.0%7.7%28.3%36.2%27.2%4.9%-1.0%3.5M-42.1M-18.1M0.931.8251,81348,2662,476,9081,899,509
2019-06-18$28.70$27.0024.6%7.1%29.8%31.7%25.9%5.1%0.2%35.3M-671.0M-18.4M0.732.00166,689121,1802,504,8341,919,486
2019-06-19$28.38$27.0027.6%7.9%29.9%41.4%27.4%5.5%-1.6%11.7M-368.6M-18.4M0.902.40203,786183,1782,529,0811,949,510
2019-06-20$28.30$27.0026.2%7.6%29.9%37.0%26.3%5.5%-1.0%-19.8M-223.8M-18.3M0.632.07154,95998,2552,605,0671,987,870
2019-06-21$28.27$27.0025.2%7.3%27.4%33.4%25.7%5.0%-0.9%7.1M-246.7M-18.3M0.571.92115,85765,5912,648,2172,000,864
2019-06-24$28.02$27.0025.2%7.4%26.7%33.6%25.6%4.4%-0.2%18.2M-166.2M-17.8M0.392.0794,20536,7211,844,6391,607,587
2019-06-25$27.76$27.0026.3%7.8%26.7%37.1%27.6%4.9%-0.3%7.6M36.1M-17.6M0.382.28138,58252,7071,899,1891,631,288
2019-06-26$27.95$27.0026.0%7.7%26.7%36.1%27.2%4.9%-0.7%26.2M-159.6M-17.9M0.462.1586,21740,0181,960,2141,643,886
2019-06-27$28.24$27.0025.8%7.6%25.3%35.6%26.6%5.4%-0.2%57.7M-392.5M-18.0M0.802.2792,09173,2511,987,8641,647,238
2019-06-28$28.99$27.0024.9%7.4%25.4%32.6%25.6%4.8%-0.1%202.2M-1.12B-18.7M0.532.20268,185142,2752,005,3901,684,300