BAC Options History — September 2019

In September 2019, BAC traded between $27.07 and $30.19. ATM implied volatility averaged 24.8%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.0% (HV 20d: 27.9%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2019-09-09: Highest Volume — 480,894 contracts
  • 2019-09-04: Largest IV drop — 9.1% change
  • 2019-09-03: Highest IV Rank — 36.4%
  • 2019-09-03: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.15$27.07$30.19$27.07$29.24
Max Pain$27.75$27.00$29.00$29.00$28.00
ATM IV24.8%22.8%27.3%27.3%26.7%
Expected Move7.3%6.8%7.9%7.9%7.8%
HV 20d27.9%23.1%34.2%30.2%24.7%
HV 60d27.2%25.7%27.9%25.9%27.2%
IV Rank25.9%18.7%36.4%36.4%32.3%
IV Percentile56.2%36.9%77.4%77.4%72.6%
Term Structure0.5%-0.4%3.0%-0.4%-0.4%
VWIV26.0%24.4%27.9%27.9%26.8%
Skew 25d5.0%4.3%5.7%5.5%5.2%
Skew 10d10.1%8.3%12.1%11.9%10.7%
Call IV 25d22.8%20.6%25.3%25.3%24.1%
Put IV 25d27.8%25.8%30.8%30.8%29.3%
Bid-Ask Spread %2.331.972.802.352.45
Gamma HHI0.110.090.140.110.10
Net GEX55.4M-4.8M89.8M-4.8M50.6M
Net DEX-1.03B-2.30B725.4M725.4M-862.6M
Net VEX-18.1M-18.8M-16.9M-16.9M-17.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.431.300.470.54
Total Volume242,782.1587,425480,894198,15887,425
Total OI4,238,165.83,755,7844,541,8694,179,4113,912,571

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$27.07$29.0027.3%7.9%30.2%36.4%27.9%5.5%-0.4%-4.8M725.4M-16.9M0.472.35135,02663,1322,166,7182,012,693
2019-09-04$27.55$29.0024.8%6.9%30.7%25.9%24.9%5.5%0.1%13.5M370.7M-16.9M0.852.12111,93094,9302,176,2502,023,562
2019-09-05$28.24$27.0024.3%7.4%31.3%24.4%25.7%4.6%-0.0%45.4M-329.8M-17.8M0.732.46266,978193,6972,181,9562,087,150
2019-09-06$27.65$27.0023.7%7.1%31.3%21.9%26.7%4.4%0.1%9.1M314.6M-17.1M0.691.97119,39882,2262,233,9012,145,943
2019-09-09$28.71$27.0024.5%7.3%34.2%24.8%25.9%4.5%1.0%48.2M-783.4M-17.9M0.522.29315,599165,2952,190,0762,023,954
2019-09-10$29.30$27.0023.2%7.5%33.1%20.0%26.5%5.1%3.0%64.8M-1.32B-18.7M0.892.21229,947204,1932,250,5032,114,076
2019-09-11$29.38$27.0022.8%7.2%33.1%18.7%25.6%5.0%2.5%55.1M-1.40B-18.6M0.702.1997,21267,6952,301,5152,121,362
2019-09-12$29.74$27.0023.4%6.9%27.6%21.0%24.6%5.2%0.9%87.8M-1.83B-18.5M0.842.43172,364145,1662,324,1742,103,020
2019-09-13$30.19$27.0023.8%7.2%27.4%22.4%25.3%4.9%1.9%89.8M-2.30B-18.7M0.442.45262,890115,4352,348,4302,139,687
2019-09-16$30.11$28.0025.2%7.4%26.3%27.3%26.0%5.7%-0.1%87.1M-1.94B-18.6M1.262.3374,20693,3682,305,9402,061,530
2019-09-17$29.91$28.0025.0%7.2%26.6%26.3%25.9%5.4%-0.1%79.7M-1.77B-18.8M0.432.23152,49365,1722,332,5352,091,539
2019-09-18$30.07$28.0026.1%7.5%25.4%30.2%26.7%4.8%-0.4%87.9M-1.92B-18.5M1.302.80125,949163,7892,346,7332,109,512
2019-09-19$29.86$28.0023.8%6.8%25.8%21.9%24.5%4.5%-0.0%80.5M-1.66B-18.4M0.792.4294,85674,7722,374,1762,149,896
2019-09-20$29.71$28.0024.4%6.9%25.9%24.1%24.9%4.3%0.9%51.9M-1.42B-18.4M0.972.33187,814181,7522,390,2282,151,641
2019-09-23$29.61$28.0024.5%7.0%23.1%24.2%24.4%4.9%0.1%60.8M-1.13B-18.1M0.852.3673,87463,0662,034,7131,721,071
2019-09-24$28.89$28.0026.7%7.8%25.4%32.3%27.0%4.9%0.0%40.4M-630.7M-18.0M0.812.54113,05092,0842,105,2571,789,861
2019-09-25$29.30$28.0024.9%7.2%25.3%25.7%25.7%5.3%0.1%53.7M-926.0M-18.1M0.982.1965,50663,9982,128,1581,813,488
2019-09-26$29.20$28.0025.7%7.6%25.2%28.7%27.4%4.9%0.1%50.8M-840.4M-18.1M1.052.1546,78349,0792,148,2411,831,235
2019-09-27$29.32$28.0026.0%7.7%24.6%29.8%27.0%5.5%0.1%55.3M-948.6M-18.4M0.892.3775,85567,6392,172,0541,847,967
2019-09-30$29.24$28.0026.7%7.8%24.7%32.3%26.8%5.2%-0.4%50.6M-862.6M-17.9M0.542.4556,92930,4962,114,1521,798,419