BAC Options History — February 2020

In February 2020, BAC traded between $27.86 and $34.94. ATM implied volatility averaged 25.5%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.3% (HV 20d: 24.2%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2020-02-27: Highest Volume — 467,162 contracts
  • 2020-02-28: Largest IV spike — 35.6% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.40$27.86$34.94$33.07$27.86
Max Pain$33.00$33.00$33.00$33.00$33.00
ATM IV25.5%19.2%54.5%22.8%54.5%
Expected Move7.4%5.5%17.3%6.3%17.3%
HV 20d24.2%18.5%37.5%18.5%37.5%
HV 60d18.9%16.0%26.6%16.0%26.6%
IV Rank47.9%18.0%100.0%42.4%100.0%
IV Percentile53.0%10.7%100.0%56.0%100.0%
Term Structure-0.6%-3.5%0.7%-0.4%-3.5%
VWIV26.1%20.0%58.4%21.8%58.4%
Skew 25d6.0%3.7%17.2%5.4%17.2%
Skew 10d12.0%7.7%36.1%10.6%36.1%
Call IV 25d23.3%18.0%50.0%20.6%50.0%
Put IV 25d29.3%22.1%67.2%26.0%67.2%
Bid-Ask Spread %2.221.753.692.083.69
Gamma HHI0.110.070.170.080.08
Net GEX33.2M-22.3M81.5M1.8M-18.2M
Net DEX-813.0M-1.75B1.68B-398.3M1.68B
Net VEX-15.7M-16.1M-15.3M-15.7M-15.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.401.200.750.81
Total Volume203,068.05382,121467,162102,107368,277
Total OI2,965,762.2112,703,0533,143,2792,867,7293,143,279

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$33.07$33.0022.8%6.3%18.5%42.4%21.8%5.4%-0.4%1.8M-398.3M-15.7M0.752.0858,42043,6871,373,0741,494,655
2020-02-04$33.67$33.0022.1%6.1%19.9%37.9%21.3%4.8%-0.6%24.1M-848.1M-15.6M0.612.14105,32864,1181,397,0911,501,403
2020-02-05$34.69$33.0022.4%5.9%22.8%39.9%21.6%4.6%-0.8%67.2M-1.64B-16.1M0.402.07208,05283,5791,434,8641,524,010
2020-02-06$34.74$33.0021.6%5.8%22.4%34.0%20.6%4.2%-0.5%81.5M-1.67B-16.1M0.511.7583,03242,6811,467,3711,538,706
2020-02-07$34.62$33.0021.6%5.9%22.4%34.2%21.5%4.3%-0.2%68.1M-1.61B-16.0M0.701.8964,10044,7211,470,7991,546,529
2020-02-10$34.58$33.0021.6%5.9%22.2%34.3%21.3%4.4%-1.2%52.4M-1.47B-15.9M0.571.8752,46729,6541,418,4211,510,042
2020-02-11$34.85$33.0020.8%5.9%22.2%29.2%21.5%4.6%-0.1%66.3M-1.70B-15.8M0.602.0186,99951,9091,429,3601,525,309
2020-02-12$34.94$33.0019.9%5.7%21.9%22.9%20.1%4.4%0.1%75.4M-1.75B-15.7M0.831.8783,07868,8781,458,5821,538,621
2020-02-13$34.90$33.0020.3%5.8%20.2%25.5%20.7%3.7%-0.1%69.4M-1.71B-15.5M0.472.0870,86633,0431,468,3441,543,236
2020-02-14$34.83$33.0019.2%5.5%20.1%18.0%20.0%4.1%0.2%62.2M-1.64B-15.4M1.201.9055,04466,1881,463,8141,559,692
2020-02-18$34.25$33.0020.7%5.9%20.9%28.1%21.5%4.2%-0.0%25.4M-1.12B-15.4M0.911.8487,98479,6421,417,1571,540,664
2020-02-19$34.75$33.0019.2%5.5%21.3%18.5%20.4%4.1%0.7%49.1M-1.54B-15.4M0.801.8062,68050,2621,440,9861,578,828
2020-02-20$34.84$33.0020.2%5.8%21.3%24.9%22.1%4.3%-0.1%50.5M-1.62B-15.3M0.562.2385,31148,0431,444,0181,591,005
2020-02-21$34.23$33.0023.3%6.7%22.2%45.6%23.2%5.1%-0.3%15.8M-1.09B-15.8M1.062.00114,522121,4641,470,7891,605,796
2020-02-24$32.75$33.0028.1%8.3%26.2%77.7%29.3%6.7%-0.9%-4.2M-116.1M-16.0M0.782.28170,475133,7281,286,9801,416,073
2020-02-25$31.05$33.0033.2%10.0%31.6%100.0%34.4%8.3%-1.1%-16.5M662.1M-15.7M0.793.55200,214159,0991,344,1711,470,920
2020-02-26$30.68$33.0032.8%9.9%31.2%97.6%33.8%8.3%-1.2%-17.8M837.6M-15.7M0.831.97171,526142,0601,416,5621,513,039
2020-02-27$29.34$33.0040.2%12.5%34.3%100.0%43.1%11.6%-1.9%-22.3M1.30B-15.4M0.893.08246,582220,5801,454,2721,551,020
2020-02-28$27.86$33.0054.5%17.3%37.5%100.0%58.4%17.2%-3.5%-18.2M1.68B-15.6M0.813.69203,209165,0681,518,3651,624,914