BAC Options History — November 2020

In November 2020, BAC traded between $23.74 and $28.95. ATM implied volatility averaged 32.6%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 22.2% (HV 20d: 54.8%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-11-09: Highest Volume — 915,933 contracts
  • 2020-11-04: Largest IV drop — 9.5% change
  • 2020-11-02: Highest IV Rank — 23.4%
  • 2020-11-02: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.81$23.74$28.95$24.03$28.24
Max Pain$24.85$24.00$25.00$24.00$25.00
ATM IV32.6%28.5%43.3%43.3%30.2%
Expected Move9.4%8.3%13.1%13.1%8.9%
HV 20d54.8%32.7%63.2%32.7%61.3%
HV 60d40.7%29.9%44.5%29.9%44.5%
IV Rank14.1%10.5%23.4%23.4%12.0%
IV Percentile31.5%24.6%62.3%62.3%25.0%
Term Structure-0.4%-1.6%1.9%-1.6%1.9%
VWIV33.7%29.7%45.6%45.6%31.7%
Skew 25d2.5%0.8%6.4%6.4%1.9%
Skew 10d5.4%1.8%13.6%13.6%2.1%
Call IV 25d32.3%28.6%40.5%40.5%30.3%
Put IV 25d34.8%30.6%46.9%46.9%32.2%
Bid-Ask Spread %2.271.953.682.142.05
Gamma HHI0.100.060.160.070.10
Net GEX55.5M1.6M108.7M8.6M66.3M
Net DEX-1.19B-2.43B815.1M569.6M-1.72B
Net VEX-17.9M-19.0M-17.1M-18.2M-17.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.231.080.350.66
Total Volume276,427.9134,888915,933231,702160,669
Total OI4,934,930.54,546,2195,153,4364,872,9254,633,506

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$24.03$24.0043.3%13.1%32.7%23.4%45.6%6.4%-1.6%8.6M569.6M-18.2M0.352.14171,70559,9972,623,1932,249,732
2020-11-03$24.86$24.0040.6%12.6%34.7%21.1%44.4%5.7%-1.1%22.8M42.4M-18.7M0.362.84200,85972,6242,623,1932,249,732
2020-11-04$23.74$24.0036.7%10.5%37.5%17.7%37.8%3.5%-0.5%1.6M815.1M-17.3M0.552.06178,36098,0062,713,1202,285,461
2020-11-05$24.61$25.0034.2%9.6%39.6%15.4%34.5%3.2%-0.7%37.7M170.9M-18.0M0.662.38220,595144,5752,779,8122,324,352
2020-11-06$24.44$25.0033.2%9.6%39.6%14.6%33.3%2.3%-0.0%36.7M354.7M-17.8M0.462.02155,81771,9192,796,1862,357,250
2020-11-09$28.05$25.0034.8%9.6%63.2%16.0%34.9%1.8%-1.0%70.1M-2.37B-19.0M0.422.34643,374272,5592,688,9302,299,977
2020-11-10$27.55$25.0033.8%9.5%62.5%15.1%34.1%1.4%-0.9%70.7M-1.92B-18.7M0.422.06212,26389,3982,713,0842,327,935
2020-11-11$27.30$25.0031.6%9.1%59.3%13.2%32.5%2.0%-0.1%63.7M-1.70B-18.2M0.693.68151,257104,5982,731,1352,349,754
2020-11-12$26.45$25.0033.7%9.7%60.8%15.0%33.9%2.4%0.5%46.4M-952.8M-18.3M1.081.95169,858184,2232,751,7652,365,430
2020-11-13$27.16$25.0032.0%9.1%61.3%13.6%32.2%2.8%-0.2%56.7M-1.56B-18.3M0.622.13127,05278,5122,765,2622,386,480
2020-11-16$27.46$25.0030.7%8.8%60.8%12.4%31.3%2.4%-0.7%67.5M-1.69B-18.0M0.662.24112,15974,2882,661,4192,292,672
2020-11-17$27.39$25.0030.8%8.8%60.7%12.5%31.0%2.7%-0.6%66.1M-1.66B-17.8M0.812.0585,51269,5832,680,4112,320,823
2020-11-18$27.09$25.0030.6%8.8%60.8%12.3%31.3%1.6%-0.6%60.0M-1.37B-17.8M0.652.20121,52278,9692,682,1652,342,490
2020-11-19$26.88$25.0030.5%8.8%60.1%12.2%32.4%1.7%-0.4%49.0M-1.20B-17.4M0.632.28140,08388,4182,693,1192,360,598
2020-11-20$26.85$25.0029.0%8.3%60.1%11.0%30.4%2.7%-0.2%62.3M-1.16B-17.2M0.442.20111,00648,6062,717,6012,367,843
2020-11-23$27.45$25.0028.5%8.3%59.7%10.5%29.7%1.9%-0.1%56.8M-1.25B-17.1M0.472.23123,35257,8402,438,0322,108,187
2020-11-24$28.84$25.0029.8%8.6%60.7%11.6%31.2%1.1%-0.5%75.6M-2.34B-17.6M0.232.30395,43190,0962,474,2382,126,831
2020-11-25$28.93$25.0029.4%8.5%60.1%11.3%30.0%0.8%-0.7%83.7M-2.41B-17.6M0.442.13159,19869,3872,528,6342,156,239
2020-11-27$28.95$25.0029.4%8.7%60.1%11.3%31.0%1.2%-0.5%108.7M-2.43B-17.4M0.572.2086,09248,7962,561,9442,170,075
2020-11-30$28.24$25.0030.2%8.9%61.3%12.0%31.7%1.9%1.9%66.3M-1.72B-17.3M0.662.0596,76563,9042,491,4142,142,092