BAC Options History — January 2021

In January 2021, BAC traded between $29.71 and $34.05. ATM implied volatility averaged 33.8%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.0% (HV 20d: 30.8%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.50.

Notable Days

  • 2021-01-06: Highest Volume — 628,132 contracts
  • 2021-01-27: Largest IV spike — 46.3% change
  • 2021-01-27: Highest IV Rank — 25.1%
  • 2021-01-27: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.88$29.71$34.05$30.06$29.71
Max Pain$28.95$28.00$30.00$28.00$30.00
ATM IV33.8%29.6%47.3%34.6%36.6%
Expected Move9.4%8.4%11.4%9.6%10.5%
HV 20d30.8%23.3%35.9%23.6%35.9%
HV 60d42.2%41.4%43.4%42.0%43.0%
IV Rank14.4%10.0%25.1%15.9%15.6%
IV Percentile28.2%10.7%73.8%33.7%40.9%
Term Structure-0.9%-14.4%1.7%-0.3%1.7%
VWIV33.7%30.0%40.5%34.7%36.4%
Skew 25d2.0%0.0%9.3%2.3%5.6%
Skew 10d4.2%0.1%12.2%5.6%11.5%
Call IV 25d33.3%29.5%36.4%34.5%35.0%
Put IV 25d35.3%30.9%45.7%36.7%40.6%
Bid-Ask Spread %2.491.915.542.412.84
Gamma HHI0.110.060.200.120.06
Net GEX62.1M20.2M117.3M62.1M20.2M
Net DEX-2.64B-4.74B-639.1M-2.10B-639.1M
Net VEX-15.6M-16.5M-14.6M-15.6M-16.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.300.820.600.59
Total Volume305,837.789121,909628,132224,534236,335
Total OI3,965,905.5793,045,3084,868,6004,376,7313,449,629

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$30.06$28.0034.6%9.6%23.6%15.9%34.7%2.3%-0.3%62.1M-2.10B-15.6M0.602.41140,10284,4322,241,8492,134,882
2021-01-05$30.36$28.0034.4%9.6%23.3%15.6%33.4%2.0%-0.3%69.3M-2.37B-15.6M0.532.29132,99470,5692,274,5992,167,853
2021-01-06$32.07$28.0033.3%9.2%29.5%14.7%33.0%0.8%-0.9%85.0M-3.71B-15.2M0.612.36389,807238,3252,296,8032,193,932
2021-01-07$32.86$28.0033.4%9.4%30.2%14.8%33.4%0.1%-0.4%75.9M-4.15B-14.6M0.442.11323,958141,7942,288,1842,237,536
2021-01-08$32.57$28.0032.6%8.9%30.4%14.1%31.7%0.5%0.2%48.0M-3.88B-14.9M0.662.19203,576134,4892,346,1452,287,764
2021-01-11$32.98$28.0034.5%9.6%30.5%15.7%33.7%1.4%-1.0%76.0M-3.99B-15.2M0.471.99159,08574,7602,276,9652,242,392
2021-01-12$33.67$28.0034.8%9.6%29.5%16.0%34.1%0.8%-1.1%89.0M-4.42B-15.0M0.301.91428,347128,4582,319,7272,276,010
2021-01-13$33.40$29.0032.9%9.2%29.2%14.3%33.1%0.5%-0.6%92.6M-4.23B-15.6M0.382.23157,07860,3582,450,8382,324,026
2021-01-14$34.05$29.0034.5%9.6%29.4%15.7%33.9%0.0%-1.3%117.3M-4.74B-15.8M0.321.96272,11986,4202,490,3642,337,557
2021-01-15$32.92$29.0033.3%9.4%33.0%14.7%33.5%1.3%-0.8%99.0M-3.85B-16.1M0.402.66273,171110,1002,505,5372,363,063
2021-01-19$32.85$29.0030.3%8.7%33.1%12.1%31.1%2.4%-0.4%63.4M-2.22B-15.7M0.422.28239,981100,9111,697,2871,348,021
2021-01-20$32.35$29.0029.8%8.5%33.7%11.1%30.2%1.1%-0.0%56.7M-1.96B-15.7M0.522.43149,95278,3301,767,2661,386,545
2021-01-21$31.90$29.0029.6%8.5%32.2%10.9%30.2%1.4%0.2%43.1M-1.70B-15.9M0.472.30131,60462,1781,815,7231,417,529
2021-01-22$31.66$30.0029.7%8.4%31.6%10.0%30.0%1.3%0.7%44.7M-1.58B-15.7M0.662.24124,31482,3001,840,1021,435,780
2021-01-25$31.16$30.0032.6%9.3%30.4%12.0%36.1%2.2%0.8%39.6M-1.37B-15.7M0.822.46181,380149,0711,755,8861,399,648
2021-01-26$31.06$30.0032.3%9.2%30.1%11.8%33.1%2.1%0.7%41.7M-1.35B-15.9M0.362.2789,90132,0081,819,9371,460,532
2021-01-27$29.74$30.0047.3%11.4%33.9%25.1%40.5%9.3%-14.4%21.6M-727.8M-16.0M0.595.54159,12893,1851,844,0111,469,762
2021-01-28$30.41$30.0035.0%9.8%34.9%14.2%37.5%2.9%1.1%35.4M-1.07B-16.4M0.362.84213,08277,3161,885,5391,502,983
2021-01-29$29.71$30.0036.6%10.5%35.9%15.6%36.4%5.6%1.7%20.2M-639.1M-16.5M0.592.84149,02087,3151,921,7591,527,870