BAC Options History — April 2021

In April 2021, BAC traded between $38.18 and $41.09. ATM implied volatility averaged 27.5%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.9% (HV 20d: 22.6%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2021-04-15: Highest Volume — 606,977 contracts
  • 2021-04-15: Largest IV drop — 9.6% change
  • 2021-04-20: Highest IV Rank — 6.5%
  • 2021-04-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.54$38.18$41.09$39.33$40.55
Max Pain$36.83$35.00$38.00$36.00$38.00
ATM IV27.5%24.5%31.2%31.2%25.2%
Expected Move7.8%6.8%9.1%9.1%7.2%
HV 20d22.6%20.9%25.1%25.1%22.5%
HV 60d26.2%23.4%29.4%29.4%23.6%
IV Rank2.5%0.0%6.5%4.9%2.0%
IV Percentile2.1%0.0%12.3%12.3%1.6%
Term Structure-0.2%-1.2%0.8%-0.5%0.2%
VWIV27.6%24.5%32.5%32.5%25.4%
Skew 25d0.9%-0.0%1.3%0.9%0.5%
Skew 10d2.5%-1.6%3.9%2.8%1.8%
Call IV 25d27.6%24.5%31.2%31.2%25.7%
Put IV 25d28.5%25.7%32.1%32.1%26.2%
Bid-Ask Spread %3.432.306.532.602.86
Gamma HHI0.140.110.280.110.12
Net GEX103.6M73.7M144.8M117.1M87.4M
Net DEX-3.95B-4.73B-2.98B-4.13B-4.32B
Net VEX-15.4M-16.0M-14.8M-15.6M-14.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.260.890.270.66
Total Volume232,909.286101,066606,977340,911186,361
Total OI3,325,783.4763,146,6013,560,7443,236,6653,486,575

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$39.33$36.0031.2%9.1%25.1%4.9%32.5%0.9%-0.5%117.1M-4.13B-15.6M0.272.60268,84272,0691,823,8011,412,864
2021-04-05$39.76$35.0030.5%8.5%25.1%4.5%30.4%1.1%-0.3%100.7M-4.22B-15.3M0.612.3062,61838,4481,777,2071,369,394
2021-04-06$39.65$35.0030.2%8.6%25.0%3.9%30.3%0.9%-1.2%99.5M-4.16B-15.2M0.762.5378,64060,1111,794,5621,394,814
2021-04-07$40.00$35.0030.0%8.4%22.5%4.0%29.8%0.9%-0.6%106.8M-4.34B-15.1M0.412.71127,32051,9531,805,2681,413,499
2021-04-08$39.66$35.0029.4%8.4%21.8%2.4%29.6%0.5%-1.2%96.7M-4.13B-15.3M0.702.36150,546105,1591,828,6911,432,392
2021-04-09$39.88$37.0029.1%8.3%21.7%1.6%29.4%0.8%-0.6%144.8M-4.29B-15.1M0.353.14144,80051,3821,858,5571,443,357
2021-04-12$40.05$37.0029.5%8.3%20.9%2.7%29.6%1.1%-0.2%102.8M-4.32B-15.1M0.262.31171,85445,0851,817,5921,408,040
2021-04-13$39.41$37.0029.8%8.4%21.6%3.5%29.7%0.4%-0.4%102.7M-3.94B-15.6M0.502.81120,81859,8531,876,6311,431,062
2021-04-14$39.85$37.0028.8%8.1%21.8%0.9%28.5%-0.0%-0.8%120.0M-4.30B-14.8M0.353.73218,94976,9351,909,3081,448,520
2021-04-15$38.75$37.0026.1%7.4%24.3%0.0%26.2%0.5%-0.2%93.7M-3.50B-15.1M0.385.60440,589166,3881,924,8751,473,089
2021-04-16$39.18$37.0024.8%7.1%22.8%0.0%25.1%1.0%0.1%100.3M-4.00B-15.0M0.385.82228,79686,2832,030,0961,530,648
2021-04-19$39.17$37.0025.4%7.2%22.6%1.4%25.4%0.9%0.1%97.6M-3.54B-15.5M0.492.90106,55952,1981,794,7081,401,877
2021-04-20$38.18$37.0027.5%7.9%22.9%6.5%27.7%0.8%-0.3%73.7M-2.98B-15.7M0.546.53193,205104,8251,822,1311,426,383
2021-04-21$38.75$37.0026.2%7.5%21.9%3.4%26.8%1.1%-0.5%98.2M-3.35B-16.0M0.436.50122,31553,2021,874,2781,465,476
2021-04-22$38.41$37.5026.7%7.6%22.3%5.1%27.9%1.3%-0.2%88.7M-3.14B-15.8M0.894.06108,12396,6801,899,1701,485,197
2021-04-23$39.19$37.5025.2%7.2%22.4%1.0%25.3%1.0%0.8%90.2M-3.68B-15.9M0.403.01189,48275,3371,915,0641,535,559
2021-04-26$39.51$37.5025.9%7.3%21.5%3.0%25.8%1.1%0.1%96.6M-3.75B-15.9M0.612.41110,12767,3281,830,1771,493,035
2021-04-27$39.89$38.0025.5%7.2%21.7%1.7%25.4%1.1%0.2%111.1M-4.03B-15.1M0.552.3384,50846,8501,861,7131,500,978
2021-04-28$40.15$38.0024.5%6.8%21.0%0.0%24.5%1.1%0.4%122.1M-4.17B-15.5M0.732.3693,55568,0651,882,2801,524,215
2021-04-29$41.09$38.0024.8%7.0%22.2%0.8%25.2%1.3%0.3%125.8M-4.73B-15.0M0.493.15205,12299,8151,876,3121,562,058
2021-04-30$40.55$38.0025.2%7.2%22.5%2.0%25.4%0.5%0.2%87.4M-4.32B-14.8M0.662.86112,52073,8411,883,3311,603,244