BAC Options History — May 2021

In May 2021, BAC traded between $40.64 and $42.75. ATM implied volatility averaged 25.9%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.8% (HV 20d: 20.1%). Max pain ranged from $30.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2021-05-12: Highest Volume — 350,776 contracts
  • 2021-05-12: Largest IV spike — 14.8% change
  • 2021-05-12: Highest IV Rank — 18.9%
  • 2021-05-12: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.00$40.64$42.75$40.64$42.44
Max Pain$31.95$30.00$38.00$38.00$32.00
ATM IV25.9%23.3%31.5%25.3%23.3%
Expected Move7.3%6.2%8.9%7.0%6.2%
HV 20d20.1%16.1%22.8%22.3%16.1%
HV 60d22.8%21.3%23.5%23.2%21.3%
IV Rank4.3%0.0%18.9%2.1%0.0%
IV Percentile4.4%0.0%26.2%2.0%0.0%
Term Structure0.7%-0.4%6.1%-0.1%1.1%
VWIV26.1%22.4%30.6%24.9%22.4%
Skew 25d2.7%0.4%9.1%0.4%1.9%
Skew 10d5.4%1.4%11.6%1.4%4.1%
Call IV 25d25.1%20.6%30.2%25.5%22.9%
Put IV 25d27.8%24.9%34.1%25.9%24.9%
Bid-Ask Spread %2.671.867.972.882.25
Gamma HHI0.110.100.170.120.17
Net GEX109.7M67.1M147.7M108.6M147.7M
Net DEX-4.65B-5.21B-4.05B-4.23B-4.36B
Net VEX-15.3M-16.6M-14.5M-15.2M-14.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.401.070.700.56
Total Volume198,185.3121,460350,776178,972179,181
Total OI3,494,726.63,205,4093,703,0583,369,8753,422,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$40.64$38.0025.3%7.0%22.3%2.1%24.9%0.4%-0.1%108.6M-4.23B-15.2M0.702.88105,16473,8081,842,6291,527,246
2021-05-04$40.89$38.0027.3%7.7%22.3%7.6%28.2%1.9%-0.2%103.7M-4.33B-15.6M0.412.80216,14987,8381,861,5981,562,072
2021-05-05$41.47$38.0025.9%7.3%22.6%3.9%26.4%2.0%-0.2%123.4M-4.83B-14.8M0.402.35133,44053,7091,898,9241,588,094
2021-05-06$41.92$30.0026.2%7.4%22.5%4.5%26.9%2.1%-0.4%132.6M-5.03B-15.2M0.442.84129,64157,0511,915,2141,609,324
2021-05-07$42.17$30.0025.0%7.3%22.5%1.3%25.8%1.8%-0.1%138.1M-5.21B-14.9M0.621.99142,15687,5881,917,3841,630,727
2021-05-10$42.31$30.0025.9%7.5%22.5%3.8%26.8%2.4%0.8%110.6M-5.04B-14.9M0.602.13126,67176,1351,855,0221,599,957
2021-05-11$41.55$30.0027.5%7.8%22.7%8.0%27.6%2.8%-0.1%99.9M-4.61B-14.8M0.823.32109,81690,5851,883,0241,630,963
2021-05-12$41.23$30.0031.5%8.9%22.8%18.9%30.6%4.0%-0.4%93.8M-4.27B-16.6M0.492.37235,064115,7121,899,2351,639,428
2021-05-13$42.07$30.0028.3%8.0%20.8%10.4%28.8%3.7%-0.0%115.5M-4.89B-15.4M0.592.88115,81768,7801,930,2681,673,278
2021-05-14$42.38$30.0025.3%7.3%20.6%2.3%25.8%2.1%0.5%129.7M-5.07B-15.5M0.602.13100,23960,1881,938,4141,701,472
2021-05-17$42.75$30.0026.2%7.5%20.6%4.5%27.5%3.1%0.2%108.1M-5.16B-14.5M0.921.86110,315101,5231,869,3091,640,164
2021-05-18$42.43$30.0026.0%7.5%18.0%4.0%26.5%2.7%0.5%109.4M-5.00B-15.1M0.762.0868,95252,5081,910,1751,695,146
2021-05-19$41.83$31.0027.0%7.7%18.9%6.7%27.4%3.4%0.8%95.2M-4.48B-16.4M0.652.02108,43470,6901,912,2921,709,384
2021-05-20$42.00$32.0025.0%7.1%18.3%1.4%25.2%2.2%2.4%103.9M-4.66B-16.3M0.507.97108,21654,3681,940,2201,721,870
2021-05-21$42.49$32.0025.1%7.1%17.6%1.8%25.3%2.1%0.8%134.6M-5.01B-16.1M0.421.96154,86865,7651,961,8961,741,162
2021-05-24$42.74$32.0023.8%6.7%17.5%0.0%23.6%9.1%6.1%100.3M-4.46B-15.6M0.872.1892,10780,5241,739,3771,466,032
2021-05-25$42.09$32.0025.3%7.0%18.6%3.9%24.8%2.3%0.9%77.8M-4.05B-15.4M1.072.1992,30098,9501,773,9111,521,508
2021-05-26$42.10$32.0024.3%6.6%18.6%1.5%23.5%2.2%0.9%67.1M-4.07B-14.7M0.612.0790,90055,4061,793,8601,566,953
2021-05-27$42.42$32.0023.8%6.5%17.0%0.0%22.9%2.0%0.5%93.5M-4.36B-14.6M0.683.17115,14778,0011,822,1641,582,016
2021-05-28$42.44$32.0023.3%6.2%16.1%0.0%22.4%1.9%1.1%147.7M-4.36B-14.5M0.562.25115,18563,9961,829,5361,593,284