BAC Options History — June 2021 In June 2021, BAC traded between $38.84 and $43.31. ATM implied volatility averaged 25.8%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.4% (HV 20d: 19.3%). Max pain ranged from $32.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.53.
Notable Days 2021-06-02 : Highest Volume — 1,371,123 contracts2021-06-04 : Largest IV drop — 10.0% change2021-06-18 : Highest IV Rank — 21.4%2021-06-18 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $41.53 $38.84 $43.31 $42.88 $41.17 Max Pain $39.82 $32.00 $41.00 $32.00 $41.00 ATM IV 25.8% 23.4% 30.0% 24.7% 26.4% Expected Move 7.5% 6.5% 8.6% 6.6% 7.9% HV 20d 19.3% 14.0% 25.8% 16.4% 25.8% HV 60d 20.7% 18.8% 21.7% 21.3% 21.7% IV Rank 7.7% 0.3% 21.4% 3.6% 11.4% IV Percentile 9.9% 0.4% 23.8% 2.0% 15.9% Term Structure 0.3% -1.0% 2.5% -0.5% -0.2% VWIV 26.6% 22.4% 30.5% 22.9% 27.5% Skew 25d 1.9% 0.8% 3.2% 2.1% 1.4% Skew 10d 4.5% 2.2% 6.4% 4.6% 3.5% Call IV 25d 25.5% 22.5% 29.9% 24.4% 26.1% Put IV 25d 27.4% 23.7% 32.6% 26.6% 27.6% Bid-Ask Spread % 2.54 1.89 9.33 1.97 2.06 Gamma HHI 0.10 0.07 0.18 0.10 0.12 Net GEX 75.4M 2.0M 121.6M 111.8M 86.7M Net DEX -2.60B -4.59B -724.0M -4.59B -2.51B Net VEX -16.7M -18.0M -14.1M -14.1M -17.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.07 0.80 0.52 0.51 Total Volume 313,779.5 136,276 1,371,123 198,490 191,827 Total OI 3,332,237.727 3,078,959 3,731,743 3,330,210 3,283,661
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2021-06-01 $42.88 $32.00 24.7% 6.6% 16.4% 3.6% 22.9% 2.1% -0.5% 111.8M -4.59B -14.1M 0.52 1.97 130,482 68,008 1,783,225 1,546,985 2021-06-02 $42.97 $32.00 25.1% 6.5% 16.3% 4.9% 22.4% 2.1% -0.7% 121.6M -4.52B -14.9M 0.07 2.23 1,275,827 95,296 1,796,332 1,578,109 2021-06-03 $43.30 $40.00 26.0% 7.8% 15.9% 7.0% 28.0% 3.1% -0.4% 115.7M -3.33B -16.1M 0.51 2.00 221,450 112,888 1,521,224 1,614,170 2021-06-04 $43.31 $40.00 23.4% 7.3% 15.6% 0.3% 25.8% 3.2% -1.0% 114.6M -3.49B -15.2M 0.59 3.31 159,186 93,863 1,586,398 1,669,270 2021-06-07 $43.11 $40.00 23.9% 7.3% 15.6% 1.8% 26.2% 2.6% 1.8% 100.9M -3.26B -16.6M 0.72 2.08 79,356 56,920 1,567,401 1,632,448 2021-06-08 $42.99 $40.00 23.9% 7.3% 15.7% 1.5% 25.8% 1.7% 1.6% 105.4M -3.27B -15.5M 0.64 1.92 127,176 81,758 1,594,056 1,669,605 2021-06-09 $42.34 $40.00 25.0% 7.7% 15.2% 4.4% 26.8% 2.2% 2.5% 77.6M -2.72B -16.7M 0.57 2.08 183,357 104,962 1,637,417 1,710,809 2021-06-10 $41.77 $40.00 24.0% 7.3% 15.8% 1.9% 25.6% 1.2% 1.7% 60.7M -2.42B -16.2M 0.46 2.10 181,296 82,855 1,687,723 1,751,582 2021-06-11 $41.75 $41.00 23.4% 7.1% 14.0% 0.3% 24.9% 1.2% 2.0% 109.9M -2.31B -16.7M 0.67 2.18 142,790 95,501 1,767,640 1,771,218 2021-06-14 $41.23 $41.00 25.2% 7.4% 14.3% 5.0% 25.8% 1.5% -0.3% 54.6M -2.14B -16.5M 0.43 1.89 156,937 67,561 1,669,036 1,722,464 2021-06-15 $41.43 $41.00 25.5% 7.4% 14.0% 6.1% 26.1% 1.5% -0.6% 67.2M -2.31B -16.2M 0.57 1.93 145,055 83,317 1,723,671 1,752,802 2021-06-16 $41.75 $41.00 26.3% 7.5% 14.2% 9.1% 26.8% 0.8% -0.2% 86.5M -2.55B -16.6M 0.77 3.03 196,968 150,703 1,735,961 1,784,879 2021-06-17 $39.81 $41.00 27.4% 7.9% 21.5% 12.9% 27.8% 2.3% -0.2% 2.0M -1.25B -17.2M 0.53 2.33 316,338 166,452 1,753,662 1,835,552 2021-06-18 $38.84 $41.00 30.0% 8.6% 22.7% 21.4% 30.5% 2.7% 0.1% 6.5M -724.0M -18.0M 0.80 2.18 251,451 200,463 1,860,590 1,871,153 2021-06-21 $39.66 $41.00 27.6% 8.0% 23.7% 13.8% 28.1% 2.3% -0.6% 31.1M -1.54B -18.0M 0.47 2.30 182,859 86,367 1,596,946 1,482,013 2021-06-22 $40.05 $40.00 26.8% 7.7% 24.0% 11.0% 27.2% 1.5% 0.0% 44.3M -1.82B -17.6M 0.55 2.31 157,311 86,022 1,645,352 1,518,112 2021-06-23 $40.33 $40.00 26.2% 7.5% 23.8% 9.4% 26.8% 1.5% -0.0% 51.9M -2.04B -17.7M 0.62 2.23 94,303 58,011 1,679,882 1,559,550 2021-06-24 $40.90 $41.00 27.4% 8.0% 24.5% 13.2% 28.1% 1.2% -0.1% 66.4M -2.45B -17.7M 0.41 2.22 169,552 69,525 1,693,003 1,579,238 2021-06-25 $41.74 $41.00 25.8% 7.5% 25.5% 7.9% 26.4% 2.2% 1.1% 92.2M -3.10B -17.4M 0.39 9.33 234,054 90,921 1,708,434 1,602,443 2021-06-28 $41.45 $41.00 26.7% 8.0% 25.6% 11.0% 28.1% 1.5% -0.0% 81.5M -2.67B -17.4M 0.42 2.01 123,105 51,833 1,646,995 1,505,940 2021-06-29 $40.87 $41.00 26.3% 7.8% 25.6% 10.9% 27.6% 1.1% -0.1% 69.3M -2.29B -17.5M 0.36 2.15 205,779 73,464 1,685,851 1,526,428 2021-06-30 $41.17 $41.00 26.4% 7.9% 25.8% 11.4% 27.5% 1.4% -0.2% 86.7M -2.51B -17.8M 0.51 2.06 127,088 64,739 1,727,000 1,556,661
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