BAC Options History — July 2021

In July 2021, BAC traded between $36.78 and $41.50. ATM implied volatility averaged 26.1%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 5.4% (HV 20d: 31.5%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2021-07-14: Highest Volume — 627,900 contracts
  • 2021-07-19: Largest IV spike — 16.3% change
  • 2021-07-19: Highest IV Rank — 29.1%
  • 2021-07-19: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.92$36.78$41.50$41.50$38.28
Max Pain$39.95$39.00$41.00$41.00$39.00
ATM IV26.1%23.9%30.3%25.5%25.6%
Expected Move7.4%6.9%8.6%7.6%7.0%
HV 20d31.5%25.8%34.8%25.8%32.7%
HV 60d24.5%21.7%25.9%21.7%25.6%
IV Rank11.2%2.8%29.1%8.2%9.6%
IV Percentile14.0%2.4%32.9%10.3%14.3%
Term Structure0.1%-1.4%1.6%0.1%1.6%
VWIV26.1%24.3%31.0%26.5%24.5%
Skew 25d2.6%1.3%4.4%2.0%3.7%
Skew 10d7.1%3.5%10.9%4.9%10.3%
Call IV 25d25.7%23.8%29.4%25.1%24.0%
Put IV 25d28.2%25.8%33.5%27.1%27.7%
Bid-Ask Spread %2.611.987.922.012.32
Gamma HHI0.080.060.150.150.09
Net GEX34.5M-5.0M117.4M117.4M43.7M
Net DEX-1.36B-2.75B-411.1M-2.75B-1.24B
Net VEX-18.7M-19.6M-17.8M-18.1M-19.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.320.960.530.90
Total Volume260,262.667140,504627,900140,504258,003
Total OI3,418,303.7143,225,3753,669,9633,329,2153,547,407

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$41.50$41.0025.5%7.6%25.8%8.2%26.5%2.0%0.1%117.4M-2.75B-18.1M0.532.0191,81248,6921,763,4851,565,730
2021-07-02$41.15$41.0024.7%7.3%25.9%5.3%26.2%1.4%-0.0%64.6M-2.45B-17.8M0.461.98122,21956,6971,773,5481,581,252
2021-07-06$40.09$40.0026.3%7.5%27.2%11.2%25.8%1.6%-0.4%39.5M-1.77B-18.0M0.702.04166,162116,3381,683,5531,541,822
2021-07-07$39.84$40.0026.7%7.5%27.2%12.6%25.9%2.0%-0.4%41.3M-1.66B-18.0M0.652.04134,38887,1231,742,3181,590,459
2021-07-08$38.58$40.0029.7%8.2%28.8%23.4%28.8%3.3%-1.4%6.5M-871.6M-18.5M0.682.44198,094134,3021,764,9241,600,402
2021-07-09$40.11$40.0027.4%7.7%32.4%15.0%27.0%1.7%-0.6%56.5M-1.98B-18.6M0.322.81213,49468,3801,819,7431,636,019
2021-07-12$40.70$40.0026.7%7.5%32.9%12.7%26.2%1.3%-0.6%61.7M-2.32B-18.2M0.432.14182,94578,4601,709,9531,601,584
2021-07-13$40.07$40.0026.6%7.5%33.1%12.5%26.0%1.6%-0.7%48.8M-1.88B-18.3M0.822.35166,828136,4721,750,7261,635,777
2021-07-14$38.77$40.0024.4%6.9%34.8%4.6%24.5%2.3%-0.1%2.4M-991.0M-18.0M0.592.59396,113231,7871,784,3691,672,625
2021-07-15$38.83$40.0023.9%6.9%34.6%2.8%24.3%2.0%0.1%21.2M-1.15B-18.8M0.532.57224,129118,5191,905,6151,741,158
2021-07-16$37.82$40.0026.0%7.5%31.8%11.5%26.7%2.4%-0.1%-5.0M-411.1M-19.5M0.572.72218,053124,0801,925,9461,744,017
2021-07-19$36.78$40.0030.3%8.6%32.1%29.1%31.0%4.1%-0.2%5.0M-412.5M-18.9M0.822.61178,394146,9441,696,2791,588,294
2021-07-20$37.80$40.0026.1%7.5%32.8%11.6%26.9%3.4%0.6%21.6M-887.3M-19.6M0.497.92152,42474,5741,742,4031,646,039
2021-07-21$38.51$40.0025.4%7.3%33.4%9.0%25.8%2.3%-0.5%43.0M-1.38B-19.4M0.412.65149,02060,9301,766,1371,662,215
2021-07-22$37.92$40.0025.1%7.2%33.5%7.7%25.2%2.8%0.5%18.0M-920.0M-19.3M0.962.2196,54993,0061,779,5521,682,821
2021-07-23$37.59$40.0024.8%7.1%33.0%6.2%24.7%2.5%0.3%5.3M-731.3M-19.0M0.532.31124,77665,6771,799,2341,713,389
2021-07-26$38.14$40.0025.5%7.2%32.4%9.3%25.2%2.9%0.9%21.3M-1.10B-18.9M0.452.11115,34751,3911,690,5561,637,923
2021-07-27$37.92$40.0027.0%7.7%32.4%15.6%27.0%4.4%1.1%22.3M-990.9M-19.3M0.482.29111,74053,9801,722,4121,657,748
2021-07-28$38.27$39.0025.7%7.2%32.6%10.2%25.2%3.1%1.2%33.0M-1.18B-19.4M0.402.42162,38264,7041,761,0741,678,989
2021-07-29$38.75$39.0024.8%7.0%32.8%6.3%24.6%2.8%0.9%56.9M-1.54B-19.2M0.742.31109,22681,3621,786,5411,690,340
2021-07-30$38.28$39.0025.6%7.0%32.7%9.6%24.5%3.7%1.6%43.7M-1.24B-19.0M0.902.32135,771122,2321,830,9661,716,441