BAC Options History — October 2021

In October 2021, BAC traded between $43.12 and $48.08. ATM implied volatility averaged 25.0%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.7% (HV 20d: 26.7%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-10-15: Highest Volume — 505,032 contracts
  • 2021-10-14: Largest IV drop — 16.9% change
  • 2021-10-04: Highest IV Rank — 30.2%
  • 2021-10-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.62$43.12$48.08$43.23$47.91
Max Pain$41.12$40.00$42.00$40.50$42.00
ATM IV25.0%21.5%30.5%28.6%22.9%
Expected Move7.2%6.2%8.7%8.7%6.7%
HV 20d26.7%23.8%30.9%28.5%24.1%
HV 60d24.6%22.9%26.7%26.7%24.6%
IV Rank10.5%0.0%30.2%22.4%5.5%
IV Percentile19.5%0.0%54.8%42.9%3.6%
Term Structure0.1%-0.5%1.2%-0.5%1.0%
VWIV26.1%22.4%32.7%31.5%24.1%
Skew 25d3.5%1.9%5.9%5.9%2.4%
Skew 10d8.1%4.1%14.1%12.3%6.0%
Call IV 25d23.8%21.0%28.1%26.2%22.0%
Put IV 25d27.3%23.6%33.8%32.1%24.5%
Bid-Ask Spread %2.442.043.072.442.51
Gamma HHI0.140.110.240.110.21
Net GEX108.1M77.2M169.4M84.6M169.4M
Net DEX-4.66B-5.86B-3.29B-3.44B-5.52B
Net VEX-20.3M-22.3M-18.8M-22.3M-19.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.361.050.830.41
Total Volume257,148.333164,268505,032172,586219,392
Total OI3,767,385.6673,525,1823,920,2643,702,7793,918,578

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$43.23$40.5028.6%8.7%28.5%22.4%31.5%5.9%-0.5%84.6M-3.44B-22.3M0.832.4494,52978,0571,852,3581,850,421
2021-10-04$43.40$40.0030.5%8.6%28.4%30.2%32.7%5.7%-0.4%77.2M-3.52B-21.4M1.052.94108,845114,0831,807,2611,779,766
2021-10-05$44.35$40.0029.1%8.2%29.2%24.3%30.2%5.4%-0.1%96.9M-4.15B-21.3M0.722.63187,372135,1971,828,4851,800,742
2021-10-06$44.17$40.0029.9%8.4%28.5%27.7%29.5%5.1%-0.2%97.7M-4.11B-21.1M0.692.59122,12984,4761,853,2781,844,820
2021-10-07$44.08$40.0027.7%7.8%28.5%18.4%28.6%4.6%-0.3%97.0M-3.96B-21.6M0.792.61130,976103,9851,886,3641,901,307
2021-10-08$44.48$41.0027.4%7.8%27.1%17.3%28.5%3.6%-0.3%137.8M-4.42B-20.9M0.872.22141,662122,7371,920,5871,914,173
2021-10-11$43.86$41.0027.9%7.9%27.7%19.1%30.5%4.2%-0.2%92.2M-3.78B-21.6M0.853.07111,32194,2941,864,0601,853,478
2021-10-12$43.41$41.0028.5%8.0%26.1%21.9%29.3%4.3%-0.1%89.6M-3.50B-21.4M0.952.8092,67687,6041,900,4651,872,743
2021-10-13$43.12$41.0027.1%7.8%26.3%16.1%27.1%4.1%-0.2%86.0M-3.29B-21.3M0.742.04156,874116,0441,926,0801,897,372
2021-10-14$44.99$41.0022.6%6.5%29.7%0.0%24.1%3.6%0.3%144.6M-4.80B-19.7M0.602.09295,913176,1611,948,3051,926,184
2021-10-15$46.45$41.0022.2%6.4%30.9%0.0%22.7%2.3%0.0%92.8M-5.86B-18.8M0.532.29329,608175,4241,964,7441,955,520
2021-10-18$46.31$41.0022.8%6.5%26.6%2.3%23.4%2.7%-0.3%100.0M-4.91B-19.0M0.792.58173,274136,5781,772,0211,753,161
2021-10-19$46.40$41.0022.1%6.3%26.7%0.0%22.4%2.9%0.1%95.1M-4.87B-19.7M0.712.49100,83371,4061,807,3861,817,817
2021-10-20$47.07$41.0022.2%6.4%25.9%0.5%23.0%2.8%0.0%115.9M-5.33B-18.9M0.792.46170,026133,6451,881,5791,881,024
2021-10-21$46.79$42.0021.7%6.2%24.5%0.0%22.5%2.7%-0.3%105.8M-5.14B-19.5M0.602.20137,21982,3991,915,5471,911,687
2021-10-22$47.57$42.0021.7%6.2%24.7%0.0%22.4%2.6%-0.2%131.9M-5.57B-19.7M0.592.08132,12478,5811,920,9721,927,931
2021-10-25$47.54$42.0021.5%6.2%23.8%0.0%23.4%3.1%1.0%110.7M-5.39B-19.6M0.682.04111,27475,5301,868,4201,868,996
2021-10-26$48.08$42.0022.2%6.5%23.8%2.5%23.5%2.1%1.1%118.8M-5.75B-19.3M0.362.20213,42677,5801,892,3791,898,804
2021-10-27$47.17$42.0023.0%6.8%25.2%5.8%24.4%1.9%1.2%106.3M-5.13B-19.6M0.832.49143,441119,1521,926,7821,919,141
2021-10-28$47.68$42.0023.1%6.7%24.4%6.0%25.3%2.1%1.0%119.9M-5.35B-19.8M0.592.37103,30760,9611,944,6111,939,750
2021-10-29$47.91$42.0022.9%6.7%24.1%5.5%24.1%2.4%1.0%169.4M-5.52B-19.7M0.412.51155,59563,7971,963,5751,955,003