BAC Options History — November 2021

In November 2021, BAC traded between $44.67 and $48.48. ATM implied volatility averaged 25.2%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.9% (HV 20d: 22.3%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-11-26: Highest Volume — 359,661 contracts
  • 2021-11-26: Largest IV spike — 19.7% change
  • 2021-11-26: Highest IV Rank — 37.2%
  • 2021-11-30: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.91$44.67$48.48$47.86$44.67
Max Pain$44.00$42.00$45.00$42.00$45.00
ATM IV25.2%22.6%31.1%23.5%30.6%
Expected Move7.3%6.5%9.4%6.7%9.4%
HV 20d22.3%18.4%25.9%24.2%25.6%
HV 60d24.4%23.6%26.3%23.8%26.3%
IV Rank14.3%4.2%37.2%7.7%35.2%
IV Percentile23.9%3.2%73.0%6.3%67.9%
Term Structure0.1%-1.1%0.7%0.3%0.1%
VWIV26.0%22.9%34.1%24.1%34.1%
Skew 25d2.6%1.8%4.1%3.2%4.1%
Skew 10d5.5%2.6%10.3%6.8%10.3%
Call IV 25d24.7%22.0%30.6%22.7%29.7%
Put IV 25d27.2%24.5%34.5%25.9%33.8%
Bid-Ask Spread %2.271.713.512.352.50
Gamma HHI0.130.110.150.130.12
Net GEX99.4M52.7M131.5M103.5M60.4M
Net DEX-4.57B-5.71B-2.79B-5.31B-2.79B
Net VEX-19.7M-21.2M-18.8M-18.9M-21.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.300.750.680.39
Total Volume217,871.714116,755359,661136,379298,156
Total OI3,838,078.1433,535,5804,023,3183,760,0443,753,305

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$47.86$42.0023.5%6.7%24.2%7.7%24.1%3.2%0.3%103.5M-5.31B-18.9M0.682.3581,01155,3681,856,4871,903,557
2021-11-02$47.90$42.0024.3%7.0%23.4%10.7%25.0%2.9%-0.1%104.5M-5.22B-20.1M0.342.32160,45255,2381,877,2061,922,243
2021-11-03$48.48$42.0023.9%6.8%23.4%9.4%24.8%2.4%0.1%130.1M-5.71B-19.5M0.572.74135,61977,4961,927,9051,934,274
2021-11-04$47.21$43.0024.5%7.1%25.8%11.5%24.8%2.3%0.1%94.4M-4.90B-19.7M0.382.41188,30272,2181,937,1721,953,675
2021-11-05$46.99$43.0024.3%7.1%25.9%10.7%24.8%2.2%0.3%127.7M-4.85B-19.5M0.582.30125,53672,8541,984,4101,959,710
2021-11-08$47.35$43.0025.0%7.2%25.2%13.4%25.2%2.5%0.1%102.9M-5.01B-19.8M0.441.96122,44853,8341,903,4281,913,867
2021-11-09$46.99$44.0025.2%7.3%25.0%14.3%25.4%2.4%0.3%101.0M-4.80B-19.7M0.482.12113,14254,7291,938,9701,929,794
2021-11-10$47.29$44.0025.7%7.4%24.7%16.3%25.9%2.4%0.1%110.5M-5.02B-19.8M0.411.83144,05859,1141,962,0491,947,286
2021-11-11$47.68$44.0024.2%7.0%20.3%10.4%25.0%2.1%0.3%131.5M-5.33B-19.3M0.651.7290,56259,1561,975,1371,961,943
2021-11-12$46.80$44.0023.8%6.9%18.6%8.8%24.2%2.3%0.4%87.0M-4.69B-19.4M0.661.79112,66774,7541,983,1741,979,126
2021-11-15$47.11$44.0023.1%6.6%18.7%6.2%22.9%2.5%0.2%105.4M-4.97B-18.8M0.661.71105,23169,8301,942,9911,940,336
2021-11-16$47.10$45.0022.6%6.5%18.7%4.2%23.5%2.5%0.7%110.0M-4.90B-19.0M0.632.1171,73845,0171,991,7571,986,001
2021-11-17$46.50$44.0023.5%6.7%18.5%7.7%23.5%1.8%0.3%94.5M-4.52B-18.8M0.751.86108,50381,6461,985,5161,980,579
2021-11-18$46.40$45.0023.6%6.7%18.4%7.9%23.7%2.2%0.1%92.2M-4.36B-19.2M0.611.9181,11249,5671,998,6401,993,549
2021-11-19$45.39$45.0025.1%7.2%18.8%13.7%25.6%2.9%-0.2%52.7M-3.58B-19.6M0.662.33197,360130,9982,015,1012,008,217
2021-11-22$46.44$45.0025.5%7.3%20.8%15.5%26.2%1.9%0.0%89.2M-3.86B-19.9M0.392.36168,51165,4831,784,7901,750,790
2021-11-23$47.51$45.0026.1%7.7%22.1%17.9%27.0%2.5%-0.6%112.1M-4.61B-19.4M0.432.19212,74291,4391,828,6261,776,244
2021-11-24$47.67$45.0026.0%7.6%21.0%17.3%27.1%1.8%0.0%124.2M-4.64B-20.3M0.302.46229,22068,5051,857,7941,815,776
2021-11-26$45.93$45.0031.1%9.1%24.5%37.2%32.6%3.9%-1.1%76.9M-3.49B-21.2M0.693.15213,174146,4871,923,7401,829,839
2021-11-29$45.75$45.0027.9%8.4%24.4%24.7%29.9%3.6%0.4%76.2M-3.46B-20.2M0.443.51161,13870,8911,879,4351,805,202
2021-11-30$44.67$45.0030.6%9.4%25.6%35.2%34.1%4.1%0.1%60.4M-2.79B-21.0M0.392.50214,15783,9991,920,6801,832,625