BAC Options History — February 2022

In February 2022, BAC traded between $43.33 and $49.33. ATM implied volatility averaged 29.6%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.0% (HV 20d: 29.6%). Max pain ranged from $43.00 to $48.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2022-02-04: Highest Volume — 449,556 contracts
  • 2022-02-28: Largest IV spike — 14.4% change
  • 2022-02-28: Highest IV Rank — 100.0%
  • 2022-02-28: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.86$43.33$49.33$47.08$44.02
Max Pain$45.53$43.00$48.00$46.00$47.00
ATM IV29.6%25.8%35.8%26.9%35.8%
Expected Move8.6%7.4%10.7%7.8%10.7%
HV 20d29.6%26.9%33.9%32.1%33.9%
HV 60d29.0%27.6%30.4%27.6%30.4%
IV Rank58.9%31.0%100.0%39.4%100.0%
IV Percentile72.0%36.5%100.0%53.6%100.0%
Term Structure0.0%-0.5%0.6%-0.2%-0.4%
VWIV30.0%26.5%38.1%26.9%38.1%
Skew 25d5.8%3.8%8.4%5.0%8.2%
Skew 10d11.8%6.9%19.0%10.4%17.3%
Call IV 25d27.7%24.4%32.6%25.2%32.6%
Put IV 25d33.5%28.2%40.8%30.1%40.8%
Bid-Ask Spread %2.872.074.722.603.08
Gamma HHI0.130.080.180.110.09
Net GEX67.6M-5.5M121.5M81.5M21.4M
Net DEX-2.01B-3.65B-26.0M-2.29B-487.2M
Net VEX-23.9M-24.6M-22.9M-24.0M-24.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.340.950.380.41
Total Volume272,917.684162,759449,556231,348308,576
Total OI3,000,104.9472,823,4603,216,2782,874,2272,944,996

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$47.08$46.0026.9%7.8%32.1%39.4%26.9%5.0%-0.2%81.5M-2.29B-24.0M0.382.60167,82463,5241,568,7211,305,506
2022-02-02$46.90$46.0026.1%7.4%27.8%33.7%27.7%5.0%0.2%86.4M-2.18B-24.0M0.732.0793,87868,8811,593,0611,326,494
2022-02-03$46.43$43.0029.1%8.4%27.2%55.2%28.4%5.9%-0.5%71.6M-1.92B-23.7M0.623.17116,79672,7221,608,9581,340,835
2022-02-04$48.49$43.0027.4%8.1%30.9%42.5%28.5%4.6%0.1%117.4M-3.26B-23.8M0.342.72334,712114,8441,618,7851,356,191
2022-02-07$48.46$44.0028.1%8.1%29.7%48.2%28.6%5.3%0.3%105.3M-3.08B-23.5M0.492.61140,79768,8961,602,3881,314,928
2022-02-08$49.30$44.0026.7%7.8%30.1%37.7%27.6%4.3%0.4%120.9M-3.65B-23.4M0.343.17231,08077,9801,629,2091,335,269
2022-02-09$49.33$44.0025.8%7.6%30.0%31.0%27.0%3.8%0.4%121.5M-3.63B-23.3M0.592.43131,45777,2471,646,8461,358,702
2022-02-10$48.94$44.0027.6%8.1%30.0%44.6%28.5%3.8%0.6%109.2M-3.33B-24.0M0.412.81242,77598,5801,667,5921,384,418
2022-02-11$47.74$45.0030.0%8.7%31.3%62.1%30.7%6.0%0.2%82.5M-2.42B-24.4M0.662.98221,633147,1061,709,6531,409,050
2022-02-14$47.29$45.0031.3%9.0%30.6%71.4%30.7%5.8%-0.5%63.8M-2.13B-24.6M0.622.76156,41897,6391,647,3601,378,563
2022-02-15$47.60$45.0028.2%8.1%27.8%49.1%28.8%4.8%-0.0%75.9M-2.33B-24.3M0.582.59153,12589,3721,668,2351,404,518
2022-02-16$47.73$46.0026.9%7.7%27.4%39.5%26.5%4.2%0.2%82.0M-2.26B-24.5M0.592.75116,32668,6961,686,8291,418,666
2022-02-17$46.12$47.0030.7%8.8%29.3%67.2%30.7%6.2%-0.1%37.2M-1.23B-24.3M0.633.01179,417112,2351,720,5361,436,034
2022-02-18$46.05$47.0030.9%8.8%28.2%68.3%31.5%7.0%0.2%38.2M-1.22B-24.1M0.952.76147,975140,2681,754,5991,461,679
2022-02-22$45.59$47.0031.4%9.3%27.8%71.9%30.4%7.4%-0.1%29.9M-1.06B-23.6M0.784.72126,03898,0101,523,2731,300,187
2022-02-23$44.69$48.0033.3%10.0%26.9%86.0%34.0%7.6%-0.2%16.5M-590.1M-23.8M0.872.6694,69182,5891,550,3121,353,171
2022-02-24$43.33$47.0035.1%10.1%28.7%99.4%35.9%8.4%-0.4%-5.5M-26.0M-22.9M0.642.96254,197161,8951,549,6661,370,082
2022-02-25$45.16$47.0031.3%9.1%32.7%71.5%30.1%6.2%-0.2%29.2M-1.06B-24.3M0.442.66227,32499,9131,648,2911,408,391
2022-02-28$44.02$47.0035.8%10.7%33.9%100.0%38.1%8.2%-0.4%21.4M-487.2M-24.0M0.413.08218,77489,8021,581,4201,363,576