BAC Options History — December 2022

In December 2022, BAC traded between $31.69 and $36.61. ATM implied volatility averaged 31.2%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.0% (HV 20d: 29.2%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2022-12-06: Highest Volume — 470,063 contracts
  • 2022-12-05: Largest IV spike — 15.9% change
  • 2022-12-12: Highest IV Rank — 38.9%
  • 2022-12-08: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.94$31.69$36.61$36.61$33.05
Max Pain$35.29$35.00$37.00$37.00$35.00
ATM IV31.2%25.0%33.8%26.2%32.0%
Expected Move9.3%7.9%10.0%8.5%9.6%
HV 20d29.2%26.8%34.1%27.3%26.8%
HV 60d34.4%32.1%36.5%34.5%32.1%
IV Rank28.1%1.6%38.9%6.5%31.3%
IV Percentile42.4%1.2%59.1%4.8%48.8%
Term Structure0.8%-1.3%4.5%0.3%-0.1%
VWIV32.2%27.7%34.9%30.2%33.4%
Skew 25d5.0%3.7%5.9%4.3%5.0%
Skew 10d9.6%7.3%11.3%9.0%10.0%
Call IV 25d29.2%23.5%32.8%24.7%29.7%
Put IV 25d34.1%27.2%38.7%28.9%34.6%
Bid-Ask Spread %1.911.622.382.381.96
Gamma HHI0.100.060.240.060.12
Net GEX-30.9M-58.2M3.8M-4.1M3.8M
Net DEX1.27B-304.0M2.05B-304.0M803.1M
Net VEX-20.0M-22.1M-19.0M-22.1M-19.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.511.721.310.69
Total Volume201,572.42987,840470,063248,864119,167
Total OI4,330,823.7624,145,5054,587,9574,210,3044,290,632

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$36.61$37.0026.2%8.5%27.3%6.5%30.2%4.3%0.3%-4.1M-304.0M-22.1M1.312.38107,757141,1072,050,3772,159,927
2022-12-02$36.05$37.0025.0%7.9%27.8%1.6%27.7%3.7%0.4%-58.0M8.8M-21.6M0.972.1597,98694,6472,094,4702,181,006
2022-12-05$34.20$36.0029.0%9.3%32.5%18.7%31.9%4.5%3.6%-29.1M1.01B-20.5M0.961.76168,218161,4482,068,3782,126,729
2022-12-06$32.97$36.0031.3%9.9%34.1%28.4%34.9%4.7%3.6%-44.0M1.71B-20.1M0.991.82235,868234,1952,119,3852,187,494
2022-12-07$32.78$35.0030.9%9.8%33.9%26.7%34.4%4.8%3.7%-41.3M1.76B-20.5M1.641.91118,289194,5302,182,7722,245,257
2022-12-08$32.34$35.0031.9%10.0%33.5%30.7%34.3%4.6%4.2%-45.8M1.92B-20.0M0.771.89136,455105,1792,224,5512,247,646
2022-12-09$32.36$35.0032.3%10.0%27.4%32.6%33.8%5.1%4.5%-40.2M1.91B-20.2M1.251.7183,680104,3752,260,4042,272,163
2022-12-12$32.70$35.0033.8%9.7%27.5%38.9%34.5%5.9%-0.9%-36.6M1.57B-20.2M0.781.6282,48764,2472,186,2852,219,896
2022-12-13$32.89$35.0031.9%9.1%27.7%30.8%31.9%4.9%-0.8%-36.1M1.49B-19.9M0.701.73122,37085,5102,220,2872,248,889
2022-12-14$32.22$35.0031.8%9.0%28.1%30.4%31.1%4.9%-0.5%-52.0M1.84B-19.3M1.721.6893,753161,3172,244,9672,266,356
2022-12-15$31.82$35.0032.4%9.2%28.2%32.8%32.2%5.3%-0.3%-58.2M1.95B-19.3M0.701.84104,80173,6862,279,4022,250,021
2022-12-16$31.69$35.0031.9%9.0%28.2%30.9%31.8%5.1%-0.6%-36.7M2.05B-19.0M1.321.9493,406123,3902,313,2142,274,743
2022-12-19$32.06$35.0033.0%9.4%28.8%35.4%32.4%5.6%-0.6%-30.9M1.42B-19.4M0.802.0677,75561,8972,113,3082,032,197
2022-12-20$32.28$35.0031.9%9.1%29.1%31.0%31.8%5.4%0.2%-26.8M1.27B-19.5M0.662.0369,84546,1862,133,0462,045,552
2022-12-21$32.63$35.0031.1%8.9%29.4%27.6%31.1%4.6%-1.3%-18.2M1.06B-19.8M1.481.8477,477114,5722,155,7202,056,989
2022-12-22$32.28$35.0032.7%9.4%29.2%34.2%32.4%5.5%0.1%-26.8M1.27B-19.8M1.352.2175,169101,4562,170,7752,069,812
2022-12-23$32.41$35.0031.6%9.0%29.1%29.6%31.4%5.3%0.7%-20.7M1.18B-19.6M0.961.9260,85658,5652,182,5222,080,464
2022-12-27$32.53$35.0031.5%9.5%28.7%29.2%31.8%5.0%0.3%-24.9M1.12B-19.5M0.511.8766,25733,9192,144,1172,056,677
2022-12-28$32.75$35.0032.3%9.8%28.9%32.7%32.5%5.1%-0.0%-15.7M915.7M-19.7M1.371.9581,422111,9372,171,0612,060,258
2022-12-29$33.14$35.0031.6%9.4%28.2%29.4%31.0%5.0%0.3%-6.1M738.7M-19.7M0.781.8749,28938,5512,185,7672,073,783
2022-12-30$33.05$35.0032.0%9.6%26.8%31.3%33.4%5.0%-0.1%3.8M803.1M-19.6M0.691.9670,51248,6552,200,5722,090,060