BAC Options History — January 2023

In January 2023, BAC traded between $33.30 and $35.53. ATM implied volatility averaged 27.6%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.4% (HV 20d: 20.3%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2023-01-13: Highest Volume — 580,114 contracts
  • 2023-01-13: Largest IV drop — 23.0% change
  • 2023-01-05: Highest IV Rank — 39.4%
  • 2023-01-03: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.41$33.30$35.53$33.53$35.36
Max Pain$33.45$33.00$35.00$35.00$33.00
ATM IV27.6%21.8%33.9%33.4%24.3%
Expected Move8.0%6.5%10.7%10.7%6.9%
HV 20d20.3%16.2%27.4%27.4%22.3%
HV 60d27.6%25.2%32.0%32.0%25.8%
IV Rank17.3%0.0%39.4%37.1%9.3%
IV Percentile20.9%0.0%59.9%57.5%2.0%
Term Structure-0.3%-1.2%0.9%-0.7%-0.2%
VWIV28.0%23.0%37.2%37.2%24.5%
Skew 25d4.2%3.0%5.0%4.9%4.9%
Skew 10d8.1%5.6%9.9%9.9%9.9%
Call IV 25d25.6%20.7%32.0%31.4%21.5%
Put IV 25d29.9%24.0%36.3%36.3%26.4%
Bid-Ask Spread %1.971.662.421.962.14
Gamma HHI0.080.060.190.070.07
Net GEX9.2M-29.9M61.1M-9.3M11.3M
Net DEX22.3M-786.9M855.2M490.6M-426.0M
Net VEX-19.2M-19.9M-18.1M-19.6M-19.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.421.470.470.98
Total Volume218,359.9588,665580,114177,56988,665
Total OI3,930,581.152,930,3904,663,8884,190,1733,164,858

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$33.53$35.0033.4%10.7%27.4%37.1%37.2%4.9%-0.7%-9.3M490.6M-19.6M0.471.96120,88456,6852,152,2762,037,897
2023-01-04$34.03$35.0033.6%10.6%21.1%37.9%37.2%4.5%-1.2%3.9M136.9M-19.9M0.591.94154,16591,0292,186,5742,062,187
2023-01-05$34.05$33.0033.9%9.4%16.2%39.4%33.1%4.1%-0.8%3.3M159.0M-19.9M0.932.0257,84553,5122,200,6112,084,422
2023-01-06$34.47$33.0032.4%9.0%16.3%32.8%30.4%4.1%-0.7%25.2M-105.7M-19.7M0.421.96116,83148,4942,215,3852,101,081
2023-01-09$33.80$33.0032.9%9.2%17.2%35.1%32.1%4.1%-0.5%-6.7M411.1M-19.4M0.901.7485,48876,6482,187,5762,076,182
2023-01-10$34.03$33.0032.3%9.1%17.3%32.7%31.6%3.9%-0.6%-2.5M221.1M-19.3M1.261.8446,82958,8072,221,4402,103,082
2023-01-11$34.30$33.0032.3%9.0%17.2%32.6%31.2%4.3%-1.0%3.0M43.6M-19.3M1.471.6692,243135,9402,234,6982,119,145
2023-01-12$34.41$34.0029.9%8.5%17.1%22.4%29.1%3.2%-0.5%8.2M-21.3M-19.2M0.971.90144,738139,8742,270,8882,155,546
2023-01-13$35.31$34.0023.0%6.7%16.8%0.0%23.6%3.0%0.6%49.3M-786.9M-18.8M0.611.73360,542219,5722,337,4682,219,462
2023-01-17$34.63$34.0025.0%7.2%17.9%7.8%25.7%3.8%-0.6%18.6M-51.1M-18.6M0.872.03145,570127,1412,278,2272,147,988
2023-01-18$33.59$34.0025.8%7.4%21.6%10.9%26.0%4.1%-0.5%-20.3M762.7M-18.2M0.781.86183,688144,0102,316,7022,197,005
2023-01-19$33.30$34.0027.2%7.8%21.7%16.5%28.2%4.9%-0.8%-29.9M855.2M-18.1M0.921.73185,349171,1632,350,3462,192,157
2023-01-20$33.73$33.0024.4%7.1%22.0%5.6%25.4%4.5%-0.4%-11.2M515.7M-18.5M0.851.77130,201110,0952,411,2902,252,598
2023-01-23$34.31$33.0024.6%7.0%22.4%6.0%24.0%4.5%0.6%2.6M75.7M-18.6M0.612.04124,97675,6491,376,6261,553,764
2023-01-24$34.42$33.0024.2%7.0%21.9%4.7%23.8%4.5%0.9%11.6M2.8M-18.7M0.622.1980,17349,8501,417,2311,585,351
2023-01-25$34.80$33.0023.5%7.0%22.1%2.0%25.0%4.4%0.5%20.9M-220.6M-19.2M0.442.10112,86849,1811,442,3081,605,166
2023-01-26$35.20$33.0023.3%6.8%22.2%1.0%23.9%4.1%0.6%32.8M-502.9M-19.5M0.832.1396,87080,0951,475,6311,625,109
2023-01-27$35.53$33.0021.8%6.5%22.3%0.0%23.0%3.8%0.6%61.1M-708.4M-19.5M0.652.24129,48483,7261,495,2841,654,945
2023-01-30$35.31$33.0025.1%7.1%22.4%12.5%25.0%5.0%-0.3%11.2M-405.6M-19.8M1.002.4269,09269,2271,468,5511,634,566
2023-01-31$35.36$33.0024.3%6.9%22.3%9.3%24.5%4.9%-0.2%11.3M-426.0M-19.9M0.982.1444,76143,9041,496,3891,668,469