BAC Options History — February 2023

In February 2023, BAC traded between $34.13 and $36.84. ATM implied volatility averaged 23.8%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.4% (HV 20d: 19.3%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2023-02-03: Highest Volume — 220,264 contracts
  • 2023-02-08: Largest IV spike — 10.3% change
  • 2023-02-22: Highest IV Rank — 14.3%
  • 2023-02-22: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.40$34.13$36.84$36.08$34.36
Max Pain$34.89$33.00$35.00$33.00$35.00
ATM IV23.8%21.9%25.6%22.3%23.8%
Expected Move6.8%6.3%7.3%6.4%6.5%
HV 20d19.3%15.7%23.0%22.8%16.3%
HV 60d24.2%23.3%26.1%26.1%23.3%
IV Rank7.6%0.4%14.3%1.8%7.7%
IV Percentile4.2%0.4%11.1%0.4%4.8%
Term Structure0.2%-0.5%0.7%-0.4%-0.0%
VWIV24.1%22.1%27.9%22.9%22.9%
Skew 25d4.3%3.7%5.1%4.4%4.0%
Skew 10d8.1%6.4%9.5%8.8%7.2%
Call IV 25d22.1%20.3%23.8%20.3%22.1%
Put IV 25d26.4%24.7%28.4%24.7%26.0%
Bid-Ask Spread %2.031.622.862.862.11
Gamma HHI0.080.070.120.080.07
Net GEX14.4M-18.5M54.6M28.5M-9.1M
Net DEX-368.1M-1.38B577.4M-911.9M396.3M
Net VEX-20.1M-20.7M-19.5M-20.0M-19.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.341.100.910.57
Total Volume145,824.68469,280220,264165,41369,280
Total OI3,290,887.2113,154,0803,492,4943,197,8903,268,869

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$36.08$33.0022.3%6.4%22.8%1.8%22.9%4.4%-0.4%28.5M-911.9M-20.0M0.912.8686,57378,8401,513,0141,684,876
2023-02-02$36.00$35.0023.5%6.7%22.5%6.6%24.4%4.4%-0.5%23.5M-841.2M-20.1M0.571.93100,31057,0181,530,9511,706,967
2023-02-03$36.16$35.0023.4%6.7%22.4%6.1%23.3%3.9%-0.5%31.6M-1.01B-20.1M0.552.21142,45077,8141,547,1401,723,265
2023-02-06$36.36$35.0024.0%6.9%22.2%8.3%24.3%4.7%0.2%38.9M-1.03B-20.2M0.532.1869,71536,9691,533,1921,669,011
2023-02-07$36.84$35.0022.4%6.5%20.8%2.1%23.7%4.2%0.5%54.6M-1.38B-20.3M0.532.01121,07464,2271,563,7101,675,679
2023-02-08$36.50$35.0024.6%7.1%21.4%10.8%23.3%4.1%0.2%49.6M-1.17B-20.6M0.702.0473,10951,2871,591,5451,697,686
2023-02-09$35.77$35.0025.0%7.2%22.9%12.2%26.2%4.8%0.5%19.9M-594.2M-20.6M0.991.98110,240108,7721,601,8141,718,658
2023-02-10$35.56$35.0024.9%7.2%23.0%11.6%27.9%4.9%0.7%-6.5M-424.2M-20.7M1.091.8086,10394,0261,607,9851,754,272
2023-02-13$35.59$35.0024.3%7.0%21.2%9.6%25.7%5.0%0.5%18.0M-500.9M-20.5M0.881.8671,69063,2761,572,2361,726,903
2023-02-14$35.75$35.0022.3%6.4%19.9%1.8%22.3%4.4%0.6%30.3M-660.8M-20.2M0.691.6798,57768,4021,606,4861,749,742
2023-02-15$35.58$35.0021.9%6.3%16.1%0.4%23.1%4.0%0.6%27.0M-501.5M-20.1M0.341.6273,95325,2941,626,3211,778,129
2023-02-16$35.28$35.0023.1%6.6%16.1%4.9%23.1%3.7%0.3%16.7M-310.4M-20.2M1.101.8868,70975,3451,665,2791,783,207
2023-02-17$35.36$35.0023.0%6.5%15.7%4.6%22.1%3.7%0.3%11.2M-402.2M-20.3M0.631.75120,25775,8351,693,9361,798,558
2023-02-21$34.59$35.0024.6%7.2%16.9%10.6%25.7%5.1%0.2%-6.9M309.8M-20.1M0.972.1170,10367,8381,520,8331,633,247
2023-02-22$34.14$35.0025.6%7.3%17.5%14.3%24.9%4.6%-0.2%-18.5M577.4M-19.8M0.561.9365,95837,2401,545,7231,665,706
2023-02-23$34.33$35.0024.4%6.6%17.2%9.8%23.7%4.3%0.2%-12.8M452.6M-19.8M0.522.2485,23943,9451,569,4241,673,921
2023-02-24$34.13$35.0024.7%6.9%16.6%11.1%23.9%4.2%0.0%-11.3M538.7M-19.9M0.972.1864,51962,7601,600,2241,692,611
2023-02-27$34.22$35.0024.4%6.9%16.2%10.0%23.8%4.1%0.1%-10.0M462.6M-19.6M0.742.1559,57744,3451,570,0491,665,688
2023-02-28$34.36$35.0023.8%6.5%16.3%7.7%22.9%4.0%-0.0%-9.1M396.3M-19.5M0.572.1144,01325,2671,581,0901,687,779