BAC Options History — June 2023 In June 2023, BAC traded between $27.70 and $29.55. ATM implied volatility averaged 25.5%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.6% (HV 20d: 22.9%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.71.
Notable Days 2023-06-02 : Highest Volume — 383,259 contracts2023-06-20 : Largest IV spike — 10.3% change2023-06-28 : Highest IV Rank — 19.9%2023-06-28 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $28.75 $27.70 $29.55 $27.80 $28.84 Max Pain $29.10 $29.00 $30.00 $30.00 $29.00 ATM IV 25.5% 23.2% 27.7% 26.2% 25.1% Expected Move 7.7% 7.1% 8.3% 7.6% 7.6% HV 20d 22.9% 19.4% 26.2% 26.1% 22.2% HV 60d 28.5% 25.2% 34.1% 33.4% 25.2% IV Rank 12.3% 4.8% 19.9% 14.6% 10.9% IV Percentile 18.3% 4.0% 34.5% 18.3% 20.6% Term Structure 0.2% -1.4% 2.7% -0.1% -0.8% VWIV 27.1% 25.3% 30.8% 27.6% 26.9% Skew 25d 3.8% 2.8% 5.5% 5.5% 2.8% Skew 10d 8.2% 5.5% 11.7% 11.7% 5.9% Call IV 25d 24.3% 22.1% 27.0% 24.7% 25.0% Put IV 25d 28.1% 25.2% 31.0% 30.3% 27.8% Bid-Ask Spread % 2.09 1.54 6.98 2.07 2.09 Gamma HHI 0.08 0.07 0.12 0.09 0.10 Net GEX 3.4M -31.9M 36.1M -31.9M 29.4M Net DEX 703.4M 173.3M 1.81B 1.81B 497.1M Net VEX -20.0M -20.6M -18.9M -19.7M -20.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.48 1.27 0.89 0.50 Total Volume 223,849.667 154,430 383,259 222,926 229,242 Total OI 4,393,563.238 3,869,460 4,804,296 4,729,803 4,269,805
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2023-06-01 $27.80 $30.00 26.2% 7.6% 26.1% 14.6% 27.6% 5.5% -0.1% -31.9M 1.81B -19.7M 0.89 2.07 117,738 105,188 2,254,067 2,475,736 2023-06-02 $28.76 $30.00 24.8% 7.1% 26.2% 10.2% 26.0% 4.3% -0.6% 6.4M 783.8M -20.4M 0.48 2.31 259,709 123,550 2,273,884 2,372,956 2023-06-05 $28.59 $29.00 24.3% 7.7% 25.0% 8.2% 27.0% 4.7% -0.0% -9.2M 859.5M -20.0M 0.92 1.65 97,763 89,917 2,187,145 2,245,045 2023-06-06 $29.14 $29.00 24.0% 7.6% 25.7% 7.4% 26.7% 4.6% 0.0% 7.7M 488.4M -20.4M 0.63 1.81 158,905 99,536 2,207,706 2,275,237 2023-06-07 $29.55 $29.00 23.2% 7.4% 26.0% 4.8% 27.0% 4.5% -0.2% 22.6M 173.3M -20.6M 0.68 6.98 142,371 97,209 2,233,709 2,303,481 2023-06-08 $29.27 $29.00 24.1% 7.7% 25.4% 7.7% 26.4% 4.0% 0.5% 15.1M 370.7M -20.5M 0.80 1.82 134,160 107,780 2,267,922 2,321,730 2023-06-09 $29.29 $29.00 23.9% 7.7% 25.4% 7.2% 26.2% 3.6% 0.3% 36.1M 321.0M -20.4M 0.57 1.72 126,844 72,382 2,324,264 2,338,871 2023-06-12 $29.11 $29.00 24.9% 7.9% 24.7% 10.5% 26.9% 3.8% 2.6% 8.2M 511.8M -20.3M 0.67 1.54 117,636 79,089 2,267,325 2,289,960 2023-06-13 $29.38 $29.00 24.6% 7.8% 23.6% 9.6% 26.6% 3.5% 2.4% 22.8M 275.2M -20.5M 0.59 1.77 130,163 76,601 2,303,324 2,328,385 2023-06-14 $29.16 $29.00 24.4% 7.7% 23.6% 8.6% 25.9% 3.3% 2.6% 9.7M 485.6M -20.0M 0.92 1.68 127,066 117,445 2,317,074 2,351,965 2023-06-15 $29.39 $29.00 25.0% 7.8% 19.4% 10.6% 26.8% 3.3% 2.7% 22.7M 319.4M -20.4M 0.54 1.78 162,588 88,366 2,350,982 2,378,700 2023-06-16 $29.20 $29.00 23.9% 7.4% 19.5% 7.1% 25.3% 2.8% 2.7% 9.3M 461.5M -20.4M 0.49 1.66 133,850 65,644 2,399,211 2,405,085 2023-06-20 $28.89 $29.00 26.4% 7.7% 19.7% 15.4% 26.9% 4.3% -1.0% 4.2M 617.0M -19.8M 0.62 1.58 131,021 80,983 1,896,677 1,972,783 2023-06-21 $28.63 $29.00 26.7% 7.7% 19.9% 16.5% 27.2% 3.3% -1.4% -2.8M 764.1M -19.5M 0.88 1.82 93,865 82,815 1,935,158 2,006,844 2023-06-22 $27.98 $29.00 27.2% 7.8% 21.2% 18.0% 27.5% 3.2% -0.7% -24.8M 1.14B -19.0M 0.84 1.96 109,685 91,974 1,979,353 2,035,615 2023-06-23 $27.70 $29.00 27.6% 8.1% 20.5% 19.6% 28.1% 3.3% -1.4% -28.5M 1.29B -18.9M 0.97 1.79 139,129 134,677 2,018,601 2,067,021 2023-06-26 $28.13 $29.00 27.2% 8.0% 21.2% 18.1% 27.8% 4.6% -0.6% -17.8M 1.01B -19.4M 0.52 1.92 104,994 54,156 1,994,579 2,074,953 2023-06-27 $28.27 $29.00 27.3% 7.9% 21.2% 18.5% 28.0% 4.2% -0.9% -10.6M 923.7M -19.7M 0.69 1.91 91,604 62,826 2,029,375 2,094,050 2023-06-28 $28.05 $29.00 27.7% 8.3% 21.4% 19.9% 30.8% 4.2% -0.7% -15.0M 1.07B -19.6M 1.27 1.96 97,399 123,913 2,064,540 2,115,845 2023-06-29 $28.66 $29.00 26.2% 8.1% 22.1% 14.9% 28.2% 2.9% -1.2% 18.5M 601.2M -20.0M 0.50 2.02 160,991 80,069 2,098,023 2,137,842 2023-06-30 $28.84 $29.00 25.1% 7.6% 22.2% 10.9% 26.9% 2.8% -0.8% 29.4M 497.1M -20.1M 0.50 2.09 152,749 76,493 2,119,218 2,150,587
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