BAC Options History — July 2023

In July 2023, BAC traded between $28.27 and $32.55. ATM implied volatility averaged 24.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.5% (HV 20d: 23.5%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2023-07-18: Highest Volume — 620,579 contracts
  • 2023-07-18: Largest IV drop — 21.8% change
  • 2023-07-06: Highest IV Rank — 22.5%
  • 2023-07-05: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.43$28.27$32.55$29.20$31.84
Max Pain$29.25$29.00$30.00$29.00$30.00
ATM IV24.0%20.0%28.5%25.6%21.1%
Expected Move6.8%5.6%8.2%7.9%5.7%
HV 20d23.5%19.0%27.9%19.1%26.0%
HV 60d25.3%24.2%26.4%25.3%24.6%
IV Rank9.9%0.0%22.5%12.6%3.5%
IV Percentile16.1%0.0%39.3%21.8%2.0%
Term Structure-0.1%-1.1%1.5%-1.0%-0.3%
VWIV24.2%20.1%29.0%27.4%20.2%
Skew 25d2.8%1.8%4.5%3.5%3.0%
Skew 10d6.0%3.3%9.4%7.2%6.1%
Call IV 25d23.3%19.5%27.6%24.0%20.1%
Put IV 25d26.0%21.5%31.6%27.5%23.1%
Bid-Ask Spread %1.891.562.331.971.98
Gamma HHI0.100.070.500.070.07
Net GEX42.7M-11.0M201.4M19.6M37.9M
Net DEX-431.6M-1.93B960.6M297.8M-885.8M
Net VEX-20.4M-21.3M-19.5M-20.1M-21.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.371.290.550.57
Total Volume281,474.1132,929620,579168,684143,205
Total OI4,279,231.23,937,6514,622,1204,138,7204,105,544

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$29.20$29.0025.6%7.9%19.1%12.6%27.4%3.5%-1.0%19.6M297.8M-20.1M0.551.97108,97759,7072,049,1182,089,602
2023-07-05$29.12$29.0026.1%8.2%19.0%14.5%29.0%3.4%-0.8%21.5M368.2M-20.2M0.921.8898,60290,3792,077,8312,112,069
2023-07-06$28.27$29.0028.5%7.8%20.6%22.5%26.0%4.5%-1.0%-11.0M960.6M-19.5M0.711.69168,165120,1432,100,9402,123,225
2023-07-07$28.56$29.0026.5%7.3%20.3%15.8%25.8%3.2%-0.9%14.1M758.4M-19.7M0.501.77124,77962,7112,147,4282,163,993
2023-07-10$28.62$29.0027.0%7.5%20.1%17.5%28.6%3.1%-0.7%339.7K738.1M-19.5M0.691.7678,54954,3802,101,4582,122,954
2023-07-11$29.05$29.0028.0%7.8%20.9%20.8%26.7%3.9%-0.5%16.4M401.4M-19.6M0.501.92148,13774,3662,117,6352,153,750
2023-07-12$29.34$29.0027.1%7.6%21.1%17.6%26.2%2.4%-0.3%29.0M168.3M-19.9M0.561.73179,13499,8142,153,6722,180,663
2023-07-13$29.69$29.0027.6%7.7%21.3%19.6%28.0%2.4%-1.0%37.4M-121.8M-20.3M0.371.80174,01564,2592,180,5102,196,628
2023-07-14$29.06$29.0027.3%7.6%22.5%18.3%26.9%2.4%-1.1%26.8M411.2M-20.0M0.461.56247,528113,3712,225,2962,218,684
2023-07-17$29.39$29.0027.0%7.7%22.7%17.6%26.5%1.8%-0.5%19.5M191.9M-20.2M0.531.98228,592121,2772,169,4952,176,650
2023-07-18$30.63$29.0021.1%6.0%26.9%0.0%21.8%2.4%-0.1%84.0M-993.9M-20.3M0.421.89437,700182,8792,266,6042,235,542
2023-07-19$31.52$29.0020.9%6.0%27.9%0.0%22.0%2.2%0.2%81.2M-1.61B-20.6M0.531.84339,873181,7052,237,1762,265,654
2023-07-20$31.61$29.0021.2%6.1%27.5%1.1%22.6%2.1%0.2%75.6M-1.62B-20.5M0.481.75193,84493,5102,242,8872,308,478
2023-07-21$32.03$29.0020.0%5.7%25.5%0.0%20.3%2.0%0.0%201.4M-1.93B-20.6M0.381.74259,56899,4742,263,6412,358,479
2023-07-24$32.55$29.0020.2%5.9%24.9%0.6%21.2%2.3%1.1%54.3M-1.54B-20.5M0.451.97254,770115,1321,902,2112,035,440
2023-07-25$32.11$30.0022.2%6.4%25.9%6.9%23.0%3.6%0.7%43.8M-1.16B-21.2M0.991.92138,410137,2451,949,1762,073,034
2023-07-26$32.31$30.0021.1%5.9%25.9%3.3%21.2%2.5%1.2%46.0M-1.27B-21.3M0.822.3395,20277,9831,971,4112,143,446
2023-07-27$31.88$30.0021.5%6.1%26.4%4.6%21.4%2.7%1.2%32.6M-946.6M-21.1M0.662.15138,72791,1441,993,7412,168,155
2023-07-28$31.86$30.0020.5%5.6%25.9%1.4%20.1%2.2%1.5%24.4M-861.2M-21.3M1.292.17101,318130,9082,018,5642,183,840
2023-07-31$31.84$30.0021.1%5.7%26.0%3.5%20.2%3.0%-0.3%37.9M-885.8M-21.0M0.571.9891,20951,9961,968,7902,136,754