BAC Options History — November 2023 In November 2023, BAC traded between $26.37 and $30.48. ATM implied volatility averaged 23.3%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 10.7% (HV 20d: 34.0%). Max pain ranged from $25.00 to $29.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.82.
Notable Days 2023-11-29 : Highest Volume — 660,850 contracts2023-11-02 : Largest IV drop — 13.5% change2023-11-01 : Highest IV Rank — 27.2%2023-11-01 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $28.92 $26.37 $30.48 $26.37 $30.48 Max Pain $27.93 $25.00 $29.50 $25.00 $29.50 ATM IV 23.3% 20.2% 28.4% 28.4% 21.6% Expected Move 6.8% 5.9% 7.7% 7.7% 6.6% HV 20d 34.0% 28.8% 38.7% 28.8% 30.3% HV 60d 26.2% 22.9% 27.4% 22.9% 27.3% IV Rank 11.3% 1.4% 27.2% 27.2% 6.0% IV Percentile 20.8% 1.2% 58.3% 58.3% 10.7% Term Structure -0.2% -0.7% 0.4% -0.5% -0.3% VWIV 24.4% 20.7% 31.6% 27.3% 23.9% Skew 25d 3.3% 1.7% 5.6% 5.6% 2.4% Skew 10d 7.3% 3.0% 11.0% 11.0% 4.4% Call IV 25d 22.2% 20.1% 24.9% 24.9% 20.4% Put IV 25d 25.5% 21.9% 30.5% 30.5% 22.7% Bid-Ask Spread % 2.03 1.79 2.39 2.34 2.17 Gamma HHI 0.11 0.08 0.48 0.13 0.12 Net GEX 22.9M -39.4M 195.4M -39.4M 65.1M Net DEX -162.9M -1.27B 1.42B 1.42B -876.7M Net VEX -21.0M -22.1M -20.2M -20.3M -20.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.18 1.45 0.82 0.59 Total Volume 197,904.429 91,497 660,850 174,279 171,658 Total OI 5,195,139.667 4,726,538 5,523,269 5,336,476 4,885,247
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 2023-11-01 $26.37 $25.00 28.4% 7.7% 28.8% 27.2% 27.3% 5.6% -0.5% -39.4M 1.42B -20.3M 0.82 2.34 95,526 78,753 2,357,289 2,979,187 2023-11-02 $27.56 $28.00 24.6% 7.1% 32.6% 15.2% 26.6% 4.7% -0.6% -11.0M 500.8M -21.5M 0.74 1.96 153,119 112,817 2,399,571 3,013,186 2023-11-03 $28.48 $28.00 26.0% 7.5% 34.3% 19.8% 25.4% 3.5% -0.7% 16.2M -307.7M -22.1M 0.45 1.87 291,816 130,526 2,427,898 3,048,354 2023-11-06 $28.30 $28.00 25.7% 7.4% 34.5% 18.7% 25.6% 4.8% 0.1% 5.1M 9.3M -21.3M 1.12 2.01 70,992 79,267 2,366,652 2,947,017 2023-11-07 $28.21 $28.00 25.2% 7.2% 33.6% 17.1% 31.6% 5.1% 0.3% -2.6M 160.5M -21.7M 1.34 2.07 63,271 85,032 2,384,939 2,977,279 2023-11-08 $27.86 $28.00 24.6% 7.1% 34.0% 15.4% 25.2% 4.9% 0.4% -15.2M 440.2M -21.3M 0.92 1.86 70,544 65,174 2,394,264 3,011,795 2023-11-09 $27.49 $28.00 26.1% 7.5% 34.3% 20.0% 26.1% 4.5% 0.1% -29.3M 725.0M -20.6M 1.45 1.82 61,695 89,670 2,411,164 3,020,256 2023-11-10 $27.68 $28.00 23.4% 6.7% 34.2% 11.7% 24.0% 4.5% 0.3% -32.6M 623.4M -20.8M 0.82 1.95 73,916 60,657 2,419,944 3,048,146 2023-11-13 $27.76 $28.00 24.2% 6.9% 34.0% 13.9% 25.4% 4.2% -0.1% -21.8M 537.1M -20.2M 0.70 2.10 59,013 41,584 2,374,531 2,969,853 2023-11-14 $29.34 $28.00 24.3% 7.0% 38.7% 14.5% 24.7% 3.2% -0.7% 37.3M -770.6M -21.5M 0.56 1.80 208,545 116,013 2,390,978 2,989,602 2023-11-15 $29.64 $28.00 23.4% 6.7% 38.4% 11.7% 25.3% 3.1% -0.5% 56.5M -1.05B -21.6M 0.52 1.90 154,064 80,057 2,425,047 3,026,659 2023-11-16 $29.54 $28.00 23.0% 6.6% 38.1% 10.4% 23.7% 2.3% -0.2% 49.0M -988.5M -21.0M 0.99 1.79 73,048 72,135 2,438,284 3,044,269 2023-11-17 $29.95 $28.00 22.4% 6.5% 36.6% 8.5% 23.5% 2.6% 0.0% 195.4M -1.27B -21.5M 0.52 1.91 145,690 75,894 2,447,431 3,075,838 2023-11-20 $30.16 $28.00 22.0% 6.4% 34.5% 7.2% 23.2% 2.6% -0.1% 35.8M -636.4M -21.1M 0.52 2.17 99,237 52,006 2,091,897 2,634,641 2023-11-21 $29.66 $28.00 21.6% 6.4% 35.4% 5.9% 23.5% 2.4% -0.2% 25.7M -251.6M -21.2M 0.65 2.33 103,491 67,467 2,135,133 2,652,245 2023-11-22 $29.63 $28.00 20.5% 6.0% 35.5% 2.6% 21.2% 1.8% -0.4% 22.5M -211.4M -20.9M 0.89 2.08 55,677 49,275 2,160,706 2,683,767 2023-11-24 $29.77 $28.00 20.2% 5.9% 35.0% 1.4% 20.7% 1.8% -0.1% 26.4M -357.9M -21.0M 1.35 2.05 38,935 52,562 2,188,458 2,712,552 2023-11-27 $29.62 $28.00 20.4% 6.1% 30.4% 2.1% 21.2% 2.0% -0.1% 22.1M -131.1M -20.5M 0.87 1.99 52,540 45,935 2,155,077 2,664,540 2023-11-28 $29.55 $28.00 20.5% 6.2% 30.0% 2.4% 21.9% 1.8% -0.1% 18.0M -125.9M -20.4M 1.14 2.06 45,642 51,900 2,176,938 2,688,782 2023-11-29 $30.37 $28.00 21.5% 6.5% 30.3% 5.5% 21.7% 1.7% -0.3% 58.1M -857.3M -20.8M 0.18 2.39 562,255 98,595 2,189,886 2,688,631 2023-11-30 $30.48 $29.50 21.6% 6.6% 30.3% 6.0% 23.9% 2.4% -0.3% 65.1M -876.7M -20.5M 0.59 2.17 107,760 63,898 2,144,045 2,741,202
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