BAC Options History — January 2024

In January 2024, BAC traded between $31.71 and $34.83. ATM implied volatility averaged 23.6%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.1% (HV 20d: 22.5%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2024-01-12: Highest Volume — 500,478 contracts
2024-01-12: Largest IV drop — 16.0% change
2024-01-03: Highest IV Rank — 23.2%
2024-01-03: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.23	$31.71	$34.83	$33.78	$34.05
Max Pain	$31.38	$30.00	$32.00	$30.00	$32.00
ATM IV	23.6%	20.6%	27.1%	26.2%	23.9%
Expected Move	6.8%	6.1%	8.4%	8.2%	6.7%
HV 20d	22.5%	17.0%	29.3%	27.7%	23.5%
HV 60d	28.2%	25.7%	29.4%	28.8%	26.0%
IV Rank	12.2%	2.8%	23.2%	20.4%	13.1%
IV Percentile	30.3%	4.8%	61.5%	54.8%	30.2%
Term Structure	-0.2%	-0.8%	1.4%	-0.6%	-0.6%
VWIV	24.2%	21.1%	29.9%	29.5%	23.6%
Skew 25d	1.5%	0.7%	2.5%	1.2%	1.4%
Skew 10d	4.3%	1.7%	6.9%	4.4%	2.2%
Call IV 25d	23.2%	20.1%	27.3%	26.2%	23.0%
Put IV 25d	24.7%	21.7%	28.4%	27.4%	24.4%
Bid-Ask Spread %	2.15	1.73	2.96	1.73	2.36
Gamma HHI	0.10	0.08	0.15	0.10	0.11
Net GEX	51.1M	7.2M	87.9M	77.3M	53.1M
Net DEX	-1.64B	-3.03B	-485.5M	-2.49B	-1.69B
Net VEX	-19.8M	-20.7M	-19.1M	-20.5M	-19.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.36	1.42	0.56	0.55
Total Volume	230,835.238	96,188	500,478	188,977	268,117
Total OI	4,620,885.81	3,746,762	5,340,237	4,856,883	3,976,119

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
2024-01-02	$33.78	$30.00	26.2%	8.2%	27.7%	20.4%	29.5%	1.2%	-0.6%	77.3M	-2.49B	-20.5M	0.56	1.73	121,519	67,458	2,221,466	2,635,417
2024-01-03	$33.50	$30.00	27.1%	8.4%	28.0%	23.2%	29.9%	1.1%	-0.5%	70.4M	-2.25B	-20.7M	0.69	1.91	100,926	69,838	2,261,377	2,662,903
2024-01-04	$33.89	$31.00	27.0%	7.4%	27.7%	22.8%	26.1%	1.1%	-0.7%	87.6M	-2.63B	-20.2M	0.56	2.03	134,533	75,392	2,280,298	2,697,115
2024-01-05	$34.36	$31.00	25.8%	7.3%	27.8%	19.1%	26.2%	0.8%	-0.6%	87.9M	-3.03B	-19.9M	0.41	1.88	202,617	82,081	2,296,834	2,717,580
2024-01-08	$34.14	$31.00	26.0%	7.3%	28.1%	19.6%	26.0%	1.1%	-0.1%	76.6M	-2.71B	-19.7M	0.55	1.96	166,262	91,585	2,238,527	2,688,710
2024-01-09	$33.59	$31.00	25.4%	7.1%	29.0%	17.9%	25.6%	1.2%	-0.4%	67.5M	-2.22B	-20.2M	0.68	1.90	99,494	67,703	2,298,889	2,719,965
2024-01-10	$33.56	$31.00	25.5%	7.1%	28.9%	18.1%	26.2%	1.2%	-0.6%	69.4M	-2.26B	-19.8M	0.69	2.00	105,734	72,645	2,321,061	2,746,815
2024-01-11	$33.14	$31.00	25.5%	7.1%	29.3%	18.2%	25.6%	1.0%	-0.7%	56.8M	-1.85B	-20.2M	0.80	2.19	198,898	158,344	2,346,394	2,776,476
2024-01-12	$32.80	$31.00	21.4%	6.1%	26.8%	5.4%	22.1%	0.7%	-0.1%	43.6M	-1.51B	-19.6M	0.72	2.23	290,159	210,319	2,399,820	2,825,954
2024-01-16	$32.03	$31.00	22.6%	6.5%	17.7%	9.0%	23.0%	2.3%	-0.8%	16.8M	-834.6M	-19.6M	0.94	2.49	123,624	116,711	2,334,797	2,806,053
2024-01-17	$31.80	$31.00	23.5%	6.7%	17.1%	11.8%	23.9%	2.4%	-0.8%	9.1M	-584.7M	-19.7M	1.42	1.80	115,561	163,594	2,362,880	2,855,485
2024-01-18	$31.71	$32.00	22.1%	6.4%	17.0%	7.4%	23.1%	2.5%	-0.4%	7.2M	-485.5M	-19.7M	1.00	1.97	87,163	87,263	2,403,323	2,901,235
2024-01-19	$32.16	$32.00	21.6%	6.3%	17.8%	6.0%	21.4%	2.3%	-0.7%	18.6M	-1.11B	-19.6M	0.36	1.98	251,118	89,345	2,419,084	2,921,153
2024-01-22	$32.56	$32.00	21.8%	6.4%	17.7%	6.6%	22.5%	1.6%	0.7%	22.0M	-776.3M	-19.3M	0.40	2.27	136,241	53,831	1,555,607	2,191,155
2024-01-23	$32.78	$32.00	20.9%	6.1%	17.8%	3.8%	21.9%	1.8%	0.7%	30.8M	-880.2M	-19.7M	0.63	2.16	82,456	51,908	1,590,153	2,213,135
2024-01-24	$32.98	$32.00	20.6%	6.1%	17.7%	2.8%	21.1%	1.7%	0.9%	38.2M	-1.02B	-19.8M	0.41	2.16	120,449	49,189	1,610,273	2,240,163
2024-01-25	$33.27	$32.00	21.5%	6.2%	17.1%	5.7%	22.0%	1.4%	1.4%	52.4M	-1.23B	-20.0M	0.44	2.53	71,259	31,065	1,636,169	2,254,988
2024-01-26	$33.45	$32.00	21.6%	6.1%	17.1%	5.8%	22.1%	1.5%	1.4%	78.5M	-1.41B	-19.8M	0.80	2.66	92,295	74,045	1,650,327	2,264,371
2024-01-29	$33.50	$32.00	22.6%	6.3%	17.0%	9.0%	22.3%	2.2%	-0.6%	42.2M	-1.26B	-20.0M	0.40	2.96	68,605	27,583	1,585,703	2,252,411
2024-01-30	$34.83	$32.00	23.0%	6.7%	21.8%	10.3%	23.6%	1.4%	-0.7%	66.1M	-2.26B	-19.1M	0.37	2.04	269,567	101,044	1,614,219	2,264,198
2024-01-31	$34.05	$32.00	23.9%	6.7%	23.5%	13.1%	23.6%	1.4%	-0.6%	53.1M	-1.69B	-19.8M	0.55	2.36	172,470	95,647	1,668,468	2,307,651