BAC Options History — March 2024

In March 2024, BAC traded between $34.41 and $37.94. ATM implied volatility averaged 23.4%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.8% (HV 20d: 17.6%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2024-03-21: Highest Volume — 319,744 contracts
  • 2024-03-12: Largest IV drop — 6.5% change
  • 2024-03-06: Highest IV Rank — 15.7%
  • 2024-03-05: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.20$34.41$37.94$34.41$37.94
Max Pain$33.15$32.00$34.00$33.00$34.00
ATM IV23.4%21.9%24.7%23.2%22.8%
Expected Move7.0%6.6%7.6%6.6%6.6%
HV 20d17.6%13.3%22.7%21.7%15.5%
HV 60d21.9%19.8%24.6%24.4%20.7%
IV Rank12.0%6.7%15.7%10.8%14.5%
IV Percentile28.3%15.9%44.8%25.8%21.8%
Term Structure0.5%-0.9%2.8%-0.2%-0.7%
VWIV24.9%22.7%27.0%23.3%24.5%
Skew 25d1.5%1.1%2.5%1.6%1.7%
Skew 10d4.1%2.7%5.1%3.8%4.8%
Call IV 25d22.8%21.3%24.5%22.2%22.2%
Put IV 25d24.3%22.6%25.6%23.8%23.9%
Bid-Ask Spread %2.501.946.642.371.99
Gamma HHI0.140.110.170.130.17
Net GEX78.5M54.4M103.1M86.3M94.5M
Net DEX-2.47B-3.24B-1.53B-1.53B-3.24B
Net VEX-19.3M-20.1M-18.2M-19.6M-18.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.511.550.530.80
Total Volume172,201.493,401319,744203,868167,697
Total OI3,942,850.53,587,4834,266,3144,034,6273,821,838

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$34.41$33.0023.2%6.6%21.7%10.8%23.3%1.6%-0.2%86.3M-1.53B-19.6M0.532.37132,89370,9751,646,2152,388,412
2024-03-04$35.11$32.0024.3%7.5%22.7%14.4%26.3%1.2%-0.3%80.3M-2.06B-19.3M0.521.98154,81981,1221,627,8182,353,982
2024-03-05$35.23$33.0024.7%7.6%21.7%15.6%26.6%1.3%-0.1%78.5M-2.11B-19.5M0.522.25158,48382,3691,648,1742,375,151
2024-03-06$35.53$33.0024.7%7.6%21.8%15.7%26.8%1.1%-0.2%86.1M-2.30B-19.7M0.632.26118,61375,1951,674,3822,408,718
2024-03-07$35.72$33.0024.1%7.5%21.7%13.8%26.5%1.2%0.2%96.6M-2.50B-19.4M0.632.2292,99058,7291,701,9582,421,722
2024-03-08$35.67$33.0023.6%7.4%21.8%12.2%27.0%1.1%0.4%91.3M-2.47B-19.9M0.661.94112,75973,9761,726,9252,444,678
2024-03-11$35.89$33.0023.4%7.4%21.4%11.4%25.9%1.7%2.3%93.8M-2.51B-19.1M0.816.6466,23253,8321,682,7372,412,089
2024-03-12$35.95$33.0021.9%7.0%20.2%6.7%24.5%1.7%2.6%100.1M-2.56B-19.1M0.702.0880,18955,9481,694,5102,433,893
2024-03-13$36.11$33.0021.9%7.1%15.1%6.8%24.5%1.4%2.6%103.1M-2.68B-19.3M0.752.3694,31170,3671,713,0342,452,321
2024-03-14$35.59$33.0022.8%7.2%16.3%9.7%25.3%1.8%2.8%85.3M-2.23B-20.1M1.092.4472,86379,0701,741,3292,475,274
2024-03-15$35.64$33.0023.0%7.1%13.3%10.2%24.9%1.5%2.6%58.9M-2.30B-20.0M0.642.0796,09661,9661,757,5472,508,767
2024-03-18$36.03$33.0023.9%7.0%13.6%13.1%24.5%1.8%-0.3%54.4M-2.10B-19.6M0.962.2765,80562,9131,513,6372,073,846
2024-03-19$36.03$33.0023.8%6.9%13.5%12.7%24.3%1.5%-0.5%61.2M-2.13B-19.5M1.282.6261,56178,9591,542,4252,096,824
2024-03-20$36.84$33.0023.2%6.6%14.5%10.8%23.8%1.6%-0.9%71.1M-2.61B-19.4M1.552.8887,250135,0601,558,0242,135,034
2024-03-21$37.53$33.0023.0%6.6%15.0%10.4%23.3%1.2%-0.2%71.0M-3.02B-19.1M0.542.47207,768111,9761,573,1312,156,853
2024-03-22$37.14$33.0023.2%6.7%15.9%10.9%24.2%1.4%-0.4%62.9M-2.81B-19.0M1.232.3275,18492,7081,611,5482,190,183
2024-03-25$36.89$34.0023.8%7.0%15.7%13.0%25.0%2.5%0.7%58.3M-2.54B-19.2M0.942.0257,12353,9741,576,1862,149,623
2024-03-26$37.08$34.0023.6%6.9%14.9%13.6%25.0%1.3%0.1%60.2M-2.66B-19.1M0.702.0054,83538,5661,595,3772,181,432
2024-03-27$37.73$34.0022.5%6.6%15.5%13.1%22.7%1.5%-0.2%75.2M-3.08B-18.6M0.512.9398,63050,2221,605,7412,185,672
2024-03-28$37.94$34.0022.8%6.6%15.5%14.5%24.5%1.7%-0.7%94.5M-3.24B-18.2M0.801.9993,02774,6701,623,1602,198,678