BAC Options History — September 2024

In September 2024, BAC traded between $38.66 and $41.00. ATM implied volatility averaged 25.7%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.6% (HV 20d: 22.0%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2024-09-05: Highest Volume — 276,776 contracts
  • 2024-09-16: Largest IV spike — 8.8% change
  • 2024-09-27: Highest IV Rank — 51.2%
  • 2024-09-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.60$38.66$41.00$40.53$39.69
Max Pain$38.90$38.00$39.00$38.00$39.00
ATM IV25.7%23.4%27.1%23.4%26.9%
Expected Move7.8%7.1%8.8%7.1%8.8%
HV 20d22.0%16.4%24.3%16.6%23.9%
HV 60d25.6%24.5%26.3%24.5%25.8%
IV Rank42.5%29.4%51.2%29.4%49.6%
IV Percentile73.6%48.0%86.9%48.0%84.1%
Term Structure0.4%-2.7%3.6%-0.0%2.9%
VWIV27.2%24.8%30.2%24.8%30.1%
Skew 25d4.1%3.4%5.0%3.5%4.5%
Skew 10d9.1%6.9%11.8%8.0%10.9%
Call IV 25d24.0%22.3%25.9%22.7%25.1%
Put IV 25d28.1%26.2%30.2%26.2%29.6%
Bid-Ask Spread %2.862.147.912.492.50
Gamma HHI0.080.070.110.090.08
Net GEX40.0M4.6M93.8M58.5M47.1M
Net DEX-1.41B-2.34B-774.4M-2.00B-1.41B
Net VEX-17.6M-18.4M-16.8M-18.3M-17.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.181.521.460.66
Total Volume135,064.1586,013276,776143,93686,013
Total OI3,123,996.82,799,2583,341,9843,151,6922,874,376

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$40.53$38.0023.4%7.1%16.6%29.4%24.8%3.5%-0.0%58.5M-2.00B-18.3M1.462.4958,39485,5421,488,4671,663,225
2024-09-04$40.45$38.0024.3%7.1%16.4%34.2%25.0%3.8%-0.0%52.0M-1.98B-17.8M1.192.5146,90355,6721,505,3101,717,405
2024-09-05$40.30$39.0024.3%7.8%16.6%34.8%26.2%3.9%0.0%41.9M-1.81B-18.4M0.182.79234,96341,8131,514,7771,742,693
2024-09-06$38.72$39.0025.7%8.2%21.2%42.9%29.7%4.6%0.1%10.8M-784.9M-18.0M1.292.3976,71998,9821,465,2681,752,058
2024-09-09$39.52$39.0024.9%7.9%22.3%37.7%28.3%4.1%2.6%30.7M-1.36B-17.7M1.012.6143,24443,5961,429,0101,697,046
2024-09-10$39.34$39.0026.4%8.3%22.3%47.0%30.2%4.3%2.3%26.0M-1.23B-17.8M1.504.6275,297113,0541,442,9801,710,829
2024-09-11$38.80$39.0024.6%8.0%22.7%36.5%28.2%5.0%3.1%11.6M-899.0M-18.0M0.912.3973,41566,8261,465,6801,744,848
2024-09-12$38.66$39.0024.7%7.8%22.3%36.6%28.2%4.4%3.3%7.4M-774.4M-18.3M1.522.5239,87860,5311,479,8001,756,414
2024-09-13$38.66$39.0024.6%7.7%22.3%36.4%25.7%4.3%3.6%4.6M-831.5M-17.3M0.672.2660,49240,7841,491,7061,773,921
2024-09-16$39.08$39.0026.8%7.9%22.5%49.2%26.6%4.3%-2.7%20.5M-1.09B-17.2M0.472.1470,93033,3101,463,0071,742,536
2024-09-17$39.55$39.0027.0%7.8%22.6%50.2%27.9%4.3%-1.0%39.1M-1.38B-17.8M0.642.5965,29241,6271,489,6091,759,182
2024-09-18$39.64$39.0026.9%7.7%20.5%50.0%25.9%4.2%-0.6%48.7M-1.43B-17.7M0.503.01115,09957,7951,506,9781,761,290
2024-09-19$41.00$39.0025.6%7.4%23.6%42.3%25.8%3.5%-1.1%93.8M-2.34B-17.3M0.412.42133,90555,1811,517,0471,780,929
2024-09-20$40.45$39.0025.6%7.4%23.9%42.2%26.4%4.0%-1.5%77.7M-1.99B-17.3M0.407.91112,07044,4941,538,9851,802,999
2024-09-23$39.91$39.0025.5%7.6%24.0%41.4%26.2%3.8%-0.1%44.6M-1.56B-16.8M0.592.5955,33632,5111,365,6621,433,596
2024-09-24$39.45$39.0026.1%7.7%24.3%45.0%25.6%3.9%-0.5%34.0M-1.31B-17.2M0.572.3979,73945,6821,384,9801,451,191
2024-09-25$39.23$39.0026.7%8.2%24.3%48.6%27.3%3.8%-0.6%31.8M-1.23B-17.1M0.602.2575,15144,8251,413,8581,473,539
2024-09-26$39.55$39.0026.1%8.2%24.3%45.3%28.1%3.4%-0.4%55.1M-1.44B-17.1M0.652.4176,66949,9561,442,1461,486,783
2024-09-27$39.42$39.0027.1%8.2%24.2%51.2%27.7%3.6%-0.8%63.7M-1.35B-17.0M0.512.3572,72936,8641,455,1161,494,690
2024-09-30$39.69$39.0026.9%8.8%23.9%49.6%30.1%4.5%2.9%47.1M-1.41B-17.5M0.662.5051,67234,3411,412,8721,461,504