BAC Options History — November 2024

In November 2024, BAC traded between $41.36 and $47.83. ATM implied volatility averaged 22.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 10.4% (HV 20d: 33.2%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2024-11-06: Highest Volume — 371,803 contracts
2024-11-06: Largest IV drop — 15.7% change
2024-11-04: Highest IV Rank — 65.0%
2024-11-01: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.75	$41.36	$47.83	$41.89	$47.83
Max Pain	$40.80	$39.00	$42.00	$40.00	$42.00
ATM IV	22.7%	18.9%	29.5%	28.0%	18.9%
Expected Move	6.6%	5.6%	9.2%	9.2%	5.6%
HV 20d	33.2%	24.7%	38.9%	24.7%	32.4%
HV 60d	27.0%	22.1%	28.3%	22.1%	27.7%
IV Rank	25.2%	2.5%	65.0%	56.3%	2.5%
IV Percentile	36.5%	1.2%	96.8%	93.3%	1.2%
Term Structure	-0.4%	-1.3%	0.4%	0.1%	0.1%
VWIV	23.3%	20.1%	32.5%	32.5%	20.1%
Skew 25d	1.4%	0.5%	3.3%	2.7%	0.8%
Skew 10d	3.5%	1.4%	6.7%	5.9%	3.1%
Call IV 25d	22.2%	18.8%	27.8%	26.9%	18.8%
Put IV 25d	23.6%	19.5%	31.0%	29.5%	19.5%
Bid-Ask Spread %	2.24	1.84	3.36	2.42	3.36
Gamma HHI	0.12	0.09	0.22	0.10	0.14
Net GEX	100.5M	31.2M	155.6M	31.2M	119.0M
Net DEX	-3.96B	-4.86B	-1.78B	-1.99B	-4.77B
Net VEX	-15.1M	-17.8M	-14.2M	-17.7M	-14.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.41	1.47	1.47	1.15
Total Volume	150,386.2	71,601	371,803	126,520	75,560
Total OI	3,252,277.8	3,083,374	3,433,806	3,183,111	3,362,992

Daily Data (20 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
2024-11-01	$41.89	$40.00	28.0%	9.2%	24.7%	56.3%	32.5%	2.7%	0.1%	31.2M	-1.99B	-17.7M	1.47	2.42	51,136	75,384	1,480,681	1,702,430
2024-11-04	$41.36	$39.00	29.5%	7.9%	25.1%	65.0%	26.5%	3.3%	-1.1%	33.9M	-1.78B	-17.0M	0.63	2.29	82,079	51,896	1,438,683	1,671,116
2024-11-05	$41.69	$39.00	29.3%	7.9%	25.2%	64.0%	27.6%	3.2%	-1.2%	43.9M	-1.93B	-17.8M	0.56	2.47	81,838	45,809	1,481,051	1,690,633
2024-11-06	$45.38	$39.00	24.7%	7.0%	38.7%	36.9%	24.4%	1.3%	-0.5%	107.1M	-4.18B	-15.1M	0.54	2.25	242,130	129,673	1,506,949	1,703,593
2024-11-07	$44.84	$40.00	22.4%	6.4%	38.9%	23.2%	23.1%	1.7%	-0.2%	104.9M	-3.87B	-15.4M	0.91	2.39	93,359	85,314	1,533,515	1,755,833
2024-11-08	$45.16	$40.00	21.8%	6.3%	34.5%	19.5%	23.4%	1.4%	-0.0%	119.0M	-4.11B	-14.8M	0.46	2.12	138,509	64,229	1,558,985	1,787,028
2024-11-11	$46.11	$40.00	23.3%	6.7%	35.0%	28.4%	23.8%	0.7%	0.1%	108.3M	-4.46B	-14.4M	0.44	1.96	119,557	52,462	1,530,374	1,740,600
2024-11-12	$45.95	$40.00	23.3%	6.7%	35.0%	28.7%	23.4%	0.5%	0.2%	111.4M	-4.34B	-14.9M	0.69	2.01	91,373	62,870	1,549,446	1,763,055
2024-11-13	$46.00	$41.00	21.9%	6.4%	34.9%	20.1%	22.8%	0.9%	0.4%	123.9M	-4.38B	-15.0M	1.07	2.07	63,978	68,564	1,577,430	1,787,810
2024-11-14	$46.05	$41.00	21.7%	6.3%	34.8%	19.3%	22.3%	0.6%	0.1%	127.1M	-4.47B	-14.3M	0.74	1.84	53,605	39,574	1,593,110	1,817,713
2024-11-15	$46.73	$41.00	22.4%	6.4%	34.7%	23.0%	23.1%	1.2%	-0.1%	155.6M	-4.86B	-14.2M	0.53	1.87	137,851	73,401	1,602,807	1,830,999
2024-11-18	$46.75	$41.00	21.7%	6.2%	34.1%	19.3%	21.8%	1.3%	-0.8%	92.8M	-4.13B	-14.5M	1.35	2.31	45,931	62,138	1,440,060	1,643,314
2024-11-19	$46.39	$41.00	21.3%	6.1%	34.2%	16.7%	21.7%	1.4%	-0.2%	85.4M	-3.88B	-14.9M	1.03	2.26	35,327	36,274	1,444,218	1,676,814
2024-11-20	$46.09	$42.00	21.9%	6.3%	34.4%	20.2%	22.7%	1.7%	-0.6%	84.8M	-3.73B	-14.8M	0.68	2.29	47,080	31,919	1,458,595	1,684,593
2024-11-21	$46.59	$42.00	22.0%	6.4%	34.5%	20.7%	22.2%	1.4%	-1.0%	96.6M	-4.03B	-14.7M	0.65	2.25	81,196	52,785	1,470,428	1,691,879
2024-11-22	$46.98	$42.00	21.5%	6.2%	33.5%	18.0%	22.0%	0.8%	-0.8%	118.6M	-4.30B	-14.3M	0.41	2.22	190,522	78,749	1,495,311	1,710,877
2024-11-25	$47.63	$42.00	20.4%	6.0%	33.1%	11.7%	21.3%	0.8%	0.1%	109.7M	-4.53B	-14.7M	0.61	2.08	106,457	64,668	1,530,295	1,700,573
2024-11-26	$47.78	$42.00	19.7%	5.9%	32.9%	7.3%	20.8%	1.0%	-1.3%	121.2M	-4.72B	-14.5M	1.27	2.19	35,609	45,345	1,567,886	1,738,736
2024-11-27	$47.70	$42.00	19.0%	5.7%	32.8%	3.1%	20.1%	0.9%	-0.5%	114.7M	-4.64B	-15.2M	0.95	2.18	58,361	55,212	1,572,710	1,752,434
2024-11-29	$47.83	$42.00	18.9%	5.6%	32.4%	2.5%	20.1%	0.8%	0.1%	119.0M	-4.77B	-14.3M	1.15	3.36	35,125	40,435	1,586,291	1,776,701