Options/BAC

BACBank of America Corporation

Options Analysis Report•NATIONAL COMMERCIAL BANKS

Market Cap $427.7B|NYSE

● 2026-08-28$61.17

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y +21.2%YTD +9.3%7D -0.8%

Options Vol

132,579

30D

Implied Move

±5.8%

IV Rank

BAC Options Overview

IV is low with bullish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

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BAC Gamma Walls

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BAC Hedge Radar

No action needed

Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where BAC sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.39) — near-dated vol is priced 13% below far-dated, and implied vol sits in the 8th percentile of its own past year, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads resilient (3.3): it is trading 7% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

2.39/ 10cheap

Basis: cross_sectional

Fragility

3.30/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

7.7

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks7/9 checks passed

IV Rank

≤35%

IV Rank 14.0% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.46x — IV premium over HV

Sector Relative≤50%

Sector percentile 23% — below sector median

Term Structure

<1.1x

Front/Back 0.87x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 23.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 30.3% (ATM 23.0% + spread 3.7% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 6.92% (spread 3.67% + slippage 3.25%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 15.36 (vega 5.635 / spread 3.67%) — efficient

Sentiment

Bullish or bearish?

4.9

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: +0%, Raw: -3%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +0% (neutral) — Raw: -3%

OI Skew Magnitude

≥15%

|OI skew| 7.5% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +4.1%, OI skew -7.5% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 41%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +44%, ATM: -6%, OTM: -2% — bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 53% — neutral vs sector

Activity

Unusual activity?

4.6

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 1.1x avg — normal

Turnover Rate

≥15%

Vol/OI 5.7% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change -4.1% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 91% — very active vs sector

Trade Quality

≥30%

Large trade volume 34% — institutional presence

Execution Urgency

≥60%

Aggressive execution 57% — patient

Flow Conviction

≥30

Conviction +0 (bullish) — mixed

Liquidity

Can I trade efficiently?

7.3

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks6/8 checks passed

Tradeable Spread

≤5.0%

Spread 3.7% — acceptable

Adequate OI

≥10,000

OI 2,336,330 — deep

Active Volume

≥500

Volume 132,579/day — active

Reasonable Cost

≤$0.50

$0.18 to cross — cheap

Strike Coverage

≥5 strikes

2 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 24% — tighter than sector

Order Book Depth

≥100 contracts

Depth 498.4 contracts (bid:233.0 ask:265.4) — adequate

Execution Quality

<1.0%

Avg slippage 3.25% — poor

Timing

Is now a good time?

7.1

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -12.7% — contango

IV Percentile Clarity

<30 or >70

IV percentile 14% — buyer opportunity

Event Detection

≥10pts kink

IV kink -0.8pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 259.69 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +0% @ 50% consistency — unclear

Smart Money Timing

≥40 composite score

Score 64 (ITM 20% + inst 34%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls6.6

bullishIV cheap, mixed flow

Long Puts6.6

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.9

bullishIV too cheap, mixed flow

Covered Call5.0

bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.