Bank of America (BAC)

Bank of America

BAC

Q2 2026 Earnings

Reports in

-4days

Tue, Jul 14 · Before open

Options-implied move

±3.4%

$59.87 · $64.13 · via ATM straddle

ATM IV

21.1%

Δ term slope 1.0 v/30d

IV-based EM

±4.3%

σ 21% · 15d

ATM Straddle

$2.13

Strike $62.00

IV Rank

52w 20–39%

Provider signals

Crowding and flow context

Signal score 33

Short days

2.3

90.9M shares short

P/C volume

0.63x

23.5K puts / 37.2K calls

P/C OI

0.73x

187.3K puts / 255.9K calls

Actions

5/1

dividend / split events

massive · short 2026-06-30 · IV coverage 78%

Expected move

Probability density around spot

Log-normal model with ATM IV 21.1% over 15 days. Range $59.87–$64.13.

$58.03 · -6.4%Spot $62.00$65.97 · +6.4%

Spot

−3.4%

+3.4%

Straddle bandIV bandLog-normal density

Hover for probability · click to pin

Term structure

Implied range across expiries

Spot × (1 ± EM) at each expiry. Hover an expiry for details.

4 expiries

Historical

Realized moves · last 8 quarters

Close-to-close moves; implied range pending historical option chains.

EPS beat 8/8

EPS surprisevs sell-side consensus

Realized (up)Realized (down)

ATM greeks

Greeks by expiry

ATM call · delta hedge ratios, sensitivity to vol and time.

Expiry	DTE	ATM IV	Δ Delta	Γ Gamma	𝜈 Vega	Θ Theta	Straddle
Jul 31Earnings K $62	15d	21.06%	0.448	0.1503	0.05	-0.04	$2.13
Aug 14 K $62	29d	21.27%	0.479	0.1076	0.07	-0.03	$2.97
Aug 28 K $62	43d	21.65%	0.494	0.0867	0.08	-0.02	$3.67
Sep 18 K $63	64d	22.71%	0.465	0.0671	0.10	-0.02	$4.74

Options data · as of 2026-07-16Method: options math baseline