Bank of America

BAC's 20-day volatility stands at 1.39% a day, making it a little calmer than most of the stocks Kinzan tracks (their median is 1.81%).

Measured against BAC's own volatility rather than anyone else's, a −0.7σ reading is the kind of session it has most weeks.

It sits near the bottom of its 24-hour range of 50.54–51.09, measured on hourly closes.

The London block (07:00–13:00 UTC) did most of the work — roughly 91% of the movement over the last 24 hours.

Over the last 60 sessions of daily returns, it has moved most closely with JPM (+0.63, a strong relationship).

Its last close is at the 3rd percentile of its own last 82 sessions, and its 20-day volatility at the 59th.

Market read: Bank of America is drifting lower, failing to gain traction in the New York session.

What it is

Bank of America’s foundation is deposits. Tens of millions of households and small businesses keep accounts with it, and a large part of that money pays little or no interest, making it one of the cheapest and most stable sources of funding in American banking. The bank turns that funding into four businesses: consumer banking, with branches, cards, mortgages and small-business lending; wealth management through Merrill and a private bank; a corporate bank that lends to and advises companies; and a global markets division that trades for institutional clients.

What drives it

The shares are, more than anything, a view on net interest income. When deposits poured in during 2020 and 2021, the bank invested a great deal of that cash in long-dated mortgage bonds and Treasuries at the low yields then on offer, and classed much of it as held to maturity. When rates rose sharply the following year, those holdings carried large unrealised losses and locked the bank into low returns. The mechanism that has worked in its favour since is repricing: as those securities mature, the proceeds are reinvested at higher yields, and the pace of that roll-off feeds directly into income guidance. The other side of the ledger is deposit cost. If customers move cash to higher-yielding alternatives, the bank must either pay more or lose the funding, and how much of a Fed move it passes on to depositors is watched closely. Card losses and consumer delinquencies supply the credit signal.

How it trades through the day

It has a very large share count and is consistently among the most actively traded US shares by number of shares exchanged. Results come before the open, in the same mid-month window as the other large banks. In summer the cash session runs from 13:30 to 20:00 UTC, shifting to 14:30 to 21:00 UTC in winter. Moves in long-dated Treasury yields during the session can carry the shares with no company news at all.

What it tends to move with

It tracks JPMorgan Chase, Citigroup and Wells Fargo, but its rate sensitivity often makes it move more like the regional banks than JPMorgan does. A steepening yield curve generally helps it, and falling long-term yields work against it.