BAC Options History — January 2007

Name: BAC Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, BAC traded between $51.46 and $53.67. ATM implied volatility averaged 14.6%. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.7% (HV 20d: 9.9%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.86.

Notable Days

2007-01-24: Highest Volume — 108,934 contracts
2007-01-26: Largest IV spike — 12.1% change
2007-01-09: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.09	$51.46	$53.67	$53.33	$52.58
Max Pain	$51.75	$50.00	$52.50	$50.00	$50.00
ATM IV	14.6%	12.5%	16.0%	15.4%	12.5%
Expected Move	4.2%	3.6%	4.7%	4.4%	3.6%
HV 20d	9.9%	9.0%	11.1%	9.1%	11.1%
Term Structure	-0.3%	-1.2%	0.8%	0.6%	0.8%
VWIV	14.8%	12.0%	17.5%	14.6%	12.5%
Skew 25d	3.7%	2.0%	6.8%	2.9%	5.9%
Skew 10d	8.3%	0.8%	13.4%	7.9%	9.5%
Call IV 25d	12.6%	9.2%	13.9%	13.4%	9.2%
Put IV 25d	16.2%	13.5%	18.1%	16.3%	15.0%
Bid-Ask Spread %	6.78	3.55	11.92	6.89	3.55
Gamma HHI	0.32	0.23	0.51	0.47	0.28
Net GEX	18.3M	-1.4M	48.3M	38.0M	4.1M
Net DEX	-1.12B	-1.40B	-627.0M	-1.24B	-1.08B
Net VEX	-9.0M	-11.0M	-8.1M	-8.2M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.20	3.44	1.70	0.52
Total Volume	39,480.65	8,245	108,934	21,648	42,753
Total OI	1,114,992.65	794,811	1,323,384	1,190,837	985,852

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
2007-01-03	$53.33	$50.00	15.4%	4.4%	0.0%	0.0%	14.6%	2.9%	0.6%	38.0M	-1.24B	-8.2M	1.70	6.89	8,014	13,634	544,578	646,259
2007-01-04	$53.67	$50.00	15.1%	4.3%	0.0%	0.0%	13.9%	2.1%	0.8%	48.3M	-1.36B	-8.1M	0.28	6.75	17,862	5,076	547,489	649,873
2007-01-05	$53.24	$52.50	15.3%	4.5%	0.0%	0.0%	15.3%	3.1%	-0.5%	33.9M	-1.22B	-8.1M	3.44	11.23	16,731	57,613	547,673	649,129
2007-01-08	$53.45	$52.50	15.7%	4.6%	0.0%	0.0%	16.2%	3.7%	-0.8%	34.7M	-1.23B	-8.8M	0.67	4.86	8,947	5,964	556,358	701,664
2007-01-09	$53.50	$52.50	15.0%	4.7%	0.0%	0.0%	16.2%	4.9%	-0.8%	31.6M	-1.26B	-8.4M	0.90	8.12	7,408	6,679	558,625	704,042
2007-01-10	$53.58	$52.50	15.3%	4.6%	0.0%	0.0%	17.2%	3.4%	-1.0%	34.8M	-1.28B	-8.6M	0.94	5.85	9,874	9,308	561,102	706,997
2007-01-11	$53.26	$52.50	15.7%	4.5%	0.0%	0.0%	14.8%	3.3%	-0.7%	18.5M	-1.22B	-8.5M	0.49	5.48	11,677	5,720	568,948	710,962
2007-01-12	$53.38	$52.50	15.6%	4.5%	0.0%	0.0%	12.4%	3.8%	-0.8%	19.1M	-1.25B	-8.7M	0.72	5.72	4,790	3,455	571,327	711,954
2007-01-16	$53.44	$52.50	16.0%	4.6%	0.0%	0.0%	16.1%	3.8%	-1.2%	19.7M	-1.26B	-8.3M	1.12	5.62	16,877	18,947	570,824	712,227
2007-01-17	$53.32	$52.50	15.2%	4.4%	0.0%	0.0%	17.5%	4.0%	-0.7%	2.1M	-1.24B	-8.6M	0.30	5.97	16,463	4,967	580,826	724,624
2007-01-18	$53.29	$52.50	15.1%	4.3%	0.0%	0.0%	17.1%	3.0%	-0.9%	4.6M	-1.29B	-8.5M	0.20	9.25	34,259	6,930	582,299	726,439
2007-01-19	$53.59	$52.50	14.6%	4.2%	0.0%	0.0%	13.6%	3.0%	-0.6%	11.3M	-1.40B	-8.5M	0.30	11.92	15,244	4,634	591,838	731,546
2007-01-22	$53.65	$50.00	14.4%	4.1%	0.0%	0.0%	13.4%	2.0%	-0.2%	16.2M	-911.2M	-8.5M	0.98	4.85	29,726	29,024	411,659	383,152
2007-01-23	$53.32	$52.50	12.9%	3.7%	0.0%	0.0%	12.3%	2.5%	0.4%	13.6M	-868.1M	-8.7M	0.49	6.23	27,187	13,324	426,131	380,508
2007-01-24	$53.20	$50.00	12.6%	3.6%	0.0%	0.0%	12.0%	2.6%	0.3%	12.0M	-878.6M	-9.2M	0.52	11.51	71,827	37,107	441,291	385,035
2007-01-25	$52.40	$52.50	13.2%	3.8%	9.1%	0.0%	13.3%	2.1%	0.2%	9.2M	-882.8M	-10.0M	0.36	5.56	42,373	15,232	494,942	392,632
2007-01-26	$52.04	$52.50	14.8%	4.2%	9.0%	0.0%	16.3%	6.8%	-0.2%	9.7M	-848.4M	-10.2M	1.18	5.65	36,115	42,705	507,353	398,864
2007-01-29	$51.46	$52.50	14.4%	4.1%	9.5%	0.0%	16.7%	4.8%	-0.5%	-1.4M	-627.0M	-11.0M	0.79	4.61	36,464	28,977	525,640	427,218
2007-01-30	$52.12	$50.00	13.7%	3.9%	10.8%	0.0%	14.2%	5.4%	-0.3%	6.3M	-962.1M	-10.8M	1.20	6.04	11,707	14,019	548,146	433,827
2007-01-31	$52.58	$50.00	12.5%	3.6%	11.1%	0.0%	12.5%	5.9%	0.8%	4.1M	-1.08B	-10.6M	0.52	3.55	28,157	14,596	546,607	439,245