BAC Options History — February 2007

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

In February 2007, BAC traded between $50.80 and $54.05. ATM implied volatility averaged 13.6%. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.8% (HV 20d: 11.8%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.62.

Notable Days

2007-02-27: Highest Volume — 91,336 contracts
2007-02-27: Largest IV spike — 123.5% change
2007-02-27: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.11	$50.80	$54.05	$52.84	$50.83
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	13.6%	8.3%	31.3%	13.1%	23.6%
Expected Move	3.9%	2.4%	9.0%	3.8%	6.8%
HV 20d	11.8%	10.4%	17.6%	11.0%	16.9%
Term Structure	-0.4%	-8.0%	1.3%	0.2%	-3.8%
VWIV	15.9%	11.2%	30.9%	13.4%	22.9%
Skew 25d	4.0%	2.4%	6.8%	6.6%	5.1%
Skew 10d	8.3%	2.9%	12.9%	11.3%	12.9%
Call IV 25d	12.1%	8.8%	28.3%	8.8%	20.3%
Put IV 25d	16.1%	12.3%	35.1%	15.4%	25.4%
Bid-Ask Spread %	7.01	3.92	20.19	4.52	6.65
Gamma HHI	0.28	0.22	0.43	0.29	0.23
Net GEX	16.0M	4.8M	44.4M	10.6M	21.7M
Net DEX	-1.34B	-1.86B	-685.6M	-1.20B	-853.9M
Net VEX	-11.4M	-13.5M	-10.7M	-10.8M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.07	1.01	0.53	0.80
Total Volume	30,208.474	10,415	91,336	27,978	47,627
Total OI	1,042,583.263	967,457	1,126,887	1,002,229	1,100,275

Daily Data (19 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
2007-02-01	$52.84	$50.00	13.1%	3.8%	11.0%	0.0%	13.4%	6.6%	0.2%	10.6M	-1.20B	-10.8M	0.53	4.52	18,336	9,642	561,067	441,162
2007-02-02	$52.74	$50.00	11.2%	3.7%	10.7%	0.0%	13.1%	2.4%	0.5%	5.7M	-1.19B	-10.9M	0.40	6.27	14,161	5,727	568,741	447,999
2007-02-05	$52.88	$50.00	12.6%	3.7%	10.4%	0.0%	18.4%	3.2%	0.0%	5.4M	-1.17B	-11.3M	0.40	8.25	23,435	9,423	568,459	447,829
2007-02-06	$53.21	$50.00	12.8%	3.8%	10.6%	0.0%	13.4%	3.5%	0.0%	11.8M	-1.36B	-10.8M	1.01	6.46	11,271	11,381	581,324	453,525
2007-02-07	$53.36	$50.00	12.5%	3.8%	10.6%	0.0%	12.0%	3.8%	-0.1%	12.4M	-1.39B	-11.0M	0.88	9.01	7,405	6,547	587,142	461,138
2007-02-08	$53.32	$50.00	13.4%	3.8%	10.6%	0.0%	14.5%	3.6%	-0.2%	13.2M	-1.38B	-11.3M	0.89	6.40	6,793	6,056	591,709	464,736
2007-02-09	$52.99	$50.00	13.4%	3.9%	10.6%	0.0%	16.0%	2.9%	-0.1%	4.8M	-1.30B	-11.2M	0.70	7.34	9,043	6,310	594,632	469,475
2007-02-12	$53.04	$50.00	13.8%	3.9%	10.6%	0.0%	14.7%	3.4%	-0.3%	6.1M	-1.34B	-11.3M	0.86	6.88	14,389	12,427	598,197	473,111
2007-02-13	$53.73	$50.00	13.7%	3.9%	11.6%	0.0%	13.1%	3.6%	-0.7%	14.9M	-1.56B	-11.0M	0.37	6.67	13,838	5,122	605,676	478,122
2007-02-14	$54.05	$50.00	11.7%	3.4%	11.7%	0.0%	13.2%	2.4%	1.0%	29.3M	-1.66B	-10.7M	0.85	4.95	7,738	6,544	609,267	473,501
2007-02-15	$53.85	$50.00	9.0%	2.6%	11.8%	0.0%	20.5%	2.4%	0.8%	19.9M	-1.61B	-10.9M	0.07	5.30	45,061	3,351	609,597	475,617
2007-02-16	$54.05	$50.00	8.5%	2.4%	11.7%	0.0%	13.4%	3.6%	1.3%	44.4M	-1.86B	-10.8M	0.49	6.55	6,971	3,444	649,370	477,517
2007-02-20	$54.05	$50.00	8.5%	2.4%	11.7%	0.0%	11.2%	2.4%	0.8%	17.7M	-1.56B	-10.7M	0.48	5.57	14,670	7,094	547,415	420,042
2007-02-21	$53.91	$50.00	8.3%	2.4%	11.5%	0.0%	13.1%	3.6%	1.1%	19.1M	-1.53B	-11.0M	0.72	6.48	6,562	4,722	556,149	423,367
2007-02-22	$53.70	$50.00	13.0%	3.7%	11.6%	0.0%	11.7%	4.2%	-0.5%	17.7M	-1.48B	-11.0M	0.81	3.92	8,374	6,823	558,981	425,767
2007-02-23	$52.86	$50.00	13.7%	3.9%	11.7%	0.0%	13.9%	6.7%	-0.6%	16.1M	-1.22B	-11.9M	0.70	6.34	33,225	23,295	564,466	431,992
2007-02-26	$52.79	$50.00	14.0%	4.0%	11.4%	0.0%	21.9%	5.8%	-0.1%	15.6M	-1.19B	-12.4M	0.15	5.47	57,412	8,406	582,873	447,303
2007-02-27	$50.80	$50.00	31.3%	9.0%	17.6%	0.0%	30.9%	6.8%	-8.0%	18.6M	-685.6M	-13.5M	0.67	20.19	54,823	36,513	610,475	451,064
2007-02-28	$50.83	$50.00	23.6%	6.8%	16.9%	0.0%	22.9%	5.1%	-3.8%	21.7M	-853.9M	-13.4M	0.80	6.65	26,524	21,103	631,861	468,414