BAC Options History — August 2007

In August 2007, BAC traded between $47.00 and $51.87. ATM implied volatility averaged 25.5%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.7% (HV 20d: 23.8%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.05.

Notable Days

2007-08-17: Highest Volume — 197,127 contracts
2007-08-09: Largest IV spike — 64.1% change
2007-08-09: Highest IV Rank — 100.0%
2007-08-15: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.65	$47.00	$51.87	$47.63	$50.68
Max Pain	$48.04	$47.50	$50.00	$50.00	$50.00
ATM IV	25.5%	16.9%	40.0%	27.0%	21.8%
Expected Move	6.9%	4.8%	9.3%	7.7%	6.3%
HV 20d	23.8%	16.5%	28.8%	16.5%	28.0%
HV 60d	17.2%	13.1%	20.6%	13.1%	20.5%
IV Rank	63.3%	27.9%	100.0%	81.7%	43.3%
IV Percentile	87.4%	63.0%	100.0%	97.9%	81.4%
Term Structure	0.5%	-2.3%	4.1%	-0.9%	3.2%
VWIV	25.6%	20.5%	32.1%	27.3%	22.5%
Skew 25d	8.7%	4.7%	14.8%	8.8%	5.8%
Skew 10d	18.6%	14.0%	28.8%	21.4%	14.2%
Call IV 25d	20.8%	16.2%	27.7%	23.7%	19.4%
Put IV 25d	29.5%	23.1%	38.7%	32.5%	25.2%
Bid-Ask Spread %	9.62	6.31	15.02	7.58	7.33
Gamma HHI	0.18	0.16	0.23	0.18	0.18
Net GEX	10.3M	-9.4M	36.8M	-7.6M	22.4M
Net DEX	-740.8M	-1.69B	131.6M	-73.8M	-1.08B
Net VEX	-17.4M	-17.9M	-16.5M	-16.5M	-17.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.36	2.02	1.68	0.55
Total Volume	60,539.739	22,647	197,127	79,511	30,776
Total OI	1,681,276.304	1,531,947	1,799,477	1,614,029	1,671,246

Daily Data (23 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
2007-08-01	$47.63	$50.00	27.0%	7.7%	16.5%	81.7%	27.3%	8.8%	-0.9%	-7.6M	-73.8M	-16.5M	1.68	7.58	29,617	49,894	844,995	769,034
2007-08-02	$47.78	$47.50	25.1%	7.2%	16.6%	73.6%	25.3%	10.5%	0.4%	-7.8M	-106.5M	-16.6M	1.60	8.86	19,757	31,571	856,060	777,524
2007-08-03	$47.00	$47.50	29.7%	8.5%	17.4%	93.2%	30.3%	7.7%	-2.0%	-9.4M	131.6M	-16.9M	1.18	8.37	50,031	58,856	862,081	794,326
2007-08-06	$48.16	$47.50	28.2%	7.7%	19.7%	87.1%	27.6%	10.5%	0.2%	-6.0M	-214.3M	-17.3M	0.36	14.41	49,058	17,840	880,123	819,046
2007-08-07	$48.67	$47.50	25.1%	6.9%	19.8%	73.8%	22.3%	9.1%	-0.3%	-4.3M	-429.9M	-17.2M	0.56	13.00	43,767	24,555	893,461	815,621
2007-08-08	$49.70	$47.50	19.9%	5.7%	21.1%	51.4%	23.6%	9.2%	1.1%	3.5M	-766.3M	-17.2M	0.87	15.02	37,636	32,562	907,860	815,682
2007-08-09	$48.35	$47.50	32.7%	7.9%	22.1%	100.0%	26.7%	10.0%	-1.9%	-897.9K	-327.9M	-17.3M	1.09	11.26	20,143	21,924	914,136	822,064
2007-08-10	$48.59	$47.50	33.7%	8.2%	22.2%	100.0%	27.8%	9.3%	-2.3%	-2.6M	-353.9M	-17.4M	0.65	13.39	32,921	21,418	917,013	838,802
2007-08-13	$48.50	$47.50	32.4%	7.8%	22.2%	95.0%	26.9%	10.4%	-1.7%	-963.7K	-337.6M	-17.1M	1.50	9.64	11,129	16,660	939,435	830,072
2007-08-14	$47.86	$47.50	37.0%	8.5%	22.5%	100.0%	31.1%	10.9%	-0.8%	-4.7M	-84.5M	-17.1M	2.02	8.06	16,089	32,559	935,622	835,849
2007-08-15	$48.23	$47.50	40.0%	9.3%	22.6%	100.0%	32.1%	13.2%	-1.7%	-4.3M	-221.4M	-17.4M	1.10	9.32	33,565	36,979	941,347	843,136
2007-08-16	$49.85	$47.50	28.5%	8.2%	25.7%	64.2%	29.7%	14.8%	-1.7%	13.1M	-1.08B	-17.9M	0.43	11.16	74,401	31,772	950,017	849,460
2007-08-17	$51.76	$47.50	22.3%	6.4%	27.6%	44.9%	27.9%	9.9%	-0.6%	36.8M	-1.69B	-17.3M	0.69	9.15	116,719	80,408	934,579	854,068
2007-08-20	$51.35	$47.50	20.7%	5.9%	27.8%	39.9%	24.8%	9.0%	-0.0%	21.8M	-1.20B	-17.3M	1.08	6.39	39,209	42,277	802,841	729,106
2007-08-21	$51.30	$47.50	18.6%	5.3%	26.4%	33.3%	22.7%	8.3%	1.1%	23.7M	-1.27B	-17.7M	0.68	9.45	26,676	18,210	825,042	751,638
2007-08-22	$51.65	$47.50	17.9%	5.1%	26.0%	31.2%	22.5%	7.0%	1.4%	28.0M	-1.35B	-17.6M	0.85	9.02	24,827	21,144	838,340	755,053
2007-08-23	$51.83	$47.50	17.8%	5.1%	25.1%	30.9%	21.7%	6.8%	3.3%	29.2M	-1.44B	-17.7M	0.64	11.28	25,225	16,215	849,071	769,252
2007-08-24	$51.87	$47.50	16.9%	4.8%	25.1%	27.9%	20.5%	6.9%	4.1%	31.0M	-1.43B	-17.8M	1.06	9.14	10,975	11,672	859,759	775,636
2007-08-27	$50.87	$47.50	21.3%	6.1%	26.5%	41.7%	21.5%	4.7%	2.5%	25.2M	-1.12B	-17.7M	1.32	6.86	18,391	24,231	863,375	771,462
2007-08-28	$49.66	$50.00	24.4%	7.0%	28.1%	51.4%	25.7%	6.9%	2.2%	14.4M	-749.5M	-17.9M	1.74	6.74	13,842	24,040	869,629	778,156
2007-08-29	$50.55	$50.00	22.3%	6.4%	28.6%	44.7%	24.1%	6.3%	2.5%	19.5M	-979.4M	-17.9M	1.61	9.41	11,185	18,012	871,698	785,524
2007-08-30	$50.21	$50.00	22.8%	6.5%	28.8%	46.2%	24.7%	4.8%	3.2%	17.5M	-867.1M	-17.9M	0.84	6.31	12,840	10,836	876,476	784,638
2007-08-31	$50.68	$50.00	21.8%	6.3%	28.0%	43.3%	22.5%	5.8%	3.2%	22.4M	-1.08B	-17.9M	0.55	7.33	19,839	10,937	881,273	789,973