BAC Options History — September 2007

In September 2007, BAC traded between $48.96 and $51.24. ATM implied volatility averaged 22.5%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.9% (HV 20d: 23.4%). 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 8 of 19 days. Put/call ratio averaged 1.12.

Notable Days

2007-09-04: Highest Volume — 295,150 contracts
2007-09-18: Largest IV drop — 17.0% change
2007-09-17: Highest IV Rank — 62.3%
2007-09-10: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.18	$48.96	$51.24	$51.08	$50.27
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	22.5%	18.8%	27.9%	22.3%	18.8%
Expected Move	6.7%	5.4%	8.2%	6.4%	5.4%
HV 20d	23.4%	18.3%	28.3%	27.0%	19.0%
HV 60d	21.3%	20.5%	21.9%	20.5%	21.9%
IV Rank	45.5%	33.9%	62.3%	44.8%	33.9%
IV Percentile	79.5%	62.9%	94.9%	83.3%	62.9%
Term Structure	-0.1%	-2.2%	3.6%	2.8%	2.2%
VWIV	24.5%	19.2%	41.0%	41.0%	19.2%
Skew 25d	5.2%	3.3%	6.7%	5.5%	4.5%
Skew 10d	11.5%	5.6%	15.1%	15.1%	11.0%
Call IV 25d	21.1%	17.2%	26.6%	19.7%	17.2%
Put IV 25d	26.3%	21.6%	32.9%	25.2%	21.7%
Bid-Ask Spread %	9.35	5.78	13.79	7.83	7.12
Gamma HHI	0.21	0.16	0.27	0.19	0.25
Net GEX	25.7M	8.4M	46.9M	26.5M	23.2M
Net DEX	-1.05B	-1.54B	-591.4M	-1.23B	-1.03B
Net VEX	-17.1M	-17.7M	-16.5M	-17.5M	-16.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.08	2.34	0.08	1.39
Total Volume	49,612.632	13,616	295,150	295,150	13,875
Total OI	1,688,610.053	1,603,390	1,782,365	1,676,150	1,648,069

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
2007-09-04	$51.08	$50.00	22.3%	6.4%	27.0%	44.8%	41.0%	5.5%	2.8%	26.5M	-1.23B	-17.5M	0.08	7.83	274,466	20,684	885,570	790,580
2007-09-05	$49.95	$50.00	23.5%	6.7%	28.3%	48.5%	25.4%	5.5%	2.8%	17.0M	-917.0M	-17.4M	2.34	7.59	13,682	32,040	863,673	797,804
2007-09-06	$49.79	$50.00	22.7%	6.5%	27.3%	46.1%	24.3%	5.7%	3.6%	15.7M	-850.3M	-17.7M	1.00	8.25	6,812	6,804	868,597	802,124
2007-09-07	$49.02	$50.00	23.2%	7.9%	26.0%	47.6%	28.5%	6.7%	-1.3%	8.4M	-591.4M	-17.7M	1.35	9.82	20,398	27,484	871,271	804,673
2007-09-10	$48.96	$50.00	24.8%	8.2%	26.0%	52.6%	29.5%	6.3%	-1.1%	9.4M	-607.3M	-17.6M	0.59	11.86	30,520	18,059	878,649	807,627
2007-09-11	$49.45	$50.00	21.7%	7.5%	26.2%	43.1%	25.2%	6.2%	-0.9%	17.9M	-800.1M	-17.3M	0.46	13.15	20,050	9,257	887,103	810,852
2007-09-12	$49.39	$50.00	22.4%	7.6%	25.7%	45.3%	25.5%	6.1%	-1.9%	16.9M	-754.2M	-17.4M	0.70	10.49	15,641	11,011	895,563	812,522
2007-09-13	$49.86	$50.00	25.5%	7.3%	25.7%	54.8%	25.4%	5.6%	-1.8%	26.7M	-979.7M	-17.1M	0.81	11.09	12,709	10,329	900,614	814,269
2007-09-14	$49.95	$50.00	26.2%	7.5%	22.9%	57.0%	25.8%	6.2%	-2.2%	27.8M	-999.4M	-17.2M	1.61	10.84	5,826	9,359	902,821	814,227
2007-09-17	$49.51	$50.00	27.9%	8.0%	18.3%	62.3%	28.5%	6.2%	-2.1%	21.3M	-827.5M	-17.1M	1.46	8.33	6,349	9,253	904,085	816,022
2007-09-18	$51.21	$50.00	23.2%	6.6%	22.1%	47.5%	23.3%	4.9%	-1.1%	42.7M	-1.43B	-16.7M	0.54	8.72	54,791	29,609	904,846	820,635
2007-09-19	$51.07	$50.00	22.0%	6.3%	22.2%	43.9%	21.1%	4.4%	-1.5%	46.9M	-1.50B	-16.9M	0.85	9.56	43,129	36,581	930,661	821,574
2007-09-20	$50.79	$50.00	22.1%	6.3%	22.1%	44.4%	21.4%	3.7%	-0.6%	43.2M	-1.36B	-17.1M	1.33	10.19	25,214	33,485	938,625	829,004
2007-09-21	$51.24	$50.00	21.2%	6.1%	22.3%	41.4%	20.2%	5.5%	-0.2%	35.8M	-1.54B	-17.0M	1.12	13.79	15,498	17,422	943,615	838,750
2007-09-24	$50.59	$50.00	20.2%	5.8%	22.7%	38.2%	20.5%	3.3%	0.5%	29.6M	-1.17B	-16.7M	1.09	5.94	10,732	11,725	877,606	725,784
2007-09-25	$50.22	$50.00	20.7%	5.9%	21.8%	39.8%	21.1%	4.5%	0.1%	25.0M	-1.05B	-16.6M	0.95	9.17	16,401	15,656	882,379	730,381
2007-09-26	$50.41	$50.00	19.2%	5.5%	20.0%	35.2%	19.4%	3.9%	1.1%	26.2M	-1.11B	-16.5M	1.55	8.22	13,499	20,874	887,671	736,442
2007-09-27	$50.60	$50.00	19.9%	5.7%	19.0%	37.3%	19.8%	5.1%	0.7%	28.5M	-1.16B	-16.7M	2.04	5.78	7,690	15,726	891,772	747,131
2007-09-28	$50.27	$50.00	18.8%	5.4%	19.0%	33.9%	19.2%	4.5%	2.2%	23.2M	-1.03B	-16.7M	1.39	7.12	5,808	8,067	895,505	752,564