BAC Options History — October 2007

In October 2007, BAC traded between $47.00 and $52.71. ATM implied volatility averaged 22.3%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.0% (HV 20d: 18.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.82.

Notable Days

2007-10-18: Highest Volume — 128,628 contracts
2007-10-19: Largest IV spike — 26.6% change
2007-10-25: Highest IV Rank — 65.0%
2007-10-25: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.07	$47.00	$52.71	$50.64	$48.28
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	22.3%	17.3%	28.8%	18.9%	25.9%
Expected Move	6.4%	4.9%	8.3%	5.4%	7.4%
HV 20d	18.2%	15.7%	20.9%	18.9%	18.8%
HV 60d	22.2%	21.7%	23.1%	21.9%	22.2%
IV Rank	44.8%	29.1%	65.0%	34.1%	56.1%
IV Percentile	76.6%	56.9%	96.6%	63.1%	89.5%
Term Structure	0.1%	-1.5%	1.6%	1.6%	-0.6%
VWIV	22.7%	18.1%	29.6%	18.2%	24.3%
Skew 25d	5.5%	1.9%	7.1%	5.0%	5.8%
Skew 10d	11.1%	5.5%	14.8%	13.0%	7.8%
Call IV 25d	20.2%	16.2%	25.9%	16.7%	22.5%
Put IV 25d	25.7%	19.8%	33.0%	21.8%	28.3%
Bid-Ask Spread %	8.78	4.49	13.13	8.79	11.99
Gamma HHI	0.25	0.18	0.34	0.27	0.19
Net GEX	29.6M	-19.8M	66.2M	29.0M	12.2M
Net DEX	-1.13B	-2.09B	-78.3M	-1.19B	-553.5M
Net VEX	-17.0M	-18.0M	-16.0M	-16.4M	-17.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.20	1.75	0.66	0.34
Total Volume	51,177.304	12,313	128,628	21,980	40,207
Total OI	1,751,207.304	1,649,141	1,841,760	1,649,141	1,841,760

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
2007-10-01	$50.64	$50.00	18.9%	5.4%	18.9%	34.1%	18.2%	5.0%	1.6%	29.0M	-1.19B	-16.4M	0.66	8.79	13,278	8,702	897,229	751,912
2007-10-02	$51.72	$50.00	17.3%	4.9%	20.2%	29.1%	18.1%	1.9%	0.9%	43.6M	-1.62B	-16.3M	0.37	6.12	37,800	14,157	900,752	751,947
2007-10-03	$51.93	$50.00	18.6%	5.3%	18.2%	33.3%	19.1%	3.3%	-0.1%	49.7M	-1.75B	-16.6M	0.47	4.63	27,348	12,927	920,304	754,236
2007-10-04	$52.40	$50.00	18.7%	5.4%	18.3%	33.7%	19.6%	5.1%	0.5%	56.7M	-1.97B	-16.5M	0.20	4.70	28,877	5,768	929,199	758,324
2007-10-05	$52.71	$50.00	17.8%	5.1%	17.0%	30.8%	19.2%	4.3%	0.7%	63.4M	-2.09B	-16.2M	0.49	7.16	32,661	15,928	936,182	759,241
2007-10-08	$52.43	$50.00	19.0%	5.3%	17.2%	34.6%	20.3%	5.6%	0.6%	61.5M	-1.97B	-16.4M	0.56	11.92	10,296	5,763	943,064	760,210
2007-10-09	$52.57	$50.00	18.3%	5.2%	17.1%	32.3%	21.3%	5.1%	0.4%	65.5M	-2.07B	-16.0M	0.26	12.74	48,896	12,669	944,008	760,877
2007-10-10	$52.30	$50.00	17.9%	5.1%	17.3%	31.2%	21.0%	4.9%	0.8%	64.5M	-1.99B	-17.0M	0.63	7.97	10,345	6,494	978,143	763,762
2007-10-11	$52.42	$50.00	19.0%	5.4%	17.1%	34.6%	20.0%	5.6%	-0.1%	66.2M	-2.05B	-17.2M	1.26	9.87	10,626	13,418	979,900	764,888
2007-10-12	$52.07	$50.00	18.7%	5.4%	17.4%	33.6%	19.2%	4.7%	0.0%	63.0M	-1.94B	-17.1M	0.85	8.63	6,653	5,660	983,206	766,021
2007-10-15	$51.42	$50.00	20.1%	5.8%	17.7%	38.0%	22.0%	6.6%	0.4%	47.7M	-1.60B	-17.1M	1.39	13.13	17,693	24,518	983,381	767,483
2007-10-16	$50.20	$50.00	24.2%	6.9%	15.7%	50.9%	23.3%	6.8%	-0.8%	21.7M	-1.11B	-17.0M	1.24	12.55	22,883	28,424	985,005	773,768
2007-10-17	$50.03	$50.00	23.5%	6.7%	15.7%	48.5%	23.7%	5.9%	-0.7%	18.4M	-1.04B	-17.2M	1.10	9.49	49,005	54,025	988,444	780,814
2007-10-18	$48.85	$50.00	22.1%	6.3%	17.7%	44.1%	23.7%	5.3%	1.1%	616.8K	-459.9M	-17.0M	0.67	6.89	77,133	51,495	1,003,212	795,169
2007-10-19	$47.57	$50.00	27.9%	8.0%	19.2%	62.4%	26.9%	5.4%	-1.2%	-19.8M	-193.0M	-17.2M	1.75	11.83	27,554	48,221	1,032,955	792,041
2007-10-22	$47.78	$50.00	24.8%	7.1%	19.1%	52.6%	24.8%	6.9%	0.8%	6.2M	-351.6M	-17.2M	0.93	11.04	39,030	36,246	974,968	758,575
2007-10-23	$47.78	$50.00	23.8%	6.8%	19.0%	49.4%	24.6%	6.5%	0.8%	4.4M	-336.6M	-17.1M	0.94	5.43	36,887	34,762	985,292	771,438
2007-10-24	$47.48	$50.00	26.1%	7.5%	18.9%	56.7%	27.0%	6.1%	0.3%	2.8M	-239.0M	-17.5M	1.01	11.70	28,291	28,494	990,696	794,346
2007-10-25	$47.00	$50.00	28.8%	8.3%	18.9%	65.0%	29.6%	7.1%	-1.3%	367.7K	-78.3M	-17.3M	1.08	6.28	38,060	41,057	995,247	791,951
2007-10-26	$48.03	$50.00	26.1%	7.5%	20.9%	56.7%	24.8%	6.4%	0.3%	7.5M	-419.5M	-18.0M	1.04	7.45	27,224	28,243	1,010,518	809,051
2007-10-29	$47.98	$50.00	27.0%	7.7%	20.6%	59.5%	25.4%	6.0%	-0.7%	7.9M	-451.0M	-17.7M	0.62	4.49	20,161	12,480	1,011,122	804,842
2007-10-30	$47.99	$50.00	28.1%	8.1%	18.6%	62.9%	27.0%	5.6%	-1.5%	8.6M	-444.3M	-17.6M	0.92	7.18	19,164	17,555	1,021,134	811,151
2007-10-31	$48.28	$50.00	25.9%	7.4%	18.8%	56.1%	24.3%	5.8%	-0.6%	12.2M	-553.5M	-17.4M	0.34	11.99	29,929	10,278	1,028,195	813,565