BAC Options History — November 2007

In November 2007, BAC traded between $41.88 and $46.27. ATM implied volatility averaged 38.6%, placing in the 74.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 2.1% (HV 20d: 36.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.89.

Notable Days

2007-11-02: Highest Volume — 147,507 contracts
2007-11-13: Largest IV drop — 36.3% change
2007-11-07: Highest IV Rank — 100.0%
2007-11-26: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.16	$41.88	$46.27	$45.71	$46.13
Max Pain	$45.36	$45.00	$50.00	$50.00	$45.00
ATM IV	38.6%	29.4%	53.2%	35.0%	29.9%
Expected Move	10.4%	8.4%	12.7%	10.0%	8.6%
HV 20d	36.5%	25.1%	46.2%	25.5%	43.7%
HV 60d	27.2%	24.0%	31.2%	24.5%	31.2%
IV Rank	74.4%	47.4%	100.0%	84.3%	48.6%
IV Percentile	96.5%	88.6%	100.0%	99.0%	89.1%
Term Structure	0.5%	-4.6%	2.9%	-3.4%	1.6%
VWIV	36.8%	29.8%	44.4%	33.3%	29.8%
Skew 25d	10.5%	5.7%	14.0%	5.7%	10.1%
Skew 10d	18.7%	11.1%	26.3%	11.1%	17.3%
Call IV 25d	31.8%	24.8%	39.9%	31.8%	24.8%
Put IV 25d	42.3%	34.5%	50.5%	37.5%	34.9%
Bid-Ask Spread %	7.89	5.38	12.94	8.70	12.94
Gamma HHI	0.18	0.11	0.27	0.23	0.16
Net GEX	-3.0M	-18.0M	17.6M	-5.8M	17.6M
Net DEX	485.7M	-196.5M	872.8M	310.3M	-196.5M
Net VEX	-16.4M	-17.5M	-15.3M	-16.7M	-17.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.46	1.56	0.46	0.73
Total Volume	85,167.143	27,517	147,507	81,188	105,957
Total OI	1,894,838.81	1,716,456	2,046,482	1,845,624	1,914,351

Daily Data (21 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
2007-11-01	$45.71	$50.00	35.0%	10.0%	25.5%	84.3%	33.3%	5.7%	-3.4%	-5.8M	310.3M	-16.7M	0.46	8.70	55,602	25,586	1,032,615	813,009
2007-11-02	$45.11	$47.50	37.9%	10.9%	25.1%	93.5%	37.7%	10.3%	-4.6%	-7.7M	457.5M	-16.4M	1.06	8.13	71,695	75,812	1,037,797	816,693
2007-11-05	$44.45	$45.00	37.7%	9.7%	25.2%	92.8%	33.9%	7.5%	0.9%	-11.2M	610.1M	-16.3M	0.71	11.06	52,288	37,358	1,052,322	834,085
2007-11-06	$45.56	$45.00	33.6%	8.8%	27.6%	80.1%	31.4%	8.6%	0.9%	-8.9M	310.4M	-16.7M	0.79	6.86	29,157	23,064	1,073,068	837,740
2007-11-07	$43.31	$45.00	42.5%	10.9%	31.6%	100.0%	38.0%	8.7%	-1.7%	-9.8M	872.8M	-15.6M	1.49	5.62	44,648	66,541	1,077,811	838,174
2007-11-08	$43.50	$45.00	47.5%	12.3%	31.7%	100.0%	41.2%	10.3%	-2.1%	-9.3M	771.7M	-16.2M	1.56	11.94	37,038	57,693	1,082,503	859,841
2007-11-09	$43.98	$45.00	53.2%	12.0%	32.5%	100.0%	41.4%	13.4%	0.8%	-6.7M	603.7M	-16.7M	0.86	7.61	62,259	53,353	1,087,784	868,110
2007-11-12	$43.98	$45.00	52.5%	11.4%	32.6%	98.5%	41.5%	14.0%	2.4%	-6.8M	645.4M	-16.4M	1.52	7.28	31,700	48,055	1,102,177	880,995
2007-11-13	$46.27	$45.00	33.5%	9.2%	38.0%	56.4%	36.6%	13.2%	1.2%	-5.6M	70.8M	-17.3M	0.70	6.92	60,263	42,302	1,106,411	887,678
2007-11-14	$45.73	$45.00	41.8%	10.1%	38.1%	74.9%	35.4%	11.5%	0.2%	-3.7M	199.4M	-16.9M	0.66	8.11	47,956	31,523	1,124,850	894,174
2007-11-15	$44.08	$45.00	35.6%	10.2%	39.2%	61.2%	36.8%	10.1%	1.4%	-8.0M	717.1M	-16.8M	0.97	6.35	26,680	25,774	1,141,089	905,393
2007-11-16	$44.37	$45.00	33.0%	9.5%	38.6%	55.3%	34.5%	10.3%	2.9%	-18.0M	688.6M	-16.6M	0.84	7.56	33,944	28,402	1,133,485	907,406
2007-11-19	$42.82	$45.00	36.7%	10.5%	40.1%	63.7%	36.2%	8.5%	1.8%	195.2K	561.0M	-15.6M	0.98	5.82	25,655	25,050	950,237	766,219
2007-11-20	$42.77	$45.00	37.1%	10.6%	40.1%	64.5%	36.9%	10.0%	2.3%	164.4K	616.1M	-15.5M	0.76	5.43	54,276	41,398	957,186	774,917
2007-11-21	$42.14	$45.00	40.6%	11.6%	40.2%	72.1%	40.9%	10.0%	0.7%	696.4K	692.3M	-15.9M	1.13	5.38	48,597	55,076	979,534	794,324
2007-11-23	$43.15	$45.00	40.4%	11.6%	41.5%	71.8%	39.0%	12.3%	0.1%	1.0M	548.0M	-16.4M	0.75	6.87	15,711	11,806	988,652	812,098
2007-11-26	$41.88	$45.00	44.3%	12.7%	41.3%	80.3%	44.4%	10.6%	-0.9%	-618.8K	749.3M	-15.3M	0.98	6.31	39,333	38,506	994,424	806,527
2007-11-27	$42.94	$45.00	38.4%	11.0%	42.8%	67.3%	37.5%	12.3%	0.8%	287.0K	628.2M	-15.9M	0.57	7.41	85,868	48,799	1,012,090	828,206
2007-11-28	$44.85	$45.00	30.8%	8.8%	46.2%	50.5%	33.0%	12.3%	1.5%	8.8M	141.1M	-17.2M	0.55	12.53	54,248	29,782	1,061,163	843,659
2007-11-29	$44.63	$45.00	29.4%	8.4%	46.0%	47.4%	32.6%	10.7%	2.9%	9.8M	202.6M	-17.3M	0.61	6.89	24,749	15,006	1,071,571	841,247
2007-11-30	$46.13	$45.00	29.9%	8.6%	43.7%	48.6%	29.8%	10.1%	1.6%	17.6M	-196.5M	-17.5M	0.73	12.94	61,172	44,785	1,075,227	839,124