BAC Options History — December 2007

In December 2007, BAC traded between $41.10 and $46.64. ATM implied volatility averaged 31.9%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 5.8% (HV 20d: 37.7%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.67.

Notable Days

2007-12-31: Highest Volume — 398,334 contracts
2007-12-12: Largest IV spike — 27.0% change
2007-12-12: Highest IV Rank — 73.1%
2007-12-13: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.16	$41.10	$46.64	$45.47	$41.26
Max Pain	$46.13	$45.00	$47.50	$45.00	$45.00
ATM IV	31.9%	25.8%	41.0%	31.0%	29.3%
Expected Move	9.1%	7.7%	11.1%	8.9%	8.4%
HV 20d	37.7%	26.4%	43.8%	43.7%	26.4%
HV 60d	32.5%	31.2%	33.3%	31.2%	32.8%
IV Rank	52.9%	39.5%	73.1%	51.0%	47.3%
IV Percentile	87.8%	79.2%	97.5%	89.6%	84.0%
Term Structure	2.5%	0.8%	4.7%	0.8%	2.5%
VWIV	32.6%	27.7%	45.1%	31.6%	32.3%
Skew 25d	9.3%	6.2%	12.0%	7.2%	10.6%
Skew 10d	18.9%	12.1%	23.9%	13.1%	20.2%
Call IV 25d	29.3%	24.7%	36.4%	28.5%	27.9%
Put IV 25d	38.6%	31.7%	46.0%	35.7%	38.4%
Bid-Ask Spread %	6.52	3.71	11.17	5.32	5.18
Gamma HHI	0.14	0.12	0.19	0.14	0.14
Net GEX	4.7M	-9.0M	29.4M	15.5M	-5.0M
Net DEX	315.3M	-776.2M	826.5M	-27.7M	722.6M
Net VEX	-16.2M	-17.9M	-14.0M	-17.3M	-14.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.30	6.88	1.06	3.83
Total Volume	105,271.8	38,681	398,334	38,681	398,334
Total OI	2,013,890.25	1,926,613	2,099,961	1,960,559	1,935,981

Daily Data (20 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
2007-12-03	$45.47	$45.00	31.0%	8.9%	43.7%	51.0%	31.6%	7.2%	0.8%	15.5M	-27.7M	-17.3M	1.06	5.32	18,765	19,916	1,104,517	856,042
2007-12-04	$44.71	$45.00	31.1%	8.9%	43.8%	51.1%	45.1%	6.5%	1.1%	11.2M	200.3M	-17.1M	0.30	7.82	95,963	29,243	1,104,966	855,737
2007-12-05	$45.23	$45.00	29.3%	8.4%	43.1%	47.2%	29.8%	9.0%	2.3%	17.6M	-116.1M	-17.6M	0.51	7.00	42,907	21,930	1,106,633	867,681
2007-12-06	$45.96	$45.00	28.1%	8.0%	39.1%	44.5%	27.7%	6.2%	1.8%	25.8M	-465.6M	-17.8M	0.82	11.17	67,033	54,789	1,118,903	853,366
2007-12-07	$45.37	$47.50	26.2%	8.3%	39.5%	40.3%	28.9%	8.3%	2.1%	21.6M	-314.5M	-17.6M	0.70	5.85	36,184	25,199	1,149,322	874,669
2007-12-10	$46.64	$47.50	25.8%	7.7%	40.4%	39.5%	29.7%	10.2%	1.4%	29.4M	-776.2M	-17.9M	1.18	7.55	40,012	47,066	1,157,217	861,836
2007-12-11	$44.65	$47.50	32.3%	9.1%	43.7%	53.8%	30.7%	9.5%	1.3%	13.1M	-47.3M	-17.4M	2.22	5.62	38,133	84,744	1,167,310	877,707
2007-12-12	$43.43	$47.50	41.0%	11.1%	40.5%	73.1%	36.6%	8.8%	0.8%	7.1M	211.4M	-17.1M	1.48	10.85	44,426	65,910	1,170,619	872,003
2007-12-13	$43.05	$47.50	38.7%	11.1%	40.5%	68.0%	36.3%	9.0%	1.3%	3.6M	365.0M	-16.9M	1.28	6.72	40,400	51,869	1,181,207	886,743
2007-12-14	$42.16	$47.50	38.3%	11.0%	39.1%	67.2%	38.3%	8.1%	1.7%	876.6K	551.3M	-16.4M	1.24	7.25	20,437	25,318	1,199,283	888,285
2007-12-17	$41.70	$47.50	38.7%	11.1%	39.0%	68.0%	39.1%	9.6%	2.2%	-2.8M	694.4M	-16.0M	0.92	7.58	24,141	22,318	1,200,808	895,656
2007-12-18	$41.50	$47.50	36.3%	10.4%	37.1%	62.8%	34.3%	11.6%	3.0%	-7.1M	788.8M	-15.7M	0.98	7.04	65,906	64,445	1,201,083	898,878
2007-12-19	$41.59	$47.50	33.3%	9.6%	37.2%	56.1%	29.4%	11.6%	3.8%	-8.3M	739.5M	-15.4M	0.70	3.71	83,289	57,987	1,201,284	875,249
2007-12-20	$41.41	$45.00	32.5%	9.3%	36.8%	54.4%	32.8%	10.6%	4.0%	-9.0M	826.5M	-15.2M	4.42	5.02	20,106	88,808	1,214,106	884,325
2007-12-21	$41.92	$45.00	29.9%	8.6%	36.0%	48.7%	31.6%	11.4%	4.1%	-8.6M	637.4M	-15.4M	0.74	4.71	27,792	20,449	1,197,721	897,129
2007-12-24	$42.28	$45.00	27.9%	8.0%	34.6%	44.1%	28.4%	8.4%	4.7%	-2.6M	439.6M	-15.5M	6.88	5.46	15,942	109,671	1,109,544	820,033
2007-12-26	$42.30	$45.00	27.9%	8.0%	33.3%	44.1%	28.9%	7.2%	3.3%	-956.8K	443.6M	-15.2M	1.83	5.73	16,882	30,944	1,115,275	811,338
2007-12-27	$41.46	$45.00	27.5%	7.9%	29.6%	43.3%	29.9%	9.5%	4.6%	-3.1M	656.5M	-14.5M	0.70	6.28	29,747	20,754	1,118,754	811,491
2007-12-28	$41.10	$45.00	32.1%	9.2%	29.6%	53.4%	30.3%	12.0%	2.6%	-4.5M	775.9M	-14.1M	1.60	4.53	52,868	84,809	1,119,219	815,885
2007-12-31	$41.26	$45.00	29.3%	8.4%	26.4%	47.3%	32.3%	10.6%	2.5%	-5.0M	722.6M	-14.0M	3.83	5.18	82,448	315,886	1,116,674	819,307