BAC Options History — February 2008

In February 2008, BAC traded between $39.74 and $45.03. ATM implied volatility averaged 34.4%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 10.5% (HV 20d: 44.9%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.96.

Notable Days

2008-02-05: Highest Volume — 137,658 contracts
2008-02-05: Largest IV spike — 24.8% change
2008-02-05: Highest IV Rank — 66.1%
2008-02-07: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.63	$39.74	$45.03	$45.03	$39.74
Max Pain	$41.00	$40.00	$42.50	$40.00	$42.50
ATM IV	34.4%	28.9%	39.9%	29.4%	38.5%
Expected Move	10.0%	8.3%	11.4%	8.4%	11.0%
HV 20d	44.9%	31.6%	54.0%	51.1%	32.2%
HV 60d	39.6%	37.3%	41.6%	41.6%	38.1%
IV Rank	54.8%	43.3%	66.1%	44.5%	63.3%
IV Percentile	81.8%	68.3%	92.5%	76.6%	90.9%
Term Structure	2.0%	-0.9%	4.9%	1.7%	3.5%
VWIV	35.5%	28.7%	41.5%	31.4%	38.4%
Skew 25d	8.8%	6.3%	11.6%	6.3%	7.5%
Skew 10d	17.0%	10.3%	20.5%	18.3%	13.5%
Call IV 25d	31.0%	25.7%	35.8%	28.9%	35.8%
Put IV 25d	39.8%	32.5%	44.7%	35.2%	43.3%
Bid-Ask Spread %	8.32	6.22	12.87	7.03	8.04
Gamma HHI	0.12	0.11	0.13	0.12	0.11
Net GEX	10.9M	-609.3K	18.0M	18.0M	-609.3K
Net DEX	-237.0M	-857.8M	457.8M	-857.8M	457.8M
Net VEX	-17.4M	-18.0M	-16.5M	-17.4M	-16.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.47	1.78	0.65	1.19
Total Volume	78,606.4	48,837	137,658	98,098	130,851
Total OI	1,858,956.85	1,638,657	2,037,785	1,820,657	1,839,850

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
2008-02-01	$45.03	$40.00	29.4%	8.4%	51.1%	44.5%	31.4%	6.3%	1.7%	18.0M	-857.8M	-17.4M	0.65	7.03	59,441	38,657	928,507	892,150
2008-02-04	$44.03	$42.50	31.9%	9.3%	51.7%	49.7%	32.1%	9.4%	0.2%	16.8M	-584.4M	-17.0M	0.92	8.52	35,082	32,295	943,323	895,397
2008-02-05	$42.37	$42.50	39.9%	11.1%	54.0%	66.1%	41.5%	10.1%	-0.3%	7.8M	-157.5M	-16.9M	1.43	8.58	56,583	81,075	952,848	910,588
2008-02-06	$42.33	$42.50	38.2%	11.0%	51.8%	62.7%	40.1%	10.2%	-0.1%	5.7M	-117.2M	-17.3M	0.80	12.87	32,321	25,750	970,552	948,280
2008-02-07	$43.37	$40.00	37.9%	11.4%	52.2%	61.9%	41.3%	11.6%	-0.9%	12.0M	-466.1M	-18.0M	1.34	9.31	36,625	49,173	981,656	954,308
2008-02-08	$42.16	$42.50	36.1%	11.1%	53.5%	58.2%	40.6%	10.4%	1.0%	4.2M	-98.4M	-17.6M	1.34	8.73	27,426	36,889	992,194	976,595
2008-02-11	$42.14	$40.00	38.3%	11.1%	52.8%	62.8%	39.0%	10.0%	0.7%	5.8M	-100.7M	-17.3M	0.47	8.20	49,613	23,567	995,685	978,737
2008-02-12	$42.82	$40.00	37.0%	11.0%	52.7%	60.0%	37.4%	10.5%	1.9%	12.1M	-381.2M	-17.5M	1.24	7.20	43,893	54,383	1,010,008	973,076
2008-02-13	$43.33	$40.00	34.7%	10.6%	50.6%	55.3%	33.9%	9.7%	1.3%	15.7M	-515.2M	-17.9M	0.65	8.24	31,459	20,588	1,025,586	985,155
2008-02-14	$42.24	$40.00	35.7%	10.2%	51.6%	57.5%	36.9%	9.3%	2.4%	13.1M	-162.1M	-17.4M	0.97	8.56	30,283	29,225	1,039,057	990,704
2008-02-15	$42.70	$40.00	35.7%	10.2%	47.9%	57.4%	36.2%	8.8%	2.3%	14.7M	-374.8M	-17.5M	0.65	9.42	63,401	41,079	1,045,673	992,112
2008-02-19	$42.67	$40.00	34.9%	10.0%	46.4%	55.8%	33.6%	10.6%	1.0%	7.9M	-173.9M	-17.4M	0.48	9.50	60,675	29,019	834,002	804,655
2008-02-20	$42.97	$42.50	33.1%	9.5%	45.0%	52.0%	32.9%	9.2%	2.3%	11.2M	-255.8M	-17.6M	0.47	8.21	33,277	15,560	869,030	820,417
2008-02-21	$42.21	$40.00	32.8%	9.4%	36.1%	51.5%	32.4%	8.5%	3.2%	9.3M	-83.0M	-17.1M	1.12	6.22	40,217	45,205	885,756	823,950
2008-02-22	$42.60	$40.00	31.1%	8.9%	35.4%	47.9%	32.5%	6.3%	3.9%	13.0M	-195.9M	-17.7M	1.06	7.39	27,456	29,079	903,584	839,514
2008-02-25	$42.94	$40.00	31.8%	9.1%	35.1%	49.4%	33.7%	7.2%	2.7%	14.5M	-277.9M	-17.7M	1.78	8.13	23,675	42,109	909,722	853,031
2008-02-26	$42.72	$40.00	29.6%	8.5%	32.1%	44.9%	31.5%	6.7%	4.3%	12.5M	-183.4M	-17.5M	0.94	7.20	35,833	33,769	919,086	872,079
2008-02-27	$42.88	$42.50	28.9%	8.3%	31.6%	43.3%	28.7%	6.8%	4.9%	15.4M	-253.6M	-17.6M	0.65	7.21	31,291	20,416	931,882	870,131
2008-02-28	$41.42	$42.50	32.6%	9.3%	33.9%	51.0%	35.2%	6.5%	4.0%	8.1M	40.6M	-17.3M	1.00	7.86	37,397	37,491	947,645	872,612
2008-02-29	$39.74	$42.50	38.5%	11.0%	32.2%	63.3%	38.4%	7.5%	3.5%	-609.3K	457.8M	-16.5M	1.19	8.04	59,639	71,212	956,182	883,668