TBH Options History — January 2007

In January 2007, TBH traded between $27.40 and $30.08. ATM implied volatility averaged 68.2%. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 42.8% (HV 20d: 25.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2007-01-09: Largest IV spike — 61.2% change
  • 2007-01-23: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.28$27.40$30.08$30.08$28.87
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV68.2%51.5%127.7%63.0%65.7%
Expected Move17.4%13.7%21.6%18.1%18.8%
HV 20d25.4%24.9%25.9%25.7%25.9%
Term Structure-18.7%-35.8%-11.6%-17.5%-19.6%
Skew 25d4.2%1.5%8.3%5.9%5.8%
Skew 10d20.5%10.8%35.0%10.8%19.9%
Call IV 25d71.0%49.1%109.4%49.1%79.4%
Put IV 25d75.2%55.1%117.7%55.1%85.2%
Bid-Ask Spread %139.01120.78157.04156.84137.04
Gamma HHI0.980.901.000.971.00
Net GEX1.5K-434.2K4.2K-38
Net DEX-26.6K-77.8K2.4K-77.8K2.4K
Net VEX-50-135-5-135-5
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI30.4150501

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$30.08$30.0063.0%18.1%0.0%0.0%0.0%5.9%-17.5%4.2K-77.8K-1350.00156.84N/AN/A00491
2007-01-04$29.73$30.0064.3%18.4%0.0%0.0%0.0%5.7%-18.8%4.0K-72.2K-1300.00157.04N/AN/A00491
2007-01-05$28.33$0.0071.0%13.7%0.0%0.0%0.0%2.2%-11.6%3.1K-54.7K-1160.00137.59N/AN/A00491
2007-01-08$28.17$0.0079.2%14.2%0.0%0.0%0.0%1.7%-12.8%3.0K-52.9K-1030.00137.93N/AN/A00491
2007-01-09$27.40$0.00127.7%20.1%0.0%0.0%0.0%6.6%-14.2%2.5K-47.3K-940.00136.92N/AN/A00491
2007-01-10$27.51$0.0093.6%14.9%0.0%0.0%0.0%7.2%-15.0%3.0K-41.1K-860.00120.78N/AN/A00491
2007-01-11$27.77$0.0052.2%15.0%0.0%0.0%0.0%2.7%-14.0%2.8K-48.5K-850.00138.44N/AN/A00491
2007-01-12$28.02$0.0051.5%14.8%0.0%0.0%0.0%1.8%-14.6%2.7K-52.6K-850.00138.35N/AN/A00491
2007-01-16$27.87$0.0054.6%15.6%0.0%0.0%0.0%1.5%-16.7%2.5K-53.0K-610.00138.89N/AN/A00491
2007-01-17$28.00$0.0067.8%19.4%0.0%0.0%0.0%7.4%-35.8%-352.2K-60.00137.35N/AN/A00491
2007-01-18$27.98$0.0055.6%15.9%0.0%0.0%0.0%1.7%-17.8%2.4K-54.8K-450.00138.89N/AN/A00491
2007-01-19$28.22$0.0055.5%15.9%0.0%0.0%0.0%1.9%-17.8%-392.3K-60.00138.14N/AN/A00491
2007-01-22$28.03$0.0074.0%21.2%0.0%0.0%0.0%8.2%-27.9%-382.3K-50.00137.50N/AN/A0001
2007-01-23$28.17$0.0075.4%21.6%0.0%0.0%0.0%8.3%-28.7%-392.3K-50.00137.23N/AN/A0001
2007-01-24$28.55$0.0058.3%16.7%0.0%0.0%0.0%3.6%-14.0%-432.4K-50.00137.54N/AN/A0001
2007-01-25$28.29$0.0060.5%17.3%25.7%0.0%0.0%2.4%-15.0%-402.4K-50.00138.32N/AN/A0001
2007-01-26$28.40$0.0060.9%17.5%25.0%0.0%0.0%3.3%-23.9%-412.4K-50.00137.96N/AN/A0001
2007-01-29$27.88$0.0067.8%19.4%24.9%0.0%0.0%2.1%-20.0%-362.4K-50.00139.60N/AN/A0001
2007-01-30$28.42$0.0065.9%18.9%25.7%0.0%0.0%4.0%-19.1%-412.3K-60.00137.92N/AN/A0001
2007-01-31$28.87$0.0065.7%18.8%25.9%0.0%0.0%5.8%-19.6%-382.4K-50.00137.04N/AN/A0001