TBH Options History — May 2007

In May 2007, TBH traded between $34.59 and $40.17. ATM implied volatility averaged 47.8%. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 22.4% (HV 20d: 25.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-05-22: Highest Volume — 2 contracts
  • 2007-05-25: Largest IV drop — 39.9% change
  • 2007-05-01: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.92$34.59$40.17$34.64$39.64
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV47.8%29.1%67.7%58.6%31.5%
Expected Move12.6%8.4%16.8%16.8%9.0%
HV 20d25.4%15.7%33.5%28.9%32.9%
HV 60d32.2%28.8%34.1%33.3%29.6%
Term Structure-7.7%-22.3%3.9%-22.3%0.5%
Skew 25d4.8%2.2%6.6%3.8%4.9%
Skew 10d11.7%5.0%20.1%20.1%6.5%
Call IV 25d50.0%39.2%67.6%67.6%45.1%
Put IV 25d54.8%44.6%72.2%71.4%49.9%
Bid-Ask Spread %130.82116.57135.15132.45118.59
Gamma HHI0.970.631.001.000.65
Net GEX47-218260113-145
Net DEX-1.3K-6.4K3.1K-1.9K19
Net VEX-11-24-4-13-24
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.1360200
Total OI2.9091434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$34.64$35.0058.6%16.8%28.9%0.0%0.0%3.8%-22.3%113-1.9K-130.00132.45N/AN/A0021
2007-05-02$35.09$35.0057.3%16.4%28.7%0.0%0.0%5.6%-17.0%144-2.3K-120.00132.40N/AN/A0021
2007-05-03$35.32$35.0057.1%16.4%28.3%0.0%0.0%5.7%-16.4%160-2.5K-120.00132.50N/AN/A0021
2007-05-04$35.21$0.0059.1%12.0%28.6%0.0%0.0%4.4%-5.0%157-2.4K-120.00133.68N/AN/A0021
2007-05-07$35.20$0.0063.1%12.1%25.8%0.0%0.0%4.6%-5.6%169-2.3K-110.00133.69N/AN/A0021
2007-05-08$34.90$0.0065.2%12.3%23.7%0.0%0.0%5.0%-5.8%160-2.1K-110.00133.76N/AN/A0021
2007-05-09$35.43$0.0067.7%12.3%15.7%0.0%0.0%5.4%-6.1%184-2.6K-110.00133.70N/AN/A0021
2007-05-10$34.59$0.0043.7%12.5%18.0%0.0%0.0%4.5%-6.3%149-1.8K-100.00133.84N/AN/A0021
2007-05-11$35.00$0.0043.5%12.5%18.5%0.0%0.0%4.9%-6.6%172-2.1K-100.00133.67N/AN/A0021
2007-05-14$35.05$0.0045.4%13.0%18.4%0.0%0.0%5.3%-7.7%187-2.2K-90.00133.77N/AN/A0021
2007-05-15$35.64$0.0045.5%13.0%19.2%0.0%0.0%5.8%-8.9%233-2.8K-90.00133.91N/AN/A0021
2007-05-16$36.65$0.0046.8%13.4%21.4%0.0%0.0%5.3%-8.9%239-4.2K-80.00134.52N/AN/A0021
2007-05-17$36.60$0.0047.6%13.7%21.4%0.0%0.0%6.6%-9.9%260-4.3K-70.00134.75N/AN/A0021
2007-05-18$37.55$0.0045.9%13.2%22.8%0.0%0.0%3.4%-9.8%-63-6.4K-60.00134.20N/AN/A0021
2007-05-21$39.02$0.0045.1%12.9%25.2%0.0%0.0%3.2%-9.7%-67884-50.00133.99N/AN/A0001
2007-05-22$40.13$0.0044.3%12.7%26.4%0.0%0.0%5.0%-9.2%-60726-40.00133.38N/AN/A0201
2007-05-23$39.68$0.0045.5%13.0%27.0%0.0%0.0%5.4%-9.5%-1902.3K-130.00133.45N/AN/A0003
2007-05-24$38.03$0.0048.5%13.9%31.5%0.0%0.0%2.2%-12.6%-2183.1K-150.00135.15N/AN/A0003
2007-05-25$39.40$0.0029.1%8.4%33.5%0.0%0.0%5.4%3.9%-2082.4K-130.00116.57N/AN/A0003
2007-05-29$39.29$0.0031.5%9.0%31.8%0.0%0.0%5.2%0.3%-2112.4K-130.00117.09N/AN/A1003
2007-05-30$40.17$0.0030.0%8.6%32.2%0.0%0.0%3.3%3.6%-131-362-230.00118.94N/AN/A0013
2007-05-31$39.64$0.0031.5%9.0%32.9%0.0%0.0%4.9%0.5%-14519-240.00118.59N/AN/A0013