TBH Options History — June 2007 In June 2007, TBH traded between $36.64 and $40.50. ATM implied volatility averaged 42.7%. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.2% (HV 20d: 37.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2007-06-21 : Highest Volume — 30 contracts2007-06-08 : Largest IV spike — 92.6% change2007-06-08 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $38.89 $36.64 $40.50 $40.50 $39.18 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 42.7% 28.0% 98.7% 32.5% 30.0% Expected Move 8.9% 7.6% 12.9% 9.3% 8.6% HV 20d 37.5% 32.3% 41.5% 33.4% 32.3% HV 60d 31.5% 29.8% 32.3% 29.8% 31.6% Term Structure 1.5% -18.9% 7.7% 5.2% 2.1% Skew 25d 3.5% -1.2% 9.5% 3.2% 5.4% Skew 10d 9.5% 4.6% 15.4% 10.3% 5.7% Call IV 25d 37.1% 31.1% 61.7% 45.5% 39.7% Put IV 25d 40.6% 32.9% 66.6% 48.7% 45.1% Bid-Ask Spread % 112.94 96.06 131.19 118.24 115.77 Gamma HHI 0.69 0.54 0.87 0.61 0.86 Net GEX 991 -152 2.6K -112 2.6K Net DEX -30.8K -83.5K 73 -687 -77.4K Net VEX -184 -436 -22 -22 -431 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.81 0 30 0 0 Total OI 19.81 4 42 4 42
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-06-01 $40.50 $0.00 32.5% 9.3% 33.4% 0.0% 0.0% 3.2% 5.2% -112 -687 -22 0.00 118.24 N/A N/A 0 0 1 3 2007-06-04 $39.43 $35.00 36.4% 9.4% 35.3% 0.0% 0.0% 1.6% -0.1% -152 73 -23 0.00 109.82 N/A N/A 8 0 1 3 2007-06-05 $38.69 $35.00 41.6% 9.3% 36.3% 0.0% 0.0% -0.8% 0.7% 462 -14.2K -99 0.00 111.10 N/A N/A 0 0 9 3 2007-06-06 $38.14 $35.00 46.3% 8.1% 36.7% 0.0% 0.0% -1.2% 2.4% 436 -12.7K -98 0.00 113.05 N/A N/A 0 0 9 3 2007-06-07 $36.64 $35.00 51.2% 8.0% 39.6% 0.0% 0.0% 1.8% 7.7% 288 -8.9K -91 0.00 114.00 N/A N/A 0 0 9 3 2007-06-08 $38.09 $35.00 98.7% 12.9% 40.5% 0.0% 0.0% 4.9% -18.9% 464 -12.3K -97 0.00 131.19 N/A N/A 0 0 9 3 2007-06-11 $38.26 $35.00 62.0% 7.6% 40.4% 0.0% 0.0% 3.5% 6.7% 433 -13.7K -94 0.00 113.80 N/A N/A 0 0 9 3 2007-06-12 $37.57 $35.00 79.2% 8.3% 41.2% 0.0% 0.0% 2.1% 3.4% 376 -11.3K -91 0.00 113.71 N/A N/A 0 0 9 3 2007-06-13 $38.19 $35.00 79.7% 7.8% 41.2% 0.0% 0.0% 3.4% 4.0% 482 -13.9K -95 0.00 113.65 N/A N/A 0 0 9 3 2007-06-14 $39.37 $35.00 32.8% 9.4% 41.4% 0.0% 0.0% 2.1% 0.3% 488 -16.2K -95 0.00 111.54 N/A N/A 0 0 9 3 2007-06-15 $39.93 $35.00 32.6% 9.3% 41.5% 0.0% 0.0% 3.3% 0.4% 534 -17.8K -94 0.00 111.46 N/A N/A 0 0 9 3 2007-06-18 $39.52 $35.00 32.7% 9.4% 41.0% 0.0% 0.0% 2.9% -0.6% 524 -16.7K -93 0.00 112.36 N/A N/A 0 0 9 3 2007-06-19 $39.56 $35.00 32.7% 9.4% 38.8% 0.0% 0.0% 3.0% -0.2% 535 -16.9K -92 0.00 112.48 N/A N/A 0 0 9 3 2007-06-20 $38.75 $35.00 28.0% 8.0% 38.1% 0.0% 0.0% 4.8% 4.5% 486 -15.0K -91 0.00 114.57 N/A N/A 0 0 9 3 2007-06-21 $39.51 $35.00 32.0% 9.2% 38.6% 0.0% 0.0% 9.5% 0.3% 519 -16.8K -91 0.00 96.06 N/A N/A 30 0 9 3 2007-06-22 $38.84 $35.00 28.4% 8.1% 35.9% 0.0% 0.0% 5.0% 4.0% 2.4K -73.4K -436 0.00 114.65 N/A N/A 0 0 39 3 2007-06-25 $38.48 $35.00 30.4% 8.7% 33.7% 0.0% 0.0% 4.4% 0.3% 2.5K -70.0K -430 0.00 114.38 N/A N/A 0 0 39 3 2007-06-26 $39.15 $35.00 28.5% 8.2% 34.3% 0.0% 0.0% 5.2% 4.2% 2.5K -77.3K -434 0.00 98.68 N/A N/A 0 0 39 3 2007-06-27 $39.31 $35.00 28.5% 8.2% 33.3% 0.0% 0.0% 5.3% 4.3% 2.6K -79.0K -434 0.00 115.91 N/A N/A 0 0 39 3 2007-06-28 $39.59 $35.00 32.0% 9.2% 33.1% 0.0% 0.0% 4.0% 0.1% 2.6K -83.5K -435 0.00 115.28 N/A N/A 0 0 39 3 2007-06-29 $39.18 $35.00 30.0% 8.6% 32.3% 0.0% 0.0% 5.4% 2.1% 2.6K -77.4K -431 0.00 115.77 N/A N/A 0 0 39 3
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