TBH Options History — October 2007

In October 2007, TBH traded between $23.25 and $25.20. ATM implied volatility averaged 44.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 6.1% (HV 20d: 37.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-10-09: Highest Volume — 11 contracts
  • 2007-10-19: Largest IV spike — 132.5% change
  • 2007-10-19: Highest IV Rank — 45.1%
  • 2007-10-19: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.37$23.25$25.20$24.40$25.03
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV44.0%31.2%90.2%34.7%40.2%
Expected Move12.0%8.5%25.9%9.9%11.5%
HV 20d37.8%32.6%43.3%39.5%35.8%
HV 60d65.3%48.5%140.6%140.5%48.5%
IV Rank12.0%2.8%45.1%5.3%9.3%
IV Percentile31.2%5.7%89.5%13.4%22.1%
Term Structure-2.0%-35.6%21.8%3.6%6.7%
VWIV44.1%44.1%44.1%44.1%44.1%
Skew 25d9.1%-5.9%63.1%35.5%-2.1%
Skew 10d26.6%11.8%80.6%55.2%14.8%
Call IV 25d39.5%27.6%68.1%28.0%38.7%
Put IV 25d48.6%32.1%92.9%63.5%36.6%
Bid-Ask Spread %141.5495.54179.66136.29139.01
Gamma HHI0.720.490.860.860.75
Net GEX1.2K8211.6K8861.5K
Net DEX-32.7K-41.2K-16.3K-22.3K-41.2K
Net VEX-156-178-117-125-161
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.8701100
Total OI36.60923432343

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$24.40$0.0034.7%9.9%39.5%5.3%0.0%35.5%3.6%886-22.3K-1250.00136.29N/AN/A00203
2007-10-02$24.00$0.0038.1%10.9%39.3%7.8%0.0%33.7%-6.8%872-20.2K-1220.00135.57N/AN/A00203
2007-10-03$23.26$0.0053.4%15.3%41.0%18.7%0.0%32.1%-9.7%821-16.3K-1170.00138.18N/AN/A00203
2007-10-04$24.23$0.0044.0%12.6%43.3%12.0%0.0%1.7%-18.7%900-21.6K-1240.00109.52N/AN/A00203
2007-10-05$24.74$0.0037.2%8.9%38.0%7.1%0.0%42.1%6.8%918-23.9K-1240.00131.59N/AN/A00203
2007-10-08$24.36$0.0042.1%8.5%38.8%10.7%0.0%0.6%14.9%891-22.3K-1220.00141.16N/AN/A60203
2007-10-09$25.04$0.0043.3%8.7%38.2%11.5%44.1%-4.2%8.6%1.1K-36.6K-1590.00132.67N/AN/A110263
2007-10-10$24.93$25.0045.5%8.8%37.5%13.1%0.0%-1.1%7.7%1.3K-37.2K-1640.00135.39N/AN/A00373
2007-10-11$24.59$25.0031.2%8.9%38.1%2.8%0.0%2.4%7.3%1.3K-34.7K-1640.00140.86N/AN/A00373
2007-10-12$25.20$25.0033.4%9.6%38.7%4.4%0.0%63.1%8.2%1.4K-39.9K-1680.00149.30N/AN/A00373
2007-10-15$24.31$25.0037.5%10.7%40.4%7.3%0.0%2.2%-1.6%1.3K-33.1K-1620.00142.81N/AN/A20373
2007-10-16$23.78$25.0040.5%11.6%33.7%9.5%0.0%1.4%-7.1%1.3K-30.5K-1690.00141.52N/AN/A10393
2007-10-17$23.88$25.0040.3%11.6%33.5%9.4%0.0%1.6%-6.9%1.4K-33.5K-1730.00142.33N/AN/A00403
2007-10-18$24.17$25.0038.8%11.1%32.6%8.3%0.0%1.9%-3.9%1.4K-35.8K-1730.00143.34N/AN/A00403
2007-10-19$23.25$25.0090.2%25.9%35.0%45.1%0.0%4.9%-35.6%1.1K-34.4K-1780.00178.11N/AN/A00403
2007-10-22$24.13$25.0060.7%17.4%37.5%23.9%0.0%5.5%21.8%1.3K-40.5K-1780.00179.66N/AN/A00403
2007-10-23$24.68$25.0040.0%11.5%38.2%9.1%0.0%-1.7%-1.2%1.5K-38.8K-1700.00148.96N/AN/A00403
2007-10-24$24.52$25.0041.4%11.9%38.3%10.1%0.0%-1.9%-3.5%1.4K-38.0K-1690.00148.22N/AN/A00403
2007-10-25$24.20$25.0043.8%12.6%38.6%11.8%0.0%1.0%-8.3%1.5K-35.4K-1670.00146.31N/AN/A00403
2007-10-26$24.41$25.0040.8%11.7%38.5%9.7%0.0%-5.9%-5.2%1.4K-36.0K-1630.0095.54N/AN/A00403
2007-10-29$24.71$25.0044.2%12.7%38.1%12.1%0.0%-1.9%-6.9%1.5K-39.0K-1630.00153.03N/AN/A00403
2007-10-30$24.64$25.0049.8%14.3%37.6%16.2%0.0%-2.1%-17.4%1.6K-40.0K-1660.00146.10N/AN/A00403
2007-10-31$25.03$25.0040.2%11.5%35.8%9.3%0.0%-2.1%6.7%1.5K-41.2K-1610.00139.01N/AN/A00403