TBH Options History — December 2007 In December 2007, TBH traded between $21.04 and $23.80. ATM implied volatility averaged 49.7%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 3.0% (HV 20d: 52.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days.
Notable Days 2007-12-13 : Largest IV drop — 31.9% change2007-12-11 : Highest IV Rank — 25.4%2007-12-06 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $22.77 $21.04 $23.80 $22.84 $23.51 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 49.7% 39.7% 62.7% 48.4% 52.3% Expected Move 13.1% 10.6% 16.0% 13.9% 15.0% HV 20d 52.8% 44.8% 61.8% 60.1% 44.9% HV 60d 45.8% 43.5% 48.1% 45.0% 46.9% IV Rank 16.1% 8.9% 25.4% 15.1% 17.9% IV Percentile 48.7% 18.8% 73.7% 48.3% 55.8% Term Structure -3.9% -13.7% 3.3% -3.9% -8.4% Skew 25d 2.5% -11.1% 4.9% 4.9% 3.2% Skew 10d 10.5% 7.7% 27.3% 8.6% 8.5% Call IV 25d 53.1% 42.3% 67.7% 44.3% 67.7% Put IV 25d 55.6% 39.6% 70.9% 49.1% 70.9% Bid-Ask Spread % 133.04 116.03 147.68 147.68 133.10 Gamma HHI 0.77 0.65 0.80 0.78 0.80 Net GEX 1.4K 749 1.7K 1.4K 1.7K Net DEX -19.6K -28.1K -8.7K -20.6K -24.1K Net VEX -98 -117 -73 -111 -90 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 32 32 32 32 32
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-12-03 $22.84 $0.00 48.4% 13.9% 60.1% 15.1% 0.0% 4.9% -3.9% 1.4K -20.6K -111 0.00 147.68 N/A N/A 0 0 29 3 2007-12-04 $22.20 $0.00 50.5% 14.5% 60.7% 16.6% 0.0% 3.4% -13.7% 1.2K -16.8K -105 0.00 147.59 N/A N/A 0 0 29 3 2007-12-05 $23.10 $0.00 52.5% 15.1% 61.8% 18.1% 0.0% 2.8% -6.5% 1.5K -21.9K -114 0.00 145.21 N/A N/A 0 0 29 3 2007-12-06 $23.44 $0.00 55.9% 16.0% 61.2% 20.5% 0.0% 2.0% -10.5% 1.5K -25.2K -117 0.00 143.79 N/A N/A 0 0 29 3 2007-12-07 $23.42 $25.00 57.8% 11.0% 60.5% 21.8% 0.0% 2.1% 2.8% 1.5K -25.1K -116 0.00 128.54 N/A N/A 0 0 29 3 2007-12-10 $23.80 $25.00 60.9% 10.6% 60.0% 24.1% 0.0% 1.4% 1.0% 1.6K -28.1K -117 0.00 128.59 N/A N/A 0 0 29 3 2007-12-11 $23.18 $25.00 62.7% 11.1% 55.8% 25.4% 0.0% 2.8% 3.3% 1.5K -22.6K -109 0.00 129.50 N/A N/A 0 0 29 3 2007-12-12 $22.92 $25.00 59.2% 12.1% 49.8% 22.9% 0.0% 0.0% -0.4% 1.5K -18.5K -99 0.00 116.03 N/A N/A 0 0 29 3 2007-12-13 $22.40 $25.00 40.3% 11.6% 49.6% 9.3% 0.0% 4.0% 0.5% 1.2K -16.2K -95 0.00 132.07 N/A N/A 0 0 29 3 2007-12-14 $22.31 $25.00 39.7% 11.4% 49.5% 8.9% 0.0% -11.1% 0.6% 1.2K -15.1K -91 0.00 119.46 N/A N/A 0 0 29 3 2007-12-17 $21.04 $25.00 47.1% 13.5% 51.4% 14.2% 0.0% 4.6% -1.1% 749 -8.7K -73 0.00 131.81 N/A N/A 0 0 29 3 2007-12-18 $21.48 $25.00 43.8% 12.5% 50.7% 11.8% 0.0% 4.2% -6.2% 893 -11.1K -80 0.00 131.97 N/A N/A 0 0 29 3 2007-12-19 $21.61 $25.00 43.5% 12.5% 49.4% 11.6% 0.0% 3.9% -5.5% 934 -11.6K -80 0.00 132.44 N/A N/A 0 0 29 3 2007-12-20 $21.38 $25.00 46.2% 13.2% 48.8% 13.5% 0.0% 4.5% -9.3% 857 -10.2K -75 0.00 132.56 N/A N/A 0 0 29 3 2007-12-21 $23.05 $25.00 42.3% 12.1% 56.3% 10.8% 0.0% 4.3% 0.9% 1.5K -20.7K -96 0.00 132.56 N/A N/A 0 0 29 3 2007-12-24 $23.70 $25.00 46.8% 13.4% 48.0% 14.0% 0.0% 2.0% -5.8% 1.7K -26.4K -101 0.00 131.06 N/A N/A 0 0 29 3 2007-12-26 $23.45 $25.00 47.8% 13.7% 47.1% 14.7% 0.0% 2.9% -6.1% 1.6K -24.1K -96 0.00 131.84 N/A N/A 0 0 29 3 2007-12-27 $23.14 $25.00 47.3% 13.6% 44.8% 14.4% 0.0% 4.7% -1.9% 1.5K -21.1K -91 0.00 133.04 N/A N/A 0 0 29 3 2007-12-28 $23.49 $25.00 49.8% 14.3% 44.9% 16.1% 0.0% 3.0% -8.7% 1.6K -24.3K -94 0.00 131.94 N/A N/A 0 0 29 3 2007-12-31 $23.51 $25.00 52.3% 15.0% 44.9% 17.9% 0.0% 3.2% -8.4% 1.7K -24.1K -90 0.00 133.10 N/A N/A 0 0 29 3
« Nov 2007 | All History | Jan 2008 » Home TBH History December 2007