TEX Options History — January 2007

In January 2007, TEX traded between $56.61 and $59.27. ATM implied volatility averaged 41.7%. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 10.9% (HV 20d: 30.9%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2007-01-03: Highest Volume — 4,484 contracts
  • 2007-01-11: Largest IV spike — 19.7% change
  • 2007-01-31: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.98$56.61$59.27$59.06$56.89
Max Pain$59.00$50.00$60.00$50.00$60.00
ATM IV41.7%35.6%46.9%36.2%46.9%
Expected Move12.4%10.4%13.4%10.4%13.4%
HV 20d30.9%30.0%31.8%31.8%30.0%
Term Structure-2.5%-5.7%5.6%5.6%-5.7%
VWIV43.3%36.4%47.7%36.4%46.2%
Skew 25d4.2%1.8%9.2%4.2%5.2%
Skew 10d7.9%3.8%24.2%7.9%6.5%
Call IV 25d40.3%35.1%45.2%35.1%43.6%
Put IV 25d44.5%38.0%52.6%39.3%48.7%
Bid-Ask Spread %12.436.3858.079.5411.48
Gamma HHI0.210.130.280.170.27
Net GEX216.3K-304.1K415.4K390.3K167.7K
Net DEX-59.6M-89.6M-21.4M-83.6M-22.3M
Net VEX-271.7K-292.4K-258.4K-281.3K-258.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.232.750.942.75
Total Volume1,403.052314,4844,484698
Total OI45,178.6524,67160,35255,16527,398

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$59.06$50.0036.2%10.4%0.0%0.0%36.4%4.2%5.6%390.3K-83.6M-281.3K0.949.54N/AN/A2,3072,17726,44828,717
2007-01-04$58.75$50.0038.2%10.9%0.0%0.0%37.0%3.3%4.5%382.6K-83.2M-292.4K0.787.04N/AN/A1,20293227,17529,033
2007-01-05$57.98$60.0036.4%12.3%0.0%0.0%43.0%2.3%-2.4%367.1K-78.8M-290.1K0.438.15N/AN/A98142027,42629,073
2007-01-08$59.10$60.0036.5%13.0%0.0%0.0%45.6%2.8%-3.1%364.3K-89.1M-285.3K0.726.38N/AN/A1,10179427,83229,210
2007-01-09$59.24$60.0035.6%12.9%0.0%0.0%45.6%2.4%-2.9%415.4K-89.6M-288.9K0.527.00N/AN/A39220428,00929,411
2007-01-10$56.96$60.0037.6%13.3%0.0%0.0%45.0%1.8%-3.7%187.3K-71.8M-280.7K0.358.57N/AN/A1,06937528,05229,447
2007-01-11$56.76$60.0045.0%12.9%0.0%0.0%44.2%9.2%-2.9%173.1K-70.4M-280.1K0.8558.07N/AN/A81469628,46629,368
2007-01-12$58.43$60.0043.9%12.6%0.0%0.0%44.1%5.1%-3.4%266.8K-85.3M-277.7K0.3510.03N/AN/A91032228,74529,366
2007-01-16$57.51$60.0045.3%13.0%0.0%0.0%45.8%4.2%-4.8%40.0K-77.3M-265.1K0.8511.35N/AN/A67357129,03029,409
2007-01-17$58.41$60.0044.5%12.8%0.0%0.0%44.8%4.0%-4.1%110.2K-85.6M-262.6K0.3112.83N/AN/A1,27440129,02529,438
2007-01-18$57.53$60.0046.0%13.2%0.0%0.0%47.7%3.7%-5.1%-22.8K-77.9M-262.7K2.2610.91N/AN/A8421,90529,43629,497
2007-01-19$57.94$60.0044.0%12.6%0.0%0.0%44.6%5.3%-4.0%-304.1K-82.3M-267.7K0.9212.40N/AN/A56352029,49130,861
2007-01-22$56.76$60.0045.9%13.2%0.0%0.0%43.0%5.1%-4.2%110.0K-22.7M-259.8K0.2318.75N/AN/A1,66238113,68010,991
2007-01-23$58.70$60.0041.3%11.8%0.0%0.0%41.4%5.1%-1.8%295.9K-31.1M-267.2K0.298.99N/AN/A54015614,59511,223
2007-01-24$59.27$60.0041.2%11.8%0.0%0.0%41.5%4.3%-1.7%384.8K-34.7M-263.9K0.478.72N/AN/A62229014,88311,286
2007-01-25$58.36$60.0041.1%11.8%31.8%0.0%42.9%3.8%-2.2%326.1K-30.0M-265.8K1.547.73N/AN/A20731815,12111,385
2007-01-26$57.86$60.0041.2%11.8%30.9%0.0%42.2%4.0%-2.4%293.0K-28.2M-265.0K1.198.15N/AN/A37644915,21611,503
2007-01-29$56.61$60.0043.6%12.5%30.9%0.0%41.8%3.7%-3.3%154.6K-21.4M-259.0K1.2911.00N/AN/A29938715,22411,798
2007-01-30$57.48$60.0044.1%12.7%30.7%0.0%42.3%4.0%-2.9%223.7K-25.7M-259.6K0.4211.58N/AN/A1636815,30312,002
2007-01-31$56.89$60.0046.9%13.4%30.0%0.0%46.2%5.2%-5.7%167.7K-22.3M-258.4K2.7511.48N/AN/A18651215,36712,031