TEX Options History — February 2007

In February 2007, TEX traded between $57.82 and $71.59. ATM implied volatility averaged 39.7%. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 4.0% (HV 20d: 35.6%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-02-15: Highest Volume — 8,879 contracts
  • 2007-02-08: Largest IV drop — 19.3% change
  • 2007-02-01: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.50$57.82$71.59$57.82$65.88
Max Pain$60.26$55.00$65.00$60.00$65.00
ATM IV39.7%33.8%48.5%43.2%42.4%
Expected Move11.0%9.7%12.4%12.4%12.2%
HV 20d35.6%29.1%46.7%29.9%46.6%
Term Structure-1.3%-4.1%1.2%-4.0%-1.9%
VWIV38.8%34.7%42.8%42.2%42.3%
Skew 25d2.6%0.9%5.7%5.7%2.1%
Skew 10d5.0%2.9%11.0%11.0%4.8%
Call IV 25d37.5%33.4%42.5%42.0%41.3%
Put IV 25d40.1%35.1%47.8%47.8%43.4%
Bid-Ask Spread %12.926.0217.9312.3816.75
Gamma HHI0.300.190.560.280.20
Net GEX654.8K203.1K1.9M203.1K216.4K
Net DEX-56.0M-106.8M-25.7M-25.7M-52.7M
Net VEX-265.2K-313.2K-241.4K-258.7K-313.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.041.650.120.85
Total Volume2,735.8955658,8795652,348
Total OI32,250.15827,62441,41327,62434,386

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$57.82$60.0043.2%12.4%29.9%0.0%42.2%5.7%-4.0%203.1K-25.7M-258.7K0.1212.38N/AN/A5046115,39312,231
2007-02-02$59.42$60.0042.0%11.0%31.5%0.0%39.8%3.7%-0.6%429.2K-34.5M-257.4K0.2815.13N/AN/A82123015,81512,190
2007-02-05$58.55$60.0044.7%11.2%31.6%0.0%40.3%3.5%-1.1%369.8K-30.0M-252.5K1.5413.94N/AN/A26340616,34712,126
2007-02-06$59.20$60.0046.6%11.3%31.1%0.0%39.5%3.5%-2.1%446.1K-33.1M-253.1K0.0410.61N/AN/A2,1939716,35812,243
2007-02-07$60.63$60.0048.5%11.5%32.2%0.0%40.4%3.0%-2.2%1.0M-46.6M-257.3K0.438.51N/AN/A1,27654517,77312,224
2007-02-08$59.07$60.0039.1%11.2%30.3%0.0%40.5%4.1%-0.9%819.4K-36.7M-261.8K1.0516.84N/AN/A53556018,15112,578
2007-02-09$58.45$55.0038.6%11.1%30.6%0.0%39.8%3.4%-1.2%685.4K-32.4M-259.5K0.5417.93N/AN/A78142118,20112,735
2007-02-12$59.08$60.0039.1%11.2%29.1%0.0%39.4%2.4%-2.0%881.7K-37.5M-250.5K1.659.04N/AN/A1,6182,67018,36612,850
2007-02-13$60.50$60.0039.2%11.2%29.5%0.0%39.0%2.7%-2.2%1.5M-50.1M-257.2K0.2111.35N/AN/A1,85738419,60114,901
2007-02-14$60.80$60.0041.9%12.0%29.1%0.0%41.1%2.4%-4.1%1.5M-53.2M-260.4K0.6410.78N/AN/A4,1412,63420,29415,112
2007-02-15$65.69$60.0034.1%9.8%38.8%0.0%35.9%1.6%0.2%1.9M-104.1M-241.4K0.9512.33N/AN/A4,5634,31622,29316,541
2007-02-16$66.59$60.0034.1%9.8%38.9%0.0%34.7%1.4%1.2%514.5K-106.8M-263.9K0.4616.41N/AN/A4,6822,15322,49718,916
2007-02-20$67.82$60.0033.8%9.7%37.6%0.0%35.0%1.7%0.3%416.2K-66.9M-267.0K1.006.02N/AN/A74474315,13414,916
2007-02-21$71.59$60.0036.4%10.4%40.1%0.0%35.3%0.9%-1.4%386.7K-82.1M-248.2K0.768.72N/AN/A2,1181,61715,42515,335
2007-02-22$70.61$60.0035.3%10.1%40.9%0.0%35.9%2.8%0.3%282.8K-76.0M-271.3K0.9512.88N/AN/A89684815,76916,390
2007-02-23$71.02$60.0035.2%10.1%39.9%0.0%35.6%1.2%0.1%287.7K-79.1M-272.8K1.4214.86N/AN/A42360216,16916,722
2007-02-26$68.72$60.0037.0%10.6%42.3%0.0%37.8%1.6%-1.1%266.5K-67.1M-286.8K0.6614.87N/AN/A82454716,25317,010
2007-02-27$65.10$65.0042.2%12.1%46.7%0.0%42.8%1.4%-1.8%221.5K-48.7M-306.7K1.4016.19N/AN/A1,0661,49516,39517,113
2007-02-28$65.88$65.0042.4%12.2%46.6%0.0%42.3%2.1%-1.9%216.4K-52.7M-313.2K0.8516.75N/AN/A1,2691,07916,82417,562