TEX Options History — March 2007

In March 2007, TEX traded between $62.47 and $72.20. ATM implied volatility averaged 38.7%. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 4.1% (HV 20d: 42.7%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2007-03-16: Highest Volume — 4,642 contracts
  • 2007-03-14: Largest IV drop — 15.0% change
  • 2007-03-05: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.51$62.47$72.20$64.85$71.76
Max Pain$60.23$55.00$65.00$65.00$60.00
ATM IV38.7%33.5%47.3%42.9%33.5%
Expected Move11.1%9.6%12.8%12.3%9.6%
HV 20d42.7%26.2%50.4%46.9%26.2%
HV 60d38.1%36.3%39.8%39.3%36.3%
Term Structure2.7%-2.2%6.3%0.3%6.3%
VWIV38.8%33.6%44.8%43.0%33.6%
Skew 25d2.1%1.2%3.1%1.9%1.9%
Skew 10d4.3%2.9%6.3%5.0%3.6%
Call IV 25d37.5%32.3%43.6%42.3%32.3%
Put IV 25d39.6%34.2%45.5%44.3%34.2%
Bid-Ask Spread %9.115.9815.2215.227.94
Gamma HHI0.270.180.330.210.28
Net GEX540.4K94.1K1.0M154.9K1.0M
Net DEX-65.2M-78.3M-33.5M-46.1M-78.3M
Net VEX-302.5K-323.6K-273.6K-321.8K-282.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.162.440.421.12
Total Volume1,432.3185214,6423,097547
Total OI36,011.18233,75439,42935,23536,328

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$64.85$65.0042.9%12.3%46.9%0.0%43.0%1.9%0.3%154.9K-46.1M-321.8K0.4215.22N/AN/A2,18091717,34017,895
2007-03-02$62.55$65.0043.3%12.4%49.1%0.0%43.8%1.9%-0.2%123.9K-33.8M-323.1K2.4410.50N/AN/A35085317,60217,876
2007-03-05$62.47$55.0047.3%12.8%48.4%0.0%44.8%1.6%-2.2%94.1K-33.5M-320.1K1.7512.23N/AN/A43876517,62018,100
2007-03-06$64.63$60.0042.7%12.2%49.2%0.0%42.7%1.4%-1.9%207.0K-46.3M-314.3K0.168.60N/AN/A1,53124017,59618,116
2007-03-07$65.58$60.0041.7%12.1%49.2%0.0%42.8%2.1%-1.5%378.1K-54.9M-323.6K0.3210.36N/AN/A1,01232318,64518,199
2007-03-08$67.33$60.0040.6%11.9%49.4%0.0%41.3%1.8%0.0%431.0K-64.9M-318.8K0.857.56N/AN/A70660018,72618,312
2007-03-09$67.92$60.0037.6%11.6%48.0%0.0%40.8%2.3%0.5%461.8K-69.4M-319.0K0.966.67N/AN/A59456918,90018,593
2007-03-12$68.89$60.0041.7%11.5%47.6%0.0%40.6%2.5%1.0%559.1K-74.9M-309.4K1.055.98N/AN/A37038819,00718,707
2007-03-13$66.26$60.0044.3%11.6%50.4%0.0%40.3%2.3%1.5%325.0K-57.9M-316.0K1.4714.34N/AN/A36153118,91018,756
2007-03-14$66.96$60.0037.6%11.4%50.0%0.0%39.0%2.1%1.6%341.0K-62.6M-309.9K0.478.66N/AN/A55225918,95218,835
2007-03-15$67.30$60.0039.7%11.4%50.0%0.0%39.4%1.2%2.7%393.6K-65.7M-308.2K0.398.67N/AN/A2,38893119,23418,826
2007-03-16$68.37$60.0038.8%11.1%42.4%0.0%39.3%2.1%3.0%700.7K-73.3M-317.3K0.406.44N/AN/A3,3251,31720,08819,341
2007-03-19$70.75$60.0037.2%10.7%43.7%0.0%37.3%2.0%4.4%583.1K-74.6M-298.9K0.786.70N/AN/A74558017,11316,747
2007-03-20$70.93$60.0036.0%10.3%43.4%0.0%36.6%2.4%4.7%645.4K-75.9M-303.4K1.0911.67N/AN/A47551717,45716,989
2007-03-21$71.95$60.0035.4%10.2%39.1%0.0%36.3%2.7%5.4%709.4K-74.9M-275.2K1.387.67N/AN/A50469716,57317,181
2007-03-22$71.58$60.0034.9%10.0%38.8%0.0%34.9%2.3%6.1%683.1K-73.1M-279.2K0.747.53N/AN/A38428416,63517,508
2007-03-23$71.98$60.0034.6%9.9%38.8%0.0%35.0%2.8%6.3%723.9K-75.8M-280.9K1.207.24N/AN/A35642716,79017,602
2007-03-26$72.20$60.0035.0%10.0%36.8%0.0%35.7%2.4%5.7%792.2K-77.2M-273.6K1.948.86N/AN/A20740116,89217,574
2007-03-27$70.98$60.0035.6%10.2%31.1%0.0%35.7%1.9%5.2%730.9K-71.7M-280.7K0.308.90N/AN/A1,93457716,96217,724
2007-03-28$70.68$60.0035.4%10.1%31.1%0.0%35.1%1.6%5.4%855.7K-72.7M-290.5K0.699.49N/AN/A50734817,80417,923
2007-03-29$71.38$60.0034.3%9.8%30.3%0.0%34.7%3.1%5.8%960.1K-76.3M-287.8K0.979.11N/AN/A26425718,22618,042
2007-03-30$71.76$60.0033.5%9.6%26.2%0.0%33.6%1.9%6.3%1.0M-78.3M-282.5K1.127.94N/AN/A25828918,32917,999