TEX Options History — April 2007

In April 2007, TEX traded between $71.84 and $80.41. ATM implied volatility averaged 35.7%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 15.8% (HV 20d: 19.9%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2007-04-24: Highest Volume — 2,746 contracts
  • 2007-04-12: Largest IV spike — 13.4% change
  • 2007-04-11: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.59$71.84$80.41$71.84$77.85
Max Pain$70.25$60.00$75.00$60.00$70.00
ATM IV35.7%32.1%39.2%33.9%34.4%
Expected Move10.5%9.2%11.5%9.7%9.9%
HV 20d19.9%16.7%26.1%26.1%21.5%
HV 60d34.6%33.3%36.2%36.2%34.0%
Term Structure1.0%-1.9%6.8%5.9%-0.5%
VWIV36.8%31.7%41.1%33.8%33.1%
Skew 25d2.7%1.8%3.4%2.3%2.1%
Skew 10d4.8%3.1%7.3%4.1%4.2%
Call IV 25d35.3%30.2%38.1%32.4%33.9%
Put IV 25d37.9%32.1%41.1%34.6%36.0%
Bid-Ask Spread %12.776.8419.268.4610.48
Gamma HHI0.270.180.390.280.18
Net GEX1.2M641.3K1.5M1.1M1.1M
Net DEX-87.6M-115.2M-65.3M-79.4M-69.9M
Net VEX-244.7K-276.6K-212.6K-276.6K-246.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.182.570.791.58
Total Volume1,255.11262,7464241,153
Total OI33,679.521,09839,25336,46926,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$71.84$60.0033.9%9.7%26.1%0.0%33.8%2.3%5.9%1.1M-79.4M-276.6K0.798.46N/AN/A23718718,39418,075
2007-04-03$72.00$60.0033.1%9.5%24.1%0.0%32.8%1.8%6.5%1.2M-80.8M-272.8K0.7912.28N/AN/A25119818,45518,148
2007-04-04$72.28$60.0033.1%9.5%23.9%0.0%32.0%2.3%6.2%1.2M-82.3M-270.8K0.3511.50N/AN/A933318,49018,233
2007-04-05$72.00$60.0032.1%9.2%22.7%0.0%31.7%1.8%6.8%1.3M-80.6M-267.9K1.136.84N/AN/A13014718,51218,252
2007-04-09$72.78$70.0032.4%11.2%22.7%0.0%39.2%3.0%-0.4%1.3M-85.6M-256.3K0.6910.90N/AN/A44330418,50218,295
2007-04-10$72.11$70.0033.9%11.4%22.8%0.0%41.1%3.4%-0.4%1.4M-82.4M-257.5K1.5614.51N/AN/A26941918,71218,389
2007-04-11$71.88$75.0033.8%11.5%17.0%0.0%39.5%3.0%-0.9%1.3M-80.4M-258.7K1.0415.43N/AN/A21822718,67818,717
2007-04-12$73.54$75.0038.3%11.0%18.2%0.0%39.7%3.3%0.1%1.5M-90.7M-251.4K1.7413.47N/AN/A48584418,72918,859
2007-04-13$73.95$75.0038.4%11.0%18.2%0.0%37.6%3.4%0.4%1.5M-94.1M-247.4K0.6013.10N/AN/A32719518,86719,046
2007-04-16$76.33$75.0039.2%11.2%20.2%0.0%39.5%3.0%-0.4%1.5M-107.9M-228.9K0.2612.64N/AN/A2,15356819,02319,049
2007-04-17$77.03$75.0039.2%11.2%17.2%0.0%39.9%2.5%-1.1%1.4M-112.1M-227.0K2.5716.30N/AN/A7541,93819,22519,224
2007-04-18$76.95$75.0039.0%11.2%17.3%0.0%38.2%2.5%-0.9%1.2M-111.6M-227.5K0.3415.80N/AN/A49416719,31419,437
2007-04-19$76.59$75.0038.7%11.1%17.1%0.0%38.3%2.5%-0.3%1.2M-110.0M-228.3K0.6216.63N/AN/A81550419,43519,491
2007-04-20$77.55$75.0036.9%10.6%17.2%0.0%37.9%2.7%-0.2%641.3K-115.2M-224.7K0.7911.97N/AN/A59246919,55819,695
2007-04-23$79.29$75.0037.0%10.6%18.3%0.0%38.4%2.9%-0.9%683.9K-65.3M-212.6K0.478.90N/AN/A1,78083312,0209,078
2007-04-24$79.36$70.0037.1%10.6%18.4%0.0%37.8%3.1%-0.2%826.0K-73.3M-223.9K0.1810.50N/AN/A2,31942713,4479,577
2007-04-25$80.41$70.0038.1%10.9%16.7%0.0%38.5%1.8%-1.9%1.1M-80.2M-229.5K0.7219.26N/AN/A1,26891014,5859,815
2007-04-26$78.53$70.0033.4%9.6%19.5%0.0%33.7%2.5%0.6%1.1M-73.1M-241.8K0.7212.71N/AN/A1,04275015,19010,386
2007-04-27$79.44$70.0032.9%9.4%19.5%0.0%33.2%3.0%1.1%1.1M-77.0M-243.8K0.7913.82N/AN/A64751215,43310,687
2007-04-30$77.85$70.0034.4%9.9%21.5%0.0%33.1%2.1%-0.5%1.1M-69.9M-246.0K1.5810.48N/AN/A44770615,65510,913