TEX Options History — May 2007

In May 2007, TEX traded between $77.15 and $84.77. ATM implied volatility averaged 33.1%. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 7.5% (HV 20d: 25.6%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-05-21: Highest Volume — 3,482 contracts
  • 2007-05-10: Largest IV spike — 8.8% change
  • 2007-05-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.58$77.15$84.77$77.15$84.77
Max Pain$79.32$75.00$80.00$75.00$80.00
ATM IV33.1%30.4%34.9%34.9%30.4%
Expected Move9.5%8.7%10.0%10.0%8.7%
HV 20d25.6%22.0%29.5%22.0%27.1%
HV 60d29.9%24.9%34.1%33.7%25.0%
Term Structure1.6%-0.5%3.1%-0.5%3.1%
VWIV33.3%30.8%34.7%33.7%30.8%
Skew 25d3.1%2.3%4.0%2.4%3.8%
Skew 10d5.6%4.1%7.2%5.0%7.2%
Call IV 25d31.8%29.3%33.2%33.2%29.3%
Put IV 25d34.9%33.0%36.0%35.6%33.0%
Bid-Ask Spread %11.627.0421.0111.1713.04
Gamma HHI0.280.170.560.170.36
Net GEX1.1M677.0K1.5M934.2K1.5M
Net DEX-77.2M-98.1M-62.3M-62.3M-98.1M
Net VEX-257.5K-296.7K-176.2K-251.9K-257.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.212.710.860.61
Total Volume1,714.1823053,4821,8612,001
Total OI29,162.22724,30632,34827,14729,244

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$77.15$75.0034.9%10.0%22.0%0.0%33.7%2.4%-0.5%934.2K-62.3M-251.9K0.8611.17N/AN/A1,00186015,70111,446
2007-05-02$79.98$75.0032.9%9.4%24.8%0.0%31.9%3.5%1.1%1.1M-79.2M-240.4K0.3119.23N/AN/A1,11134115,92011,272
2007-05-03$80.10$75.0032.7%9.4%24.9%0.0%32.3%2.5%0.9%1.3M-80.4M-240.0K2.0721.01N/AN/A7221,49516,49411,451
2007-05-04$80.01$80.0032.0%9.4%24.8%0.0%33.2%3.0%1.8%1.1M-76.9M-261.4K2.718.11N/AN/A17848316,72112,686
2007-05-07$79.99$80.0033.5%9.7%24.7%0.0%33.9%2.7%0.9%1.1M-76.8M-259.9K0.808.42N/AN/A16913616,82713,022
2007-05-08$79.48$80.0033.1%9.8%24.6%0.0%33.1%4.0%0.8%1.1M-73.4M-259.7K1.097.36N/AN/A53858416,92513,056
2007-05-09$81.16$80.0031.3%9.5%25.0%0.0%33.1%3.7%1.8%1.2M-83.8M-253.3K0.727.04N/AN/A54139217,08413,263
2007-05-10$80.76$80.0034.0%9.8%24.5%0.0%33.8%3.5%0.7%1.2M-81.5M-255.3K0.498.13N/AN/A81539617,19513,556
2007-05-11$82.34$80.0033.7%9.7%25.0%0.0%33.0%3.4%1.5%1.4M-91.9M-244.1K0.689.03N/AN/A83156817,37613,673
2007-05-14$82.91$80.0033.3%9.5%23.0%0.0%34.7%3.3%1.6%1.3M-65.1M-176.2K0.929.08N/AN/A92384913,27011,036
2007-05-15$81.66$80.0034.0%9.7%23.9%0.0%33.3%3.2%1.2%1.1M-87.8M-247.0K0.479.74N/AN/A79637317,72314,103
2007-05-16$80.00$80.0033.9%9.7%25.3%0.0%33.9%2.5%1.8%866.2K-78.0M-256.2K1.2410.45N/AN/A8121,00717,97214,195
2007-05-17$79.32$80.0033.9%9.7%25.5%0.0%34.4%3.0%2.0%677.0K-72.4M-259.9K0.287.66N/AN/A1,29136218,01614,042
2007-05-18$77.72$80.0033.8%9.7%26.3%0.0%34.3%2.9%1.2%702.4K-63.6M-262.5K0.7111.18N/AN/A1,5471,09518,29814,050
2007-05-21$79.47$80.0033.8%9.7%26.3%0.0%34.1%3.4%1.2%727.6K-62.8M-257.0K0.2110.86N/AN/A2,86961314,37310,978
2007-05-22$80.64$80.0033.3%9.5%26.8%0.0%33.7%3.0%2.0%1.1M-73.8M-275.3K0.4310.78N/AN/A1,77976015,79811,302
2007-05-23$80.00$80.0033.8%9.7%26.6%0.0%34.3%2.3%1.7%1.2M-73.9M-287.7K0.7511.12N/AN/A1,01576216,68811,712
2007-05-24$78.44$80.0032.5%9.3%26.1%0.0%32.7%3.2%2.8%1.0M-64.7M-296.7K0.3714.41N/AN/A1,56758716,78911,873
2007-05-25$81.00$80.0032.2%9.2%28.3%0.0%32.0%2.8%2.5%1.1M-76.3M-284.6K0.5816.13N/AN/A75243616,38912,002
2007-05-29$81.40$80.0033.5%9.6%27.2%0.0%33.5%3.1%2.6%1.2M-79.7M-276.4K1.3618.75N/AN/A7691,04816,61212,008
2007-05-30$84.50$80.0031.4%9.0%29.5%0.0%34.1%3.9%2.7%1.4M-96.3M-262.2K0.9812.93N/AN/A1,2811,25716,86712,561
2007-05-31$84.77$80.0030.4%8.7%27.1%0.0%30.8%3.8%3.1%1.5M-98.1M-257.2K0.6113.04N/AN/A1,24475716,82312,421