TEX Options History — June 2007

In June 2007, TEX traded between $81.01 and $86.14. ATM implied volatility averaged 31.2%. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.4% (HV 20d: 26.8%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2007-06-18: Highest Volume — 3,458 contracts
  • 2007-06-13: Largest IV drop — 20.6% change
  • 2007-06-08: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.50$81.01$86.14$86.08$81.30
Max Pain$73.81$70.00$80.00$80.00$75.00
ATM IV31.2%27.2%34.2%30.2%30.8%
Expected Move9.3%8.6%10.4%8.7%8.8%
HV 20d26.8%21.6%29.2%27.4%21.6%
HV 60d24.3%23.4%25.1%25.0%24.9%
Term Structure3.6%1.5%5.4%4.1%4.7%
VWIV32.9%30.4%35.9%31.3%30.4%
Skew 25d2.9%2.1%4.0%4.0%2.6%
Skew 10d5.3%3.8%8.3%8.3%5.0%
Call IV 25d31.2%28.6%33.8%28.6%29.3%
Put IV 25d34.1%31.7%37.1%32.6%31.9%
Bid-Ask Spread %11.216.6815.1710.9215.17
Gamma HHI0.330.170.960.380.17
Net GEX2.5M623.7K26.3M1.6M632.1K
Net DEX-88.4M-106.5M-71.3M-105.1M-72.8M
Net VEX-293.7K-335.2K-252.0K-256.0K-334.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.271.871.131.45
Total Volume1,610.2867483,4581,4181,215
Total OI31,741.85727,11533,66730,00533,667

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$86.08$80.0030.2%8.7%27.4%0.0%31.3%4.0%4.1%1.6M-105.1M-256.0K1.1310.92N/AN/A66575317,22812,777
2007-06-04$86.14$70.0031.0%9.8%27.4%0.0%34.4%3.2%2.3%1.6M-106.1M-252.0K0.6811.31N/AN/A1,15178517,27312,742
2007-06-05$85.95$70.0031.3%9.9%27.4%0.0%34.8%3.5%2.3%1.7M-106.5M-263.9K0.4311.49N/AN/A62226817,80713,030
2007-06-06$84.06$70.0030.9%9.9%28.7%0.0%35.0%3.5%2.4%1.8M-96.2M-278.8K1.018.95N/AN/A62663018,05513,075
2007-06-07$82.25$70.0033.1%10.2%29.2%0.0%35.9%2.3%1.7%1.6M-84.5M-284.2K1.879.26N/AN/A5671,05918,11113,205
2007-06-08$82.17$70.0032.5%10.4%29.1%0.0%35.7%3.3%1.5%1.5M-81.8M-289.7K1.698.49N/AN/A7141,20818,16813,694
2007-06-11$82.97$70.0030.9%9.9%28.5%0.0%35.6%3.4%2.0%1.7M-89.0M-274.7K1.018.22N/AN/A47347818,17713,955
2007-06-12$82.02$75.0034.2%10.0%28.7%0.0%34.9%2.4%2.5%1.7M-83.2M-279.3K0.528.18N/AN/A59731018,40414,060
2007-06-13$83.30$75.0027.2%9.6%28.7%0.0%34.0%2.7%3.0%2.1M-91.9M-273.0K1.1912.20N/AN/A62674618,48414,197
2007-06-14$83.30$75.0032.6%9.4%27.5%0.0%33.2%2.1%3.7%2.2M-93.0M-268.6K0.727.06N/AN/A57441618,66114,147
2007-06-15$84.90$75.0032.3%9.3%27.8%0.0%32.3%2.3%4.0%26.3M-100.9M-265.0K0.276.68N/AN/A2,46765618,75614,266
2007-06-18$84.84$75.0031.3%9.0%26.5%0.0%31.5%3.1%4.7%721.8K-86.8M-255.5K0.5310.06N/AN/A2,2581,20015,25911,856
2007-06-19$85.46$75.0031.3%9.0%25.6%0.0%31.7%2.7%4.0%923.7K-92.1M-290.2K0.3712.97N/AN/A1,99574017,07912,718
2007-06-20$82.76$75.0030.9%8.9%28.2%0.0%31.5%2.5%3.9%878.6K-82.2M-320.6K0.4112.07N/AN/A74030418,15413,068
2007-06-21$83.99$75.0030.2%8.7%28.4%0.0%30.6%2.7%4.8%974.0K-87.6M-320.6K1.5215.05N/AN/A9801,48618,34013,206
2007-06-22$83.50$75.0030.0%8.6%27.4%0.0%31.1%2.5%5.4%905.7K-85.9M-330.8K0.9514.27N/AN/A62258918,43413,854
2007-06-25$83.75$75.0031.2%8.9%25.1%0.0%32.3%3.1%4.2%930.8K-87.3M-332.5K0.8414.85N/AN/A57148218,67414,115
2007-06-26$82.67$75.0030.5%8.7%25.6%0.0%32.0%2.5%5.3%795.2K-80.8M-332.1K1.1014.27N/AN/A35639218,75314,259
2007-06-27$81.15$75.0031.8%9.1%22.5%0.0%31.5%2.9%4.5%627.6K-72.4M-335.2K0.9511.56N/AN/A1,2971,23018,87814,371
2007-06-28$81.01$75.0031.2%8.9%22.4%0.0%30.7%3.2%3.9%623.7K-71.3M-331.6K0.9012.32N/AN/A50945919,06914,553
2007-06-29$81.30$75.0030.8%8.8%21.6%0.0%30.4%2.6%4.7%632.1K-72.8M-334.4K1.4515.17N/AN/A49671919,03414,633