TEX Options History — July 2007

In July 2007, TEX traded between $83.15 and $94.13. ATM implied volatility averaged 40.0%, placing in the 65.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 1.7% (HV 20d: 41.7%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2007-07-09: Highest Volume — 11,449 contracts
  • 2007-07-09: Largest IV spike — 30.0% change
  • 2007-07-25: Highest IV Rank — 86.2%
  • 2007-07-25: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.29$83.15$94.13$85.46$86.25
Max Pain$87.38$75.00$90.00$75.00$90.00
ATM IV40.0%29.0%45.6%29.5%42.1%
Expected Move11.6%8.4%13.1%8.4%12.1%
HV 20d41.7%26.3%54.1%28.6%53.0%
HV 60d32.1%26.7%37.7%26.8%37.7%
IV Rank65.2%8.7%86.2%14.5%69.9%
IV Percentile74.8%0.8%95.7%4.8%78.5%
Term Structure-0.9%-3.8%6.0%6.0%1.5%
VWIV40.9%29.8%46.2%30.2%42.4%
Skew 25d1.8%-1.6%3.3%3.3%-1.6%
Skew 10d3.5%-3.5%11.1%4.6%-3.5%
Call IV 25d40.0%28.2%45.2%28.2%43.2%
Put IV 25d41.8%31.5%48.4%31.5%41.7%
Bid-Ask Spread %9.316.0421.5010.6811.52
Gamma HHI0.310.140.600.220.15
Net GEX1.2M539.6K2.4M1.2M701.3K
Net DEX-110.4M-165.7M-44.7M-98.4M-61.1M
Net VEX-374.8K-442.5K-296.1K-330.2K-435.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.261.331.330.30
Total Volume3,766.57157911,4492,5944,670
Total OI38,235.8129,71546,03234,33735,973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$85.46$75.0029.5%8.4%28.6%0.0%30.2%3.3%6.0%1.2M-98.4M-330.2K1.3310.68N/AN/A1,1141,48019,21315,124
2007-07-03$84.81$75.0029.7%8.5%28.7%0.0%29.8%2.9%5.6%1.0M-95.1M-330.5K1.0815.40N/AN/A27930019,59315,518
2007-07-05$84.58$75.0030.3%8.7%27.6%14.5%31.4%2.4%5.4%958.9K-93.0M-327.6K0.467.69N/AN/A61028219,60215,523
2007-07-06$84.67$85.0029.0%10.2%26.3%8.7%36.2%2.8%-0.0%1.1M-95.4M-326.0K0.266.91N/AN/A88522819,90215,501
2007-07-09$92.70$85.0037.7%11.0%41.1%49.5%39.7%3.3%-1.5%1.5M-143.3M-296.1K0.878.77N/AN/A6,1305,31920,21015,612
2007-07-10$90.04$90.0038.8%11.6%42.9%54.5%40.5%2.5%-2.5%1.1M-125.0M-349.9K0.696.89N/AN/A2,0721,42621,85817,812
2007-07-11$91.09$90.0038.4%11.8%42.6%52.5%41.1%3.3%-2.8%1.5M-136.3M-353.0K1.136.72N/AN/A2,1522,43622,73217,737
2007-07-12$93.26$90.0040.9%11.7%42.9%64.4%41.4%3.3%-2.5%1.3M-149.7M-361.4K0.436.64N/AN/A1,35958123,38119,155
2007-07-13$92.29$90.0041.7%12.0%43.3%68.2%41.8%2.6%-2.8%1.5M-145.8M-367.5K0.697.55N/AN/A2,4881,71024,01919,351
2007-07-16$94.13$90.0043.5%12.5%43.3%76.7%43.8%2.1%-3.1%1.8M-165.7M-354.4K0.697.41N/AN/A4,6903,24024,72819,842
2007-07-17$93.50$90.0043.5%12.5%43.5%76.8%43.9%1.2%-2.4%1.5M-155.6M-382.7K0.806.04N/AN/A1,9191,54425,18520,715
2007-07-18$93.32$90.0043.7%12.5%43.5%77.7%44.2%1.9%-3.2%2.0M-156.0M-387.9K0.937.35N/AN/A1,1561,07225,70220,112
2007-07-19$94.10$90.0042.9%12.3%41.3%73.7%43.5%1.2%-2.6%2.4M-164.9M-380.2K0.5110.23N/AN/A79540625,70420,201
2007-07-20$90.96$90.0043.9%12.6%43.6%78.2%43.8%0.1%-2.5%785.8K-141.9M-383.4K0.746.32N/AN/A2,8052,07225,71420,318
2007-07-23$90.79$90.0043.7%12.5%43.5%77.3%44.0%0.9%-2.6%864.8K-80.4M-394.0K0.568.71N/AN/A1,28571817,93611,779
2007-07-24$88.55$90.0044.7%12.8%44.7%82.3%45.2%0.3%-3.2%804.4K-70.9M-400.5K0.849.24N/AN/A1,3311,11918,38511,997
2007-07-25$88.30$90.0045.6%13.1%44.4%86.2%46.2%3.1%-3.8%706.9K-66.6M-412.1K0.348.29N/AN/A5,8551,96918,61712,605
2007-07-26$83.87$90.0042.9%12.3%47.9%73.8%43.6%0.3%-0.3%631.4K-47.1M-420.2K0.8421.50N/AN/A2,9922,50020,72913,090
2007-07-27$83.15$90.0045.5%13.0%48.1%85.8%45.3%0.1%-1.6%539.6K-44.7M-435.1K0.819.11N/AN/A1,2861,04321,41114,160
2007-07-30$89.28$90.0041.6%11.9%54.1%67.5%41.7%2.2%0.6%1.2M-81.4M-442.5K0.2812.45N/AN/A2,95182921,76914,437
2007-07-31$86.25$90.0042.1%12.1%53.0%69.9%42.4%-1.6%1.5%701.3K-61.1M-435.3K0.3011.52N/AN/A3,5911,07921,51814,455