TEX Options History — August 2007 In August 2007, TEX traded between $68.75 and $86.85. ATM implied volatility averaged 47.2%, placing in the 72.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 6.8% (HV 20d: 53.9%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.91.
Notable Days 2007-08-09 : Highest Volume — 8,693 contracts2007-08-09 : Largest IV spike — 22.2% change2007-08-09 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $77.84 $68.75 $86.85 $86.85 $79.88 Max Pain $80.00 $75.00 $90.00 $90.00 $75.00 ATM IV 47.2% 36.8% 57.6% 43.7% 38.3% Expected Move 13.1% 10.5% 16.3% 12.5% 11.0% HV 20d 53.9% 43.8% 62.6% 53.0% 56.4% HV 60d 43.3% 37.7% 47.5% 37.7% 47.5% IV Rank 72.4% 31.5% 100.0% 77.4% 36.6% IV Percentile 85.1% 46.9% 100.0% 86.9% 52.7% Term Structure 0.9% -2.3% 3.7% 1.9% 3.3% VWIV 45.7% 38.2% 56.0% 43.6% 39.7% Skew 25d 3.1% -2.3% 5.3% 0.3% 4.2% Skew 10d 6.3% -0.6% 12.0% 1.3% 8.1% Call IV 25d 44.3% 34.8% 55.3% 43.6% 36.8% Put IV 25d 47.4% 39.7% 59.6% 43.8% 41.0% Bid-Ask Spread % 15.92 8.86 52.85 12.50 14.94 Gamma HHI 0.17 0.13 0.20 0.18 0.19 Net GEX 849.6K -58.8K 1.9M 898.5K 1.7M Net DEX -35.3M -74.9M 13.8M -67.5M -69.2M Net VEX -457.5K -500.1K -393.3K -454.3K -500.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.14 4.93 1.70 0.75 Total Volume 3,517.609 1,033 8,693 3,105 2,471 Total OI 42,765.087 37,246 49,066 37,246 45,840
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $86.85 $90.00 43.7% 12.5% 53.0% 77.4% 43.6% 0.3% 1.9% 898.5K -67.5M -454.3K 1.70 12.50 N/A N/A 1,148 1,957 22,402 14,844 2007-08-02 $86.46 $90.00 42.6% 12.2% 53.0% 72.2% 42.6% 0.5% 2.4% 766.9K -62.9M -463.5K 0.92 11.90 N/A N/A 539 495 22,632 15,622 2007-08-03 $82.40 $90.00 45.1% 12.9% 55.8% 84.1% 45.2% 0.9% 1.5% 357.5K -38.0M -447.3K 0.58 20.56 N/A N/A 1,486 856 22,766 15,748 2007-08-06 $83.41 $85.00 45.9% 13.1% 44.4% 87.6% 45.8% 2.4% 0.4% 429.3K -42.4M -447.7K 0.61 8.86 N/A N/A 1,718 1,048 23,089 16,039 2007-08-07 $81.95 $85.00 45.7% 13.0% 43.8% 87.1% 45.0% 1.6% 0.4% 342.3K -33.7M -432.9K 0.88 10.94 N/A N/A 1,236 1,084 23,106 16,150 2007-08-08 $78.96 $85.00 46.8% 12.7% 44.8% 92.0% 44.2% 1.2% 0.1% -58.8K -12.4M -410.5K 0.23 20.10 N/A N/A 4,074 949 22,948 16,547 2007-08-09 $74.38 $85.00 57.2% 14.0% 46.9% 100.0% 49.0% -2.3% -0.3% 132.9K 5.5M -393.3K 0.32 52.85 N/A N/A 6,563 2,130 24,649 16,825 2007-08-10 $76.20 $80.00 54.5% 14.4% 48.6% 91.0% 50.4% 1.6% -1.6% 799.8K -15.3M -430.8K 0.44 16.28 N/A N/A 4,178 1,830 27,345 16,373 2007-08-13 $78.30 $80.00 57.6% 14.5% 49.3% 100.0% 50.6% 2.2% -2.3% 1.0M -30.9M -453.3K 0.58 13.08 N/A N/A 2,554 1,480 28,474 16,956 2007-08-14 $75.20 $80.00 56.2% 14.2% 50.5% 95.6% 49.3% 2.4% -0.3% 710.2K -11.0M -444.7K 0.55 16.21 N/A N/A 2,339 1,290 28,976 17,546 2007-08-15 $72.19 $80.00 56.1% 14.7% 51.4% 95.3% 50.5% 3.2% -0.9% 460.5K 3.2M -425.9K 0.90 15.12 N/A N/A 2,326 2,095 29,718 17,343 2007-08-16 $68.75 $80.00 56.9% 16.3% 52.3% 98.0% 56.0% 4.3% -1.5% 326.9K 13.8M -423.8K 0.86 15.68 N/A N/A 3,113 2,670 30,736 17,978 2007-08-17 $72.47 $75.00 51.8% 14.8% 57.1% 81.0% 50.8% 5.0% 0.9% 636.5K -6.4M -459.9K 0.51 13.47 N/A N/A 2,191 1,121 30,940 18,126 2007-08-20 $75.53 $80.00 48.7% 14.0% 60.1% 71.0% 48.4% 4.3% 0.2% 776.2K -39.5M -465.2K 0.32 11.88 N/A N/A 3,558 1,131 23,118 15,192 2007-08-21 $74.46 $75.00 47.5% 13.6% 59.8% 67.0% 47.7% 5.1% 0.9% 798.8K -33.5M -469.9K 0.35 12.89 N/A N/A 1,240 434 24,823 15,697 2007-08-22 $77.79 $75.00 40.9% 11.7% 62.6% 45.3% 42.5% 5.1% 2.4% 1.2M -53.7M -481.5K 0.14 18.25 N/A N/A 3,336 470 25,254 15,787 2007-08-23 $77.15 $75.00 42.9% 12.3% 60.3% 51.6% 42.0% 4.8% 1.9% 1.4M -52.6M -490.9K 0.28 15.95 N/A N/A 808 225 26,955 15,934 2007-08-24 $80.35 $75.00 36.8% 10.5% 62.4% 31.5% 38.2% 4.8% 3.7% 1.9M -74.9M -497.3K 1.32 15.54 N/A N/A 1,492 1,965 27,336 15,966 2007-08-27 $77.67 $75.00 39.2% 11.2% 57.0% 39.5% 39.9% 4.3% 3.2% 1.4M -53.4M -480.5K 0.66 13.10 N/A N/A 1,075 714 27,070 16,369 2007-08-28 $75.50 $75.00 47.1% 13.5% 56.6% 65.7% 47.1% 5.2% -0.2% 1.2M -41.6M -478.1K 2.56 9.42 N/A N/A 828 2,121 27,461 16,437 2007-08-29 $76.94 $75.00 42.6% 12.2% 57.2% 50.9% 42.5% 5.3% 1.9% 1.1M -46.6M -481.6K 4.93 12.73 N/A N/A 894 4,407 27,408 17,427 2007-08-30 $77.45 $75.00 41.0% 11.7% 57.4% 45.4% 40.2% 4.5% 3.5% 1.2M -48.4M -489.2K 0.53 14.00 N/A N/A 825 441 27,673 17,972 2007-08-31 $79.88 $75.00 38.3% 11.0% 56.4% 36.6% 39.7% 4.2% 3.3% 1.7M -69.2M -500.1K 0.75 14.94 N/A N/A 1,413 1,058 27,830 18,010
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