TEX Options History — September 2007

In September 2007, TEX traded between $75.48 and $89.89. ATM implied volatility averaged 41.0%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 10.7% (HV 20d: 51.7%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.46.

Notable Days

  • 2007-09-19: Highest Volume — 5,800 contracts
  • 2007-09-18: Largest IV drop — 17.2% change
  • 2007-09-10: Highest IV Rank — 70.1%
  • 2007-09-10: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.93$75.48$89.89$82.90$89.02
Max Pain$79.74$75.00$80.00$75.00$80.00
ATM IV41.0%36.3%48.5%38.3%36.5%
Expected Move11.9%10.4%14.2%11.0%10.5%
HV 20d51.7%45.2%57.9%57.9%46.9%
HV 60d50.8%48.0%53.0%48.1%52.3%
IV Rank45.4%30.0%70.1%36.6%30.9%
IV Percentile64.5%39.5%94.8%53.0%41.4%
Term Structure1.3%-4.5%6.3%2.7%5.4%
VWIV41.3%37.1%48.5%40.8%37.1%
Skew 25d4.9%3.4%6.4%6.4%3.7%
Skew 10d9.6%6.2%12.6%12.6%6.8%
Call IV 25d39.5%34.7%46.5%37.1%35.3%
Put IV 25d44.4%38.8%51.9%43.5%39.0%
Bid-Ask Spread %12.769.6018.2815.7713.33
Gamma HHI0.190.170.230.180.18
Net GEX2.2M701.3K3.7M2.1M3.3M
Net DEX-85.9M-149.2M-29.7M-92.3M-140.9M
Net VEX-465.4K-503.7K-437.2K-487.7K-458.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.190.790.330.30
Total Volume2,235.4219935,8002,5211,220
Total OI47,279.15842,06650,65245,62545,195

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$82.90$75.0038.3%11.0%57.9%36.6%40.8%6.4%2.7%2.1M-92.3M-487.7K0.3315.77N/AN/A1,89063127,54118,084
2007-09-05$82.59$80.0039.5%11.3%57.6%40.5%40.6%5.7%1.6%2.1M-89.0M-486.2K0.2912.58N/AN/A1,92555727,79318,202
2007-09-06$82.95$80.0039.1%11.2%55.8%39.2%40.2%5.6%3.4%2.2M-93.1M-503.7K0.4413.03N/AN/A69130228,38418,392
2007-09-07$77.80$80.0043.8%13.2%56.5%54.7%45.4%5.9%-1.7%1.2M-51.2M-490.5K0.7110.95N/AN/A1,7011,21428,46118,465
2007-09-10$76.60$80.0048.5%14.2%56.2%70.1%48.5%5.3%-4.5%1.1M-42.0M-481.6K0.509.60N/AN/A1,00850629,20318,761
2007-09-11$78.26$80.0044.7%13.4%55.9%57.6%46.4%6.0%-2.7%1.5M-56.0M-491.9K0.5811.28N/AN/A75644129,69818,932
2007-09-12$76.94$80.0045.1%13.5%54.2%59.1%45.5%5.0%-3.0%1.2M-44.1M-474.6K0.3011.78N/AN/A1,41842729,83818,925
2007-09-13$76.73$80.0045.9%13.2%51.9%61.7%43.4%5.5%-2.1%1.3M-43.0M-469.8K0.5314.62N/AN/A97751630,53218,959
2007-09-14$76.19$80.0045.8%13.1%48.4%61.3%43.0%6.2%-2.3%942.0K-35.8M-458.1K0.4911.31N/AN/A87343230,18218,982
2007-09-17$75.48$80.0046.1%13.2%45.2%62.3%44.8%5.5%-2.0%701.3K-29.7M-437.2K0.799.70N/AN/A74558830,23918,982
2007-09-18$81.60$80.0038.2%10.9%51.0%36.1%37.2%5.5%2.6%2.9M-89.7M-442.4K0.4113.71N/AN/A2,8201,16530,44418,688
2007-09-19$84.81$80.0039.7%11.4%51.9%41.4%39.8%3.4%1.8%3.7M-122.4M-451.2K0.3311.84N/AN/A4,3591,44130,55518,975
2007-09-20$82.64$80.0040.0%11.5%51.2%42.3%41.1%3.9%1.7%2.8M-97.2M-461.5K0.5618.28N/AN/A1,21867731,19319,459
2007-09-21$83.59$80.0037.9%10.9%51.1%35.1%38.6%4.3%3.1%3.1M-106.3M-453.0K0.329.71N/AN/A1,48047831,08919,405
2007-09-24$84.45$80.0037.6%10.8%49.3%34.3%38.1%4.5%4.5%2.6M-100.1M-437.2K0.5414.83N/AN/A1,00854326,40215,664
2007-09-25$86.50$80.0038.2%11.0%47.9%36.3%38.1%3.5%4.6%2.9M-118.2M-439.2K0.5212.84N/AN/A2,2661,18726,89115,913
2007-09-26$87.73$80.0037.4%10.7%46.3%33.8%38.7%3.7%5.3%3.1M-132.3M-459.3K0.1915.01N/AN/A2,07538627,93716,699
2007-09-27$89.89$80.0036.3%10.4%46.5%30.0%37.4%3.4%6.3%3.3M-149.2M-459.5K0.5512.28N/AN/A1,64390928,41216,828
2007-09-28$89.02$80.0036.5%10.5%46.9%30.9%37.1%3.7%5.4%3.3M-140.9M-458.0K0.3013.33N/AN/A93728328,42316,772