TEX Options History — October 2007 In October 2007, TEX traded between $73.67 and $90.04. ATM implied volatility averaged 44.4%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 6.0% (HV 20d: 38.5%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.64.
Notable Days 2007-10-09 : Highest Volume — 9,782 contracts2007-10-11 : Largest IV spike — 25.8% change2007-10-19 : Highest IV Rank — 82.1%2007-10-19 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $83.55 $73.67 $90.04 $90.04 $74.15 Max Pain $85.87 $80.00 $90.00 $80.00 $80.00 ATM IV 44.4% 36.9% 52.1% 36.9% 42.7% Expected Move 13.1% 10.6% 14.9% 10.6% 12.3% HV 20d 38.5% 27.3% 47.3% 46.1% 39.8% HV 60d 48.9% 46.4% 52.4% 52.4% 48.3% IV Rank 56.8% 32.0% 82.1% 32.0% 51.2% IV Percentile 76.4% 42.8% 97.0% 42.8% 68.9% Term Structure -1.0% -5.1% 6.0% 5.3% 1.0% VWIV 45.5% 36.9% 50.7% 36.9% 43.0% Skew 25d 4.3% 1.6% 5.5% 4.4% 1.6% Skew 10d 7.3% 0.9% 11.4% 8.3% 3.3% Call IV 25d 43.5% 34.4% 49.0% 34.4% 43.0% Put IV 25d 47.9% 38.8% 53.6% 38.8% 44.6% Bid-Ask Spread % 10.52 6.72 15.18 12.85 9.45 Gamma HHI 0.19 0.12 0.31 0.20 0.12 Net GEX 2.1M 1.9K 3.9M 3.6M 240.6K Net DEX -83.3M -153.3M -8.1M -153.3M -12.2M Net VEX -456.1K -482.9K -430.7K -431.8K -435.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.15 2.39 0.56 0.68 Total Volume 3,026 892 9,782 1,492 1,502 Total OI 44,993.043 32,633 52,219 45,383 40,472
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 2007-10-01 $90.04 $80.00 36.9% 10.6% 46.1% 32.0% 36.9% 4.4% 5.3% 3.6M -153.3M -431.8K 0.56 12.85 N/A N/A 959 533 28,631 16,752 2007-10-02 $88.20 $80.00 37.0% 10.6% 45.5% 32.2% 37.9% 3.7% 6.0% 3.5M -133.4M -450.5K 0.72 15.18 N/A N/A 692 499 28,788 17,120 2007-10-03 $85.28 $80.00 39.9% 11.5% 47.3% 42.0% 40.7% 4.7% 4.8% 3.2M -108.0M -455.6K 0.29 9.49 N/A N/A 2,816 814 29,079 17,396 2007-10-04 $86.03 $80.00 39.6% 11.3% 47.3% 40.8% 41.2% 4.6% 5.5% 3.3M -114.0M -466.7K 2.39 14.98 N/A N/A 968 2,311 29,444 17,711 2007-10-05 $86.41 $90.00 38.4% 12.8% 40.4% 37.1% 43.9% 4.9% -2.9% 3.2M -113.8M -479.7K 0.32 7.55 N/A N/A 750 243 29,696 19,027 2007-10-08 $87.76 $90.00 38.0% 12.6% 39.8% 35.8% 44.4% 4.8% -2.4% 3.5M -130.2M -462.8K 0.48 7.58 N/A N/A 1,579 761 29,992 19,068 2007-10-09 $89.73 $90.00 38.7% 12.9% 39.8% 37.9% 45.1% 5.5% -2.4% 3.9M -149.2M -466.5K 0.52 6.72 N/A N/A 6,426 3,356 30,717 19,253 2007-10-10 $88.46 $90.00 38.0% 12.9% 39.6% 35.8% 43.8% 4.8% -1.9% 3.4M -127.2M -477.0K 0.25 7.01 N/A N/A 1,942 477 29,646 19,787 2007-10-11 $86.88 $90.00 47.9% 13.7% 40.5% 68.1% 47.1% 5.1% -3.7% 3.3M -112.4M -482.3K 0.80 9.36 N/A N/A 1,447 1,161 30,290 19,506 2007-10-12 $88.17 $90.00 45.6% 13.1% 40.3% 60.5% 45.8% 5.2% -2.1% 3.5M -124.4M -482.9K 0.48 8.52 N/A N/A 604 288 30,332 20,000 2007-10-15 $86.56 $90.00 49.7% 14.2% 40.9% 74.2% 49.5% 5.3% -4.3% 3.1M -106.0M -465.9K 0.29 8.76 N/A N/A 1,037 299 29,996 19,964 2007-10-16 $85.16 $90.00 49.8% 14.3% 31.8% 74.3% 49.6% 5.0% -3.9% 2.8M -93.0M -462.4K 0.96 9.80 N/A N/A 710 679 30,190 20,011 2007-10-17 $84.76 $90.00 48.9% 14.0% 28.8% 71.6% 49.2% 5.0% -3.8% 2.6M -87.9M -460.7K 0.78 15.11 N/A N/A 1,867 1,463 30,310 20,395 2007-10-18 $85.62 $90.00 48.9% 14.0% 27.3% 71.7% 49.3% 4.9% -3.3% 2.5M -99.8M -466.9K 0.29 11.58 N/A N/A 3,364 991 31,039 21,180 2007-10-19 $81.52 $90.00 52.1% 14.9% 32.4% 82.1% 50.6% 4.6% -5.1% 1.5M -68.7M -439.7K 0.44 12.36 N/A N/A 1,845 811 31,196 20,641 2007-10-22 $80.18 $85.00 51.0% 14.6% 32.6% 78.3% 50.7% 5.1% -3.6% 244.3K -35.2M -430.7K 0.95 11.13 N/A N/A 1,612 1,536 18,709 13,924 2007-10-23 $82.17 $85.00 48.6% 13.9% 32.6% 70.7% 47.2% 4.8% -2.6% 284.6K -42.3M -445.7K 0.15 8.72 N/A N/A 3,286 488 19,126 14,767 2007-10-24 $82.93 $85.00 49.5% 14.2% 32.3% 73.7% 50.5% 5.4% -3.8% 542.7K -49.3M -463.8K 0.98 14.09 N/A N/A 1,869 1,833 20,279 14,923 2007-10-25 $77.13 $85.00 45.2% 13.0% 39.1% 59.4% 44.7% 3.0% 0.1% 12.6K -18.6M -436.3K 0.75 13.37 N/A N/A 4,583 3,423 21,056 15,708 2007-10-26 $74.90 $85.00 44.3% 12.7% 39.9% 56.4% 44.6% 1.9% 0.7% 1.9K -10.6M -439.9K 0.68 9.37 N/A N/A 1,467 1,001 22,370 16,577 2007-10-29 $75.94 $80.00 45.1% 12.9% 40.0% 59.1% 45.0% 2.9% -0.3% 73.5K -17.8M -448.0K 0.69 8.91 N/A N/A 1,575 1,089 22,762 16,897 2007-10-30 $73.67 $80.00 45.9% 13.1% 40.6% 61.5% 46.0% 2.3% -0.1% 84.7K -8.1M -439.7K 0.30 10.01 N/A N/A 2,028 614 23,446 16,667 2007-10-31 $74.15 $80.00 42.7% 12.3% 39.8% 51.2% 43.0% 1.6% 1.0% 240.6K -12.2M -435.2K 0.68 9.45 N/A N/A 893 609 23,993 16,479
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