TEX Options History — November 2007

In November 2007, TEX traded between $56.57 and $73.52. ATM implied volatility averaged 49.6%, placing in the 67.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 2.6% (HV 20d: 52.2%). Max pain ranged from $60.00 to $80.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2007-11-12: Highest Volume — 9,723 contracts
  • 2007-11-12: Largest IV spike — 31.1% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.94$56.57$73.52$71.94$64.45
Max Pain$67.38$60.00$80.00$80.00$60.00
ATM IV49.6%43.6%62.0%46.0%46.8%
Expected Move14.1%12.5%15.7%13.2%13.4%
HV 20d52.2%40.2%65.0%40.2%64.8%
HV 60d48.3%46.3%51.4%48.1%51.4%
IV Rank67.0%53.9%100.0%61.9%56.5%
IV Percentile90.5%71.8%100.0%87.6%83.5%
Term Structure1.2%0.2%2.1%0.3%2.1%
VWIV48.7%43.3%53.8%45.5%47.6%
Skew 25d2.9%-0.4%5.6%1.8%4.4%
Skew 10d4.3%-0.9%9.8%1.1%8.8%
Call IV 25d47.9%41.8%52.9%45.4%45.9%
Put IV 25d50.8%47.1%56.2%47.1%50.3%
Bid-Ask Spread %13.569.0318.129.9917.26
Gamma HHI0.130.100.190.130.17
Net GEX267.3K-158.5K943.5K77.5K943.5K
Net DEX7.9M-22.8M34.9M-857.5K-22.8M
Net VEX-371.2K-435.2K-293.4K-423.5K-418.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.122.371.200.18
Total Volume2,661.3337459,7231,1762,428
Total OI43,043.23837,80346,05541,19945,646

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$71.94$80.0046.0%13.2%40.2%61.9%45.5%1.8%0.3%77.5K-857.5K-423.5K1.209.99N/AN/A53564124,34316,856
2007-11-02$73.25$80.0044.3%12.7%41.1%56.3%43.8%4.8%1.7%115.3K-6.1M-435.2K0.3011.89N/AN/A1,49845124,46817,064
2007-11-05$71.95$75.0047.6%13.5%40.2%67.2%47.1%3.7%0.2%34.7K-126.0K-419.9K2.2210.16N/AN/A5381,19424,72017,118
2007-11-06$73.52$75.0043.6%12.5%40.2%53.9%43.3%5.6%1.8%21.3K-5.8M-431.7K0.419.59N/AN/A52921624,74517,812
2007-11-07$69.66$75.0047.8%13.5%43.1%68.0%45.8%3.4%0.8%-129.6K11.2M-398.9K0.6714.87N/AN/A62241824,88117,753
2007-11-08$68.27$75.0045.6%13.4%43.1%60.7%46.2%3.2%1.9%-158.5K16.1M-383.3K2.3718.12N/AN/A1,2693,01325,01517,481
2007-11-09$65.33$75.0047.3%13.7%43.3%66.1%47.1%2.4%1.7%-139.2K24.2M-353.9K0.3016.59N/AN/A1,46843425,31217,379
2007-11-12$60.62$75.0062.0%14.9%48.3%100.0%51.8%0.3%0.3%-23.5K34.9M-307.2K0.2510.07N/AN/A7,7781,94525,63617,236
2007-11-13$64.65$65.0052.0%14.0%56.4%71.3%48.5%1.5%1.1%530.3K15.1M-357.9K0.1610.60N/AN/A3,29551929,29516,760
2007-11-14$63.93$65.0046.0%13.7%56.3%54.1%48.1%3.2%1.1%679.1K6.8M-363.7K0.7112.91N/AN/A79656430,15115,759
2007-11-15$61.97$65.0050.1%14.4%55.9%65.9%48.5%2.5%0.8%419.2K19.3M-333.6K0.8617.19N/AN/A78767329,86815,970
2007-11-16$59.80$65.0049.6%14.2%55.0%64.5%49.1%1.1%1.8%254.6K24.8M-314.9K1.1117.13N/AN/A1,3751,52529,97816,060
2007-11-19$56.57$65.0052.2%15.0%56.8%72.0%52.6%-0.4%1.7%150.0K18.5M-293.4K1.1616.06N/AN/A2,2622,61623,34114,462
2007-11-20$57.50$60.0051.4%14.8%56.1%69.8%50.4%2.5%2.1%206.8K16.6M-332.0K0.6215.53N/AN/A1,39386924,63715,854
2007-11-21$58.61$60.0052.1%14.9%56.8%71.7%52.8%1.6%0.8%300.4K9.3M-357.6K0.2113.23N/AN/A2,54052525,31416,019
2007-11-23$60.24$60.0051.4%14.7%55.0%69.6%51.3%4.1%0.6%405.8K2.9M-381.5K0.5513.04N/AN/A54330126,17816,323
2007-11-26$56.82$60.0054.9%15.7%57.1%79.7%53.8%3.3%0.6%253.6K15.9M-338.8K0.4114.03N/AN/A1,70670426,32116,466
2007-11-27$58.00$60.0052.3%15.0%57.6%72.3%52.4%3.4%1.1%296.2K12.0M-350.5K0.4913.04N/AN/A1,68982726,36516,701
2007-11-28$62.15$60.0050.0%14.3%64.2%65.6%49.3%4.2%0.6%620.7K-8.7M-392.1K0.299.03N/AN/A1,76350827,33116,779
2007-11-29$63.59$60.0047.9%13.7%65.0%59.6%48.3%3.5%1.7%756.1K-17.8M-407.6K0.1214.45N/AN/A2,78734427,66316,848
2007-11-30$64.45$60.0046.8%13.4%64.8%56.5%47.6%4.4%2.1%943.5K-22.8M-418.6K0.1817.26N/AN/A2,06136728,80816,838