TEX Options History — December 2007

In December 2007, TEX traded between $59.21 and $67.30. ATM implied volatility averaged 47.0%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 12.8% (HV 20d: 59.8%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-12-17: Highest Volume — 4,516 contracts
  • 2007-12-05: Largest IV drop — 8.4% change
  • 2007-12-03: Highest IV Rank — 69.8%
  • 2007-12-03: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.19$59.21$67.30$61.71$65.57
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV47.0%44.7%51.5%51.5%45.9%
Expected Move13.5%12.9%14.8%14.8%13.2%
HV 20d59.8%52.6%67.4%65.5%52.6%
HV 60d51.7%50.1%53.4%50.6%53.0%
IV Rank56.9%50.5%69.8%69.8%53.8%
IV Percentile80.7%68.7%93.9%93.9%76.4%
Term Structure2.5%-0.4%4.0%0.2%3.5%
VWIV47.4%43.9%50.9%50.9%44.9%
Skew 25d4.3%2.5%6.8%2.5%5.3%
Skew 10d8.3%3.1%14.0%3.1%10.9%
Call IV 25d45.6%42.1%49.8%49.8%44.4%
Put IV 25d49.9%47.9%52.3%52.3%49.6%
Bid-Ask Spread %11.077.8115.979.4110.59
Gamma HHI0.220.170.300.170.23
Net GEX877.1K-232.6K1.5M859.6K819.5K
Net DEX-21.1M-48.3M13.8M-9.4M-25.1M
Net VEX-385.5K-418.9K-339.8K-390.7K-372.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.151.950.501.95
Total Volume2,284.759424,5161,6272,539
Total OI46,984.3542,03552,58046,17343,116

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$61.71$60.0051.5%14.8%65.5%69.8%50.9%2.5%0.2%859.6K-9.4M-390.7K0.509.41N/AN/A1,08454329,34516,828
2007-12-04$61.30$60.0050.8%14.6%65.4%67.8%50.1%3.3%-0.4%830.5K-6.0M-382.2K1.3513.80N/AN/A71796529,44816,970
2007-12-05$63.49$60.0046.5%13.3%66.4%55.5%49.9%4.6%2.0%995.8K-17.5M-398.0K0.9115.97N/AN/A71164529,61716,991
2007-12-06$67.03$60.0045.2%13.0%67.4%51.8%45.2%5.3%1.4%1.3M-38.6M-418.9K0.3310.02N/AN/A1,60753729,79217,109
2007-12-07$66.69$60.0044.7%13.6%67.1%50.5%46.9%5.3%2.8%1.3M-38.2M-414.0K0.1510.85N/AN/A1,69625229,90217,070
2007-12-10$67.30$60.0047.4%13.6%65.2%58.1%46.4%5.0%2.4%1.5M-43.4M-416.4K0.1711.26N/AN/A3,08452430,72417,125
2007-12-11$63.51$60.0046.1%13.3%62.8%54.5%47.2%3.6%3.0%1.2M-18.9M-397.3K0.2712.46N/AN/A2,13557131,48517,284
2007-12-12$64.25$60.0045.8%13.4%58.6%53.4%48.4%2.9%2.6%1.2M-23.3M-393.4K0.3113.31N/AN/A1,29540730,76017,310
2007-12-13$65.11$60.0046.6%13.4%58.6%55.8%46.8%3.6%3.3%1.3M-27.4M-393.5K0.4812.43N/AN/A79738230,65317,332
2007-12-14$63.49$60.0047.4%13.6%58.2%58.0%48.5%3.8%2.9%1.1M-17.3M-381.7K0.2710.75N/AN/A75520730,64017,478
2007-12-17$60.90$60.0049.9%14.3%58.8%65.4%49.8%2.9%1.5%927.9K-1.8M-349.6K1.4813.01N/AN/A1,8192,69730,68117,446
2007-12-18$60.41$60.0048.6%13.9%55.0%61.6%49.2%3.0%2.8%-13.5K5.6M-348.0K0.4210.03N/AN/A1,89979730,44019,457
2007-12-19$59.21$60.0049.7%14.2%55.4%64.7%50.0%2.9%1.4%-232.6K13.8M-339.8K0.2112.12N/AN/A3,18268130,92619,258
2007-12-20$62.60$60.0045.9%13.2%58.4%53.8%46.7%4.2%3.2%599.6K-17.3M-368.4K0.778.26N/AN/A2,3261,79632,39719,525
2007-12-21$66.61$60.0045.5%13.0%61.5%52.5%46.3%5.6%2.9%796.1K-48.3M-402.3K0.479.48N/AN/A2,9041,36832,17320,407
2007-12-24$66.51$60.0046.0%13.2%56.8%54.0%44.6%5.0%3.3%747.7K-29.6M-390.8K0.7710.25N/AN/A71955225,57116,464
2007-12-26$67.23$60.0045.8%13.1%56.6%53.6%46.1%6.8%4.0%805.1K-33.2M-392.3K0.997.81N/AN/A71070225,84416,547
2007-12-27$65.14$60.0045.6%13.1%53.3%52.9%45.8%4.3%3.3%745.2K-22.1M-380.1K0.3811.26N/AN/A83231626,07816,813
2007-12-28$65.79$60.0044.9%12.9%52.8%51.0%43.9%5.8%3.6%764.2K-24.8M-380.2K0.488.41N/AN/A63530725,96516,716
2007-12-31$65.57$60.0045.9%13.2%52.6%53.8%44.9%5.3%3.5%819.5K-25.1M-372.5K1.9510.59N/AN/A8611,67826,22516,891