TEX Options History — January 2008

In January 2008, TEX traded between $49.19 and $62.66. ATM implied volatility averaged 61.2%, placing in the 80.8% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 0.1% (HV 20d: 61.0%). Max pain ranged from $45.00 to $65.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2008-01-14: Highest Volume — 18,572 contracts
  • 2008-01-24: Largest IV drop — 17.2% change
  • 2008-01-09: Highest IV Rank — 100.0%
  • 2008-01-23: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.97$49.19$62.66$62.66$58.60
Max Pain$55.95$45.00$65.00$60.00$55.00
ATM IV61.2%48.1%76.3%48.1%52.7%
Expected Move17.5%13.8%21.9%13.8%15.1%
HV 20d61.0%52.9%70.5%52.9%67.5%
HV 60d58.3%53.4%61.6%53.6%61.5%
IV Rank80.8%52.1%100.0%60.2%52.1%
IV Percentile97.0%86.5%100.0%86.5%90.1%
Term Structure-4.3%-9.2%2.3%2.3%-1.1%
VWIV61.1%49.1%75.4%49.1%59.6%
Skew 25d9.1%4.0%13.4%6.7%12.1%
Skew 10d17.6%7.6%27.3%12.6%27.3%
Call IV 25d56.9%47.1%68.7%47.4%50.1%
Put IV 25d66.0%52.8%81.0%54.1%62.2%
Bid-Ask Spread %13.116.5618.506.5615.60
Gamma HHI0.210.150.350.190.20
Net GEX329.8K-97.8K830.0K619.1K193.6K
Net DEX6.4M-25.6M39.6M-9.1M-25.6M
Net VEX-364.7K-501.8K-269.1K-349.7K-501.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.231.811.440.82
Total Volume5,164.4291,37518,5722,1403,775
Total OI51,435.85739,65168,35843,58156,406

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$62.66$60.0048.1%13.8%52.9%60.2%49.1%6.7%2.3%619.1K-9.1M-349.7K1.446.56N/AN/A8781,26226,52217,059
2008-01-03$61.89$60.0050.0%14.3%53.0%65.4%49.6%5.7%2.2%506.4K-3.5M-351.7K0.237.89N/AN/A1,11526026,61317,820
2008-01-04$58.44$65.0051.9%15.4%55.1%70.9%54.0%4.7%-2.5%362.7K11.7M-326.0K1.1912.09N/AN/A9741,16227,18717,899
2008-01-07$54.79$65.0058.7%16.4%54.5%90.6%56.7%6.1%-2.8%137.0K26.1M-291.3K0.4414.72N/AN/A2,5371,11927,29318,394
2008-01-08$52.24$65.0059.8%17.3%56.1%93.8%58.5%4.0%-4.4%33.0K33.9M-271.7K0.4018.50N/AN/A3,2231,29827,84018,574
2008-01-09$51.84$60.0066.9%17.6%55.6%100.0%63.4%6.1%-4.6%89531.3M-269.1K0.6014.13N/AN/A3,3862,02628,24018,253
2008-01-10$53.85$50.0060.2%17.3%55.7%83.2%63.3%6.8%-5.8%210.7K17.4M-299.1K0.7012.11N/AN/A4,0952,85329,83018,592
2008-01-11$52.93$45.0062.0%17.8%55.3%87.8%62.0%7.2%-5.4%434.4K13.8M-305.3K0.8515.10N/AN/A2,9662,52832,09519,126
2008-01-14$56.74$45.0060.2%17.2%61.6%83.1%58.9%8.9%-4.9%749.4K-8.8M-345.6K0.6815.55N/AN/A11,0717,50133,74420,300
2008-01-15$55.24$55.0059.1%16.9%61.7%80.3%59.0%8.7%-3.7%830.0K-9.9M-381.8K0.5817.92N/AN/A2,1351,23340,42525,681
2008-01-16$54.27$55.0060.9%17.5%60.5%85.0%60.9%8.4%-4.5%807.2K753.6K-379.4K1.3216.94N/AN/A1,9332,55440,45626,117
2008-01-17$49.19$55.0070.0%20.1%68.8%100.0%69.0%8.6%-8.8%483.4K39.6M-331.5K0.7510.86N/AN/A4,5073,37140,94526,631
2008-01-18$50.92$55.0068.9%19.7%70.5%97.3%67.2%10.0%-7.6%594.3K18.0M-352.3K0.9810.92N/AN/A1,7911,75641,10627,252
2008-01-22$52.12$55.0073.3%21.0%67.5%100.0%72.4%11.3%-9.2%-97.8K15.0M-360.5K0.4714.02N/AN/A3,1141,44820,69718,954
2008-01-23$52.20$55.0076.3%21.9%62.3%100.0%75.4%12.4%-8.9%-13712.3M-375.2K0.6812.05N/AN/A4,7613,25922,30319,390
2008-01-24$53.43$55.0063.1%18.1%63.5%73.2%62.3%13.4%-4.0%139.7K3.7M-402.5K0.3512.49N/AN/A4,2091,48024,80520,835
2008-01-25$54.76$55.0059.5%17.1%64.3%65.8%59.9%12.7%-2.6%237.5K-4.0M-425.4K0.8811.67N/AN/A2,8312,49726,44821,782
2008-01-28$55.41$55.0061.9%17.7%64.2%70.7%60.3%11.2%-4.1%171.0K-4.5M-440.3K0.4312.42N/AN/A1,68371927,33923,019
2008-01-29$57.14$55.0061.4%17.6%65.4%69.8%59.8%12.8%-5.2%280.9K-18.3M-459.4K0.7012.73N/AN/A1,18582428,40623,438
2008-01-30$55.64$55.0059.8%17.2%65.7%66.5%61.2%12.3%-4.7%231.9K-5.0M-438.8K1.8110.96N/AN/A2,5404,59428,69023,647
2008-01-31$58.60$55.0052.7%15.1%67.5%52.1%59.6%12.1%-1.1%193.6K-25.6M-501.8K0.8215.60N/AN/A2,0721,70329,94726,459