TEX Options History — February 2008 In February 2008, TEX traded between $54.86 and $70.88. ATM implied volatility averaged 50.6%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 2.2% (HV 20d: 52.9%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.75.
Notable Days 2008-02-21 : Highest Volume — 12,928 contracts2008-02-14 : Largest IV spike — 33.0% change2008-02-05 : Highest IV Rank — 79.8%2008-02-11 : Largest Expected Move — 17.9%Monthly Statistics Metric Avg Min Max Open Close Price $61.91 $54.86 $70.88 $60.56 $67.45 Max Pain $57.25 $55.00 $60.00 $55.00 $60.00 ATM IV 50.6% 38.2% 66.4% 53.4% 43.4% Expected Move 14.8% 11.0% 17.9% 15.3% 12.4% HV 20d 52.9% 40.5% 68.6% 68.6% 44.6% HV 60d 58.3% 55.3% 62.0% 61.9% 55.3% IV Rank 47.8% 22.5% 79.8% 53.4% 33.1% IV Percentile 71.8% 34.9% 98.0% 90.1% 52.4% Term Structure 0.8% -2.3% 5.1% -1.9% 2.8% VWIV 51.8% 39.7% 62.6% 57.0% 42.3% Skew 25d 8.5% 5.3% 12.2% 12.2% 5.3% Skew 10d 16.6% 10.6% 24.9% 24.9% 11.4% Call IV 25d 47.3% 35.9% 57.5% 47.9% 39.8% Put IV 25d 55.8% 41.5% 66.2% 60.1% 45.1% Bid-Ask Spread % 13.91 9.20 17.27 12.01 14.08 Gamma HHI 0.19 0.15 0.49 0.23 0.17 Net GEX 428.0K -2.2M 1.7M 281.7K 1.2M Net DEX -37.7M -97.2M 13.5M -40.9M -63.6M Net VEX -546.7K -634.9K -502.7K -517.6K -634.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.19 3.45 0.59 0.72 Total Volume 4,368.65 1,911 12,928 6,869 2,391 Total OI 60,193.35 48,494 65,965 57,328 62,677
Daily Data (20 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 2008-02-01 $60.56 $55.00 53.4% 15.3% 68.6% 53.4% 57.0% 12.2% -1.9% 281.7K -40.9M -517.6K 0.59 12.01 N/A N/A 4,315 2,554 30,329 26,999 2008-02-04 $59.52 $60.00 59.1% 15.8% 65.6% 65.0% 55.8% 11.2% -1.2% 204.5K -31.2M -517.7K 0.53 12.09 N/A N/A 4,420 2,357 31,293 27,948 2008-02-05 $56.12 $60.00 66.4% 17.4% 64.9% 79.8% 59.5% 10.5% -2.3% 146.7K -2.2M -520.9K 0.84 16.73 N/A N/A 1,703 1,424 33,280 29,654 2008-02-06 $54.94 $60.00 62.7% 17.4% 62.9% 72.3% 62.1% 10.2% -1.3% -82.8K 13.5M -502.7K 0.92 13.86 N/A N/A 3,018 2,774 31,733 30,119 2008-02-07 $54.89 $55.00 59.5% 17.6% 62.8% 65.8% 61.0% 9.3% -1.2% -54.4K 11.4M -519.0K 0.65 16.68 N/A N/A 2,009 1,301 33,231 31,662 2008-02-08 $54.86 $55.00 55.8% 17.8% 61.4% 58.3% 60.1% 8.8% -0.8% -10.6K 12.3M -514.3K 0.31 17.16 N/A N/A 1,463 448 33,377 31,706 2008-02-11 $56.10 $55.00 58.7% 17.9% 61.5% 64.2% 62.6% 9.1% -1.8% 3.4K 2.1M -511.9K 0.49 14.43 N/A N/A 1,384 685 33,396 31,710 2008-02-12 $57.38 $55.00 56.5% 17.7% 56.8% 59.7% 59.2% 10.2% -1.5% -87.0K -11.8M -520.7K 0.66 15.67 N/A N/A 2,229 1,470 33,572 31,783 2008-02-13 $58.44 $55.00 42.1% 16.2% 56.2% 30.5% 54.7% 8.5% -0.4% -138.2K -18.5M -528.3K 0.19 16.08 N/A N/A 2,129 403 33,320 31,752 2008-02-14 $60.17 $55.00 56.0% 16.1% 56.4% 58.8% 54.1% 9.3% -0.0% -406.7K -43.0M -535.6K 0.35 10.62 N/A N/A 2,453 850 33,690 31,849 2008-02-15 $59.80 $55.00 55.0% 15.8% 41.5% 56.7% 55.9% 8.8% 0.7% -2.2M -32.7M -530.3K 0.56 12.85 N/A N/A 1,408 782 34,063 31,902 2008-02-19 $61.17 $55.00 54.3% 15.6% 40.8% 55.1% 52.8% 10.4% 0.4% 408.3K -22.4M -521.6K 0.51 16.61 N/A N/A 1,931 989 25,208 23,286 2008-02-20 $62.21 $55.00 52.5% 15.0% 40.5% 51.6% 51.5% 9.7% 0.0% 574.5K -27.8M -529.9K 0.47 17.27 N/A N/A 3,717 1,762 26,254 23,656 2008-02-21 $66.73 $55.00 42.9% 12.3% 45.9% 32.0% 42.9% 6.9% 2.4% 1.2M -64.0M -536.5K 0.83 11.18 N/A N/A 7,057 5,871 27,530 23,919 2008-02-22 $67.64 $60.00 39.6% 11.4% 45.7% 25.3% 41.2% 6.6% 3.5% 1.2M -71.5M -581.4K 0.48 15.34 N/A N/A 2,174 1,040 29,493 26,060 2008-02-25 $69.10 $60.00 38.2% 11.0% 45.6% 22.5% 41.4% 5.9% 5.1% 1.5M -82.5M -585.3K 1.20 10.95 N/A N/A 3,221 3,871 30,314 26,441 2008-02-26 $70.88 $60.00 39.0% 11.2% 45.8% 24.1% 39.7% 5.7% 4.4% 1.6M -97.2M -595.6K 0.58 9.20 N/A N/A 3,610 2,108 31,066 27,895 2008-02-27 $70.27 $60.00 39.2% 11.2% 45.9% 24.4% 40.0% 5.6% 4.0% 1.7M -93.0M -615.4K 0.59 11.93 N/A N/A 1,613 948 32,570 28,317 2008-02-28 $69.98 $60.00 38.5% 11.0% 44.1% 23.1% 41.5% 5.6% 4.9% 1.6M -90.7M -614.8K 3.45 13.39 N/A N/A 784 2,707 32,429 28,384 2008-02-29 $67.45 $60.00 43.4% 12.4% 44.6% 33.1% 42.3% 5.3% 2.8% 1.2M -63.6M -634.9K 0.72 14.08 N/A N/A 1,388 1,003 32,779 29,898
« Jan 2008 | All History | Mar 2008 » Home TEX History February 2008