TEX Options History — March 2008

In March 2008, TEX traded between $58.89 and $68.19. ATM implied volatility averaged 50.0%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 2.2% (HV 20d: 52.2%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2008-03-19: Highest Volume — 5,591 contracts
  • 2008-03-10: Largest IV spike — 19.9% change
  • 2008-03-20: Highest IV Rank — 61.6%
  • 2008-03-20: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.14$58.89$68.19$67.84$62.50
Max Pain$63.75$60.00$65.00$60.00$65.00
ATM IV50.0%41.9%57.4%41.9%53.8%
Expected Move14.5%12.0%16.5%12.0%15.4%
HV 20d52.2%37.2%61.6%43.5%60.9%
HV 60d56.5%54.0%58.7%55.2%58.0%
IV Rank46.5%30.0%61.6%30.0%54.2%
IV Percentile74.4%47.6%90.5%47.6%84.5%
Term Structure2.0%-2.2%5.1%4.2%1.6%
VWIV50.9%41.9%59.6%43.7%51.2%
Skew 25d7.1%5.5%8.9%6.0%7.8%
Skew 10d13.8%10.8%17.9%12.6%12.9%
Call IV 25d47.7%40.4%55.0%41.4%47.1%
Put IV 25d54.7%47.4%62.8%47.4%54.9%
Bid-Ask Spread %10.747.7113.7013.708.60
Gamma HHI0.150.110.220.170.12
Net GEX613.8K-63.0K1.5M1.3M88.1K
Net DEX-29.2M-73.6M20.8M-68.0M-7.1M
Net VEX-590.7K-622.2K-548.9K-622.2K-593.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.172.020.370.58
Total Volume2,846.856515,5911,327651
Total OI61,588.1551,82368,84462,78558,014

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$67.84$60.0041.9%12.0%43.5%30.0%43.7%6.0%4.2%1.3M-68.0M-622.2K0.3713.70N/AN/A96935832,85229,933
2008-03-04$66.00$60.0045.2%13.0%44.4%36.7%44.6%5.5%3.5%958.3K-50.5M-613.6K0.519.63N/AN/A2,0251,03932,64530,090
2008-03-05$66.92$60.0044.8%12.8%37.4%35.8%41.9%6.9%3.8%1.1M-58.5M-619.3K0.3510.89N/AN/A97534132,67230,264
2008-03-06$65.69$60.0044.4%12.7%37.2%35.1%46.3%6.4%4.4%936.0K-46.6M-609.4K1.2911.43N/AN/A49463732,83930,324
2008-03-07$64.45$65.0045.4%14.2%38.3%37.1%51.3%7.0%1.9%737.0K-34.6M-603.9K1.0812.49N/AN/A87894432,87730,388
2008-03-10$60.57$65.0054.4%15.7%45.7%55.5%53.4%7.3%-0.6%189.9K-2.1M-561.1K1.169.26N/AN/A1,8632,16333,04330,199
2008-03-11$64.97$65.0047.2%14.4%50.9%40.7%49.9%7.3%1.6%828.5K-39.4M-580.6K0.3612.00N/AN/A1,23444232,59830,256
2008-03-12$66.83$65.0046.6%14.5%51.2%39.5%51.3%6.6%1.4%1.2M-60.7M-589.7K0.7111.79N/AN/A2,0091,42132,95030,202
2008-03-13$68.19$65.0048.7%14.0%51.3%43.8%51.0%6.5%2.3%1.5M-73.6M-608.4K0.599.29N/AN/A1,35980533,52530,450
2008-03-14$66.58$65.0053.4%15.3%51.8%53.4%53.4%7.4%0.6%1.2M-56.5M-610.8K0.7211.70N/AN/A1,38199433,71130,506
2008-03-17$63.55$65.0054.6%15.7%54.8%56.0%54.9%7.7%-0.3%617.3K-28.5M-581.8K2.0211.20N/AN/A1,8013,63934,07430,774
2008-03-18$64.82$65.0052.9%15.2%54.7%52.3%54.8%8.9%-0.1%932.8K-39.2M-594.8K1.3811.63N/AN/A1,8792,59134,27632,234
2008-03-19$59.90$65.0056.7%16.3%61.6%60.2%55.7%6.7%-1.8%-63.0K8.4M-558.6K1.7813.26N/AN/A2,0083,58334,34632,782
2008-03-20$58.89$65.0057.4%16.5%55.6%61.6%59.6%7.7%-2.2%165.7K20.8M-548.9K0.9110.48N/AN/A2,3642,14735,07333,771
2008-03-24$62.60$65.0049.2%14.1%60.2%44.9%51.3%8.6%4.6%-37.2K-5.2M-563.9K0.527.71N/AN/A2,4271,25125,25926,564
2008-03-25$65.01$60.0049.8%14.3%61.4%46.0%51.0%7.9%3.9%293.3K-22.8M-588.3K1.1910.75N/AN/A2,1132,50826,46027,010
2008-03-26$64.09$65.0048.6%13.9%60.5%43.6%49.0%6.9%5.1%233.5K-16.5M-584.1K0.178.62N/AN/A1,23621127,45827,645
2008-03-27$61.76$65.0053.2%15.2%61.6%53.0%53.7%6.6%3.2%60.5K-2.9M-582.6K1.949.95N/AN/A1,1242,17728,17727,746
2008-03-28$61.72$65.0051.7%14.8%61.6%49.9%50.0%5.7%3.8%-17.7K-712.1K-598.2K0.5710.52N/AN/A57132528,67129,105
2008-03-31$62.50$65.0053.8%15.4%60.9%54.2%51.2%7.8%1.6%88.1K-7.1M-593.4K0.588.60N/AN/A41223928,84729,167