TEX Options History — April 2008

In April 2008, TEX traded between $65.04 and $72.54. ATM implied volatility averaged 47.3%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 2.3% (HV 20d: 49.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2008-04-18: Highest Volume — 11,343 contracts
  • 2008-04-24: Largest IV drop — 19.5% change
  • 2008-04-14: Highest IV Rank — 55.5%
  • 2008-04-14: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.46$65.04$72.54$66.16$69.68
Max Pain$65.68$65.00$70.00$65.00$70.00
ATM IV47.3%39.1%54.4%48.3%39.4%
Expected Move13.9%11.2%15.6%13.8%11.3%
HV 20d49.6%36.5%64.5%64.5%36.5%
HV 60d52.1%48.6%59.1%59.1%48.9%
IV Rank41.0%24.2%55.5%42.9%24.9%
IV Percentile61.2%28.2%85.3%69.0%29.0%
Term Structure-0.2%-4.4%6.8%5.3%3.1%
VWIV48.4%40.6%54.1%48.9%40.8%
Skew 25d6.2%3.4%7.7%6.8%3.4%
Skew 10d11.7%7.2%15.5%12.1%7.2%
Call IV 25d45.2%38.1%50.5%44.4%38.2%
Put IV 25d51.4%41.6%57.5%51.2%41.6%
Bid-Ask Spread %14.066.7319.376.7315.83
Gamma HHI0.170.120.240.120.20
Net GEX975.1K466.3K1.6M536.4K1.1M
Net DEX-47.3M-107.0M-26.2M-36.3M-42.3M
Net VEX-600.0K-651.6K-558.3K-609.0K-651.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.232.280.470.74
Total Volume3,32162311,3433,2713,303
Total OI57,361.18241,74464,95358,30754,015

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$66.16$65.0048.3%13.8%64.5%42.9%48.9%6.8%5.3%536.4K-36.3M-609.0K0.476.73N/AN/A2,2191,05228,96929,338
2008-04-02$67.25$65.0047.9%13.7%64.0%42.3%45.6%6.9%4.5%761.2K-47.5M-615.5K0.3110.37N/AN/A1,76554229,98129,763
2008-04-03$68.42$65.0043.2%12.4%64.1%32.6%45.6%7.4%6.8%988.5K-57.7M-616.4K1.5512.23N/AN/A1,4092,18830,35329,848
2008-04-04$67.40$65.0047.7%15.0%64.0%41.8%49.0%7.5%-1.4%466.3K-43.6M-617.3K0.3612.35N/AN/A1,64259130,81831,840
2008-04-07$67.67$65.0042.6%14.2%63.5%31.3%51.6%7.4%-0.6%1.0M-51.0M-605.4K0.8416.99N/AN/A69858331,56830,485
2008-04-08$66.87$65.0046.2%14.7%59.1%38.8%51.2%7.7%-1.0%844.3K-40.6M-600.6K0.5116.36N/AN/A41221131,71630,663
2008-04-09$65.97$65.0046.3%15.0%54.1%39.0%52.9%7.5%-2.0%826.2K-34.3M-592.1K1.5216.68N/AN/A49675331,90230,723
2008-04-10$66.74$65.0051.8%14.8%53.3%50.1%51.2%7.5%-1.7%984.4K-42.1M-594.0K1.1312.81N/AN/A65574031,91031,078
2008-04-11$65.04$65.0053.1%15.2%53.5%52.9%53.9%7.0%-2.5%799.3K-26.2M-581.2K0.8112.88N/AN/A1,6461,33032,15831,260
2008-04-14$65.65$65.0054.4%15.6%53.1%55.5%54.1%7.0%-3.7%892.1K-30.6M-576.2K1.1817.55N/AN/A55765732,45531,653
2008-04-15$66.31$65.0053.4%15.3%50.3%53.4%53.2%7.2%-3.0%1.0M-37.2M-571.0K0.8519.37N/AN/A65355332,54931,978
2008-04-16$68.54$65.0049.5%14.2%51.1%45.4%49.9%7.7%-1.5%1.5M-62.4M-571.0K0.2611.57N/AN/A1,65942332,60731,934
2008-04-17$67.45$65.0052.2%15.0%41.8%50.9%52.1%7.1%-2.5%1.3M-50.1M-564.0K2.2812.48N/AN/A6831,55432,77631,968
2008-04-18$71.75$65.0047.5%13.6%45.3%41.5%47.1%6.4%-1.4%828.8K-107.0M-558.3K0.5518.87N/AN/A7,3134,03032,85232,101
2008-04-21$71.82$70.0050.6%14.5%41.1%47.7%50.3%5.3%-3.1%795.4K-45.7M-578.7K0.4815.63N/AN/A3,0211,45021,79819,946
2008-04-22$70.23$70.0051.6%14.8%40.7%49.7%50.9%5.0%-3.4%671.3K-37.0M-574.4K0.2314.37N/AN/A2,85266721,79819,946
2008-04-23$70.66$65.0052.1%14.9%40.1%50.8%51.9%4.7%-4.4%1.0M-48.8M-613.5K0.2914.49N/AN/A4,2601,23224,89121,076
2008-04-24$69.53$65.0041.9%12.0%37.8%30.1%41.5%4.3%1.2%1.1M-41.8M-610.7K0.6015.51N/AN/A4,1852,50826,18321,821
2008-04-25$70.21$65.0041.2%11.8%37.8%28.6%41.1%4.9%2.2%1.2M-46.7M-629.7K0.3513.99N/AN/A1,86065926,94422,955
2008-04-28$72.54$65.0039.1%11.2%38.8%24.2%40.6%4.5%3.3%1.6M-65.0M-629.4K0.4613.37N/AN/A3,5671,65327,43323,247
2008-04-29$70.20$65.0041.2%11.8%36.7%28.6%41.3%4.1%1.8%1.3M-45.9M-640.4K0.419.01N/AN/A3,4331,39828,53624,111
2008-04-30$69.68$70.0039.4%11.3%36.5%24.9%40.8%3.4%3.1%1.1M-42.3M-651.6K0.7415.83N/AN/A1,9011,40229,19224,823