TEX Options History — May 2008

In May 2008, TEX traded between $70.01 and $74.80. ATM implied volatility averaged 38.2%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.9% (HV 20d: 35.4%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2008-05-06: Highest Volume — 7,428 contracts
  • 2008-05-14: Largest IV spike — 10.0% change
  • 2008-05-07: Highest IV Rank — 27.9%
  • 2008-05-05: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.25$70.01$74.80$70.56$71.35
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV38.2%35.5%40.9%40.1%35.5%
Expected Move11.2%10.2%12.4%11.5%10.2%
HV 20d35.4%30.6%40.6%36.3%31.2%
HV 60d46.7%45.2%48.3%47.2%45.4%
IV Rank22.5%17.0%27.9%26.3%17.0%
IV Percentile21.2%10.3%31.3%31.3%10.3%
Term Structure3.6%1.7%5.9%3.0%5.2%
VWIV39.0%34.9%42.8%40.8%34.9%
Skew 25d3.2%2.3%5.1%5.1%3.8%
Skew 10d5.6%3.5%7.7%6.6%7.7%
Call IV 25d37.6%33.1%40.7%37.8%33.1%
Put IV 25d40.8%36.8%44.3%42.8%36.8%
Bid-Ask Spread %12.238.7616.6210.6510.22
Gamma HHI0.230.180.360.180.23
Net GEX1.6M935.5K2.5M1.4M1.2M
Net DEX-59.7M-90.3M-37.4M-51.3M-47.4M
Net VEX-624.2K-673.4K-401.2K-673.4K-636.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.141.230.320.25
Total Volume2,624.3811,2107,4282,5271,210
Total OI54,127.76242,92559,48854,76254,615

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$70.56$70.0040.1%11.5%36.3%26.3%40.8%5.1%3.0%1.4M-51.3M-673.4K0.3210.65N/AN/A1,91860930,00624,756
2008-05-02$72.28$70.0038.1%10.9%36.6%22.2%38.1%3.4%4.2%1.8M-66.1M-643.1K0.529.39N/AN/A1,42273329,42924,957
2008-05-05$72.20$70.0039.5%12.4%36.6%25.0%42.8%3.6%1.9%1.9M-65.4M-632.8K0.3012.48N/AN/A1,56947429,49425,110
2008-05-06$74.80$70.0038.4%11.8%37.8%22.9%40.7%3.2%2.0%2.4M-90.3M-629.9K0.2411.57N/AN/A6,0121,41629,80625,080
2008-05-07$71.91$70.0040.9%12.3%40.6%27.9%41.9%3.2%2.5%1.9M-62.4M-637.5K0.3415.06N/AN/A2,51785330,68025,510
2008-05-08$72.18$70.0040.1%12.2%40.5%26.4%42.0%3.5%2.6%2.0M-64.9M-644.2K0.3415.63N/AN/A1,39246830,79525,781
2008-05-09$71.23$70.0040.0%12.2%39.5%26.2%41.8%3.2%2.9%1.7M-55.3M-634.2K0.4010.53N/AN/A1,71068531,04225,870
2008-05-12$72.55$70.0039.1%11.9%39.8%24.4%42.5%3.5%1.7%2.3M-61.3M-401.2K0.4511.65N/AN/A97844024,82818,097
2008-05-13$72.59$70.0036.7%11.6%39.8%19.4%41.0%3.4%2.4%2.4M-69.8M-628.1K0.7113.26N/AN/A1,5071,07131,38426,357
2008-05-14$71.48$70.0040.4%11.6%38.9%26.9%39.8%3.2%3.1%1.7M-57.4M-627.8K0.5311.84N/AN/A1,76593231,93527,017
2008-05-15$72.82$70.0037.8%10.8%38.7%21.7%38.4%3.2%3.5%2.5M-71.3M-625.4K0.5314.33N/AN/A1,01554032,03927,234
2008-05-16$73.97$70.0036.2%10.4%32.5%18.4%36.8%2.8%3.8%2.1M-79.5M-618.0K0.278.76N/AN/A2,91677832,18027,308
2008-05-19$74.43$70.0037.3%10.7%32.5%20.6%37.2%2.6%3.8%1.1M-64.7M-618.6K0.4114.84N/AN/A3,0891,27024,99323,683
2008-05-20$74.42$70.0036.9%10.6%31.2%19.8%36.9%3.5%3.7%1.3M-67.1M-634.1K0.8013.61N/AN/A94776126,24324,046
2008-05-21$72.77$70.0037.6%10.8%32.5%21.3%37.5%2.4%3.6%1.1M-54.1M-639.1K0.1811.02N/AN/A3,55365026,51024,398
2008-05-22$71.42$70.0038.2%10.9%32.7%22.4%37.8%2.9%4.1%1.0M-45.5M-639.3K0.299.91N/AN/A1,25336227,41424,589
2008-05-23$70.68$70.0038.1%10.9%32.8%22.2%37.7%2.8%4.9%939.4K-42.1M-642.0K0.3111.93N/AN/A1,34741227,70624,778
2008-05-27$70.01$70.0038.2%10.9%30.6%22.4%38.2%2.3%4.6%935.5K-37.4M-628.6K0.1413.58N/AN/A1,66324128,48825,044
2008-05-28$72.45$70.0037.3%10.7%30.8%20.6%36.3%2.8%5.9%1.3M-56.2M-636.3K1.2316.62N/AN/A1,2911,58628,13425,087
2008-05-29$71.11$70.0036.5%10.5%31.5%19.0%36.4%3.6%4.9%1.2M-44.6M-637.6K0.829.95N/AN/A96579228,71925,541
2008-05-30$71.35$70.0035.5%10.2%31.2%17.0%34.9%3.8%5.2%1.2M-47.4M-636.7K0.2510.22N/AN/A96624428,70825,907