TEX Options History — June 2008

In June 2008, TEX traded between $51.33 and $71.32. ATM implied volatility averaged 42.3%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 11.2% (HV 20d: 31.1%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2008-06-26: Highest Volume — 9,726 contracts
  • 2008-06-06: Largest IV spike — 17.0% change
  • 2008-06-30: Highest IV Rank — 46.3%
  • 2008-06-30: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.18$51.33$71.32$71.05$51.37
Max Pain$65.24$60.00$70.00$70.00$60.00
ATM IV42.3%35.4%50.9%36.6%50.9%
Expected Move12.2%10.1%14.6%10.5%14.6%
HV 20d31.1%23.2%42.0%30.0%42.0%
HV 60d38.7%32.5%45.2%45.2%38.4%
IV Rank29.3%16.7%46.3%19.3%46.3%
IV Percentile35.1%8.7%74.2%11.9%74.2%
Term Structure4.1%2.2%5.9%4.5%5.4%
VWIV42.1%34.5%49.7%36.2%49.7%
Skew 25d3.8%2.3%5.2%3.1%3.2%
Skew 10d6.9%3.8%9.9%7.4%7.0%
Call IV 25d40.9%34.0%49.9%34.8%49.9%
Put IV 25d44.7%37.3%53.1%38.0%53.1%
Bid-Ask Spread %11.196.8918.4911.3710.80
Gamma HHI0.180.110.260.210.26
Net GEX-65.3K-838.5K1.3M1.1M-484.3K
Net DEX4.8M-49.9M50.0M-44.6M45.1M
Net VEX-548.5K-632.9K-395.7K-631.4K-425.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.261.390.321.08
Total Volume2,892.7628239,7261,5968,267
Total OI56,513.1950,43360,30855,04557,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$71.05$70.0036.6%10.5%30.0%19.3%36.2%3.1%4.5%1.1M-44.6M-631.4K0.3211.37N/AN/A1,21038629,06625,979
2008-06-03$71.32$70.0036.8%10.6%30.0%19.6%36.5%4.0%4.1%1.3M-49.9M-632.9K0.3311.08N/AN/A62120229,79426,098
2008-06-04$70.76$70.0036.4%10.4%26.9%18.8%36.4%4.1%4.9%1.2M-43.2M-627.2K0.3613.59N/AN/A85231029,95526,168
2008-06-05$70.93$70.0035.4%10.1%23.2%16.7%34.5%3.3%5.9%1.3M-45.0M-625.5K0.3218.49N/AN/A99231830,32726,171
2008-06-06$67.37$65.0041.4%12.7%29.3%29.0%42.8%4.1%2.4%391.6K-16.5M-605.2K0.8911.44N/AN/A1,6021,42430,55826,136
2008-06-09$66.52$65.0043.1%12.9%29.3%32.4%42.4%5.2%2.2%77.2K-8.1M-592.2K0.8816.54N/AN/A2,0731,82130,77026,750
2008-06-10$66.04$65.0042.8%12.6%28.2%31.7%42.2%3.9%3.3%-206.6K-2.9M-590.5K0.4612.14N/AN/A1,85586230,60327,450
2008-06-11$63.11$65.0043.1%12.7%31.5%32.5%44.2%4.0%3.1%-570.6K16.4M-578.9K0.4214.35N/AN/A2,10889331,09927,494
2008-06-12$63.54$65.0044.4%12.7%31.7%35.0%45.5%4.9%2.9%-462.1K12.2M-578.8K0.8314.57N/AN/A83769731,50927,496
2008-06-13$64.30$65.0042.5%12.2%31.1%28.6%42.4%4.7%3.7%-489.5K8.6M-577.9K0.2612.69N/AN/A1,25033031,57727,644
2008-06-16$64.39$65.0043.4%12.4%30.2%30.4%43.2%3.7%2.7%-537.5K8.1M-564.9K0.549.34N/AN/A65135431,46827,631
2008-06-17$63.46$65.0042.5%12.2%29.9%28.6%42.7%3.4%3.5%-636.6K14.6M-555.8K0.559.76N/AN/A1,28470231,76927,616
2008-06-18$62.49$65.0043.6%12.5%29.9%30.9%42.3%3.9%2.9%-838.5K23.1M-532.6K1.058.36N/AN/A1,1381,19231,81727,737
2008-06-19$62.96$65.0041.1%11.8%29.9%25.5%42.3%3.9%4.4%-772.9K17.7M-534.4K1.399.69N/AN/A55276632,01027,755
2008-06-20$61.48$65.0042.3%12.1%30.2%28.1%41.4%3.6%4.1%-110.9K25.9M-522.6K1.118.55N/AN/A88598032,29328,015
2008-06-23$61.42$65.0042.2%12.1%30.3%27.9%41.0%3.5%5.1%-38.8K9.8M-514.4K0.347.17N/AN/A1,82262026,22624,207
2008-06-24$60.21$65.0042.0%12.0%30.6%27.5%41.7%3.4%5.6%-127.5K16.7M-506.7K0.476.89N/AN/A1,39665926,96524,552
2008-06-25$59.17$65.0042.1%12.1%26.5%27.7%42.7%3.4%5.7%-221.1K22.4M-491.0K0.668.83N/AN/A1,9041,24827,38324,807
2008-06-26$53.64$60.0046.9%13.4%41.0%37.8%47.8%2.3%5.2%-552.2K40.9M-434.9K0.568.73N/AN/A6,2163,51027,92524,401
2008-06-27$51.33$60.0048.3%13.9%41.7%40.8%46.7%5.1%5.2%-659.7K50.0M-395.7K0.8810.71N/AN/A3,1732,78627,92524,401
2008-06-30$51.37$60.0050.9%14.6%42.0%46.3%49.7%3.2%5.4%-484.3K45.1M-425.7K1.0810.80N/AN/A3,9674,30031,39925,831