TEX Options History — July 2008 In July 2008, TEX traded between $42.66 and $51.83. ATM implied volatility averaged 62.7%, placing in the 68.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 4.8% (HV 20d: 67.5%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.50.
Notable Days 2008-07-10 : Highest Volume — 17,744 contracts2008-07-10 : Largest IV spike — 18.3% change2008-07-14 : Highest IV Rank — 99.7%2008-07-14 : Largest Expected Move — 21.8%Monthly Statistics Metric Avg Min Max Open Close Price $47.20 $42.66 $51.83 $51.83 $47.33 Max Pain $49.09 $45.00 $55.00 $55.00 $45.00 ATM IV 62.7% 52.0% 76.1% 52.0% 53.6% Expected Move 18.1% 14.9% 21.8% 14.9% 15.4% HV 20d 67.5% 42.3% 83.6% 42.3% 74.2% HV 60d 49.0% 38.4% 55.2% 38.4% 55.0% IV Rank 68.1% 44.6% 99.7% 48.6% 44.6% IV Percentile 90.5% 75.8% 99.6% 77.8% 75.8% Term Structure -7.1% -16.3% 4.3% 4.3% -1.5% VWIV 63.3% 51.8% 76.7% 51.8% 54.3% Skew 25d 3.8% -1.5% 8.5% 3.0% -0.8% Skew 10d 6.9% -4.2% 17.1% 6.3% -0.7% Call IV 25d 61.8% 51.1% 76.5% 51.1% 54.9% Put IV 25d 65.6% 54.1% 80.3% 54.1% 54.1% Bid-Ask Spread % 11.86 6.88 18.73 10.62 6.94 Gamma HHI 0.23 0.18 0.39 0.29 0.25 Net GEX 437.1K -622.9K 1.5M -431.6K 951.2K Net DEX 27.0M -9.2M 65.2M 42.8M 16.1M Net VEX -466.3K -543.6K -356.1K -469.5K -499.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.17 1.01 0.53 0.41 Total Volume 5,979.636 1,739 17,744 4,769 2,066 Total OI 73,479.091 61,081 88,766 62,039 75,312
Daily Data (22 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 2008-07-01 $51.83 $55.00 52.0% 14.9% 42.3% 48.6% 51.8% 3.0% 4.3% -431.6K 42.8M -469.5K 0.53 10.62 N/A N/A 3,126 1,643 33,460 28,579 2008-07-02 $47.22 $55.00 55.7% 16.0% 50.2% 56.4% 54.8% 2.3% 3.7% -622.9K 62.1M -397.7K 0.49 6.88 N/A N/A 1,844 898 34,725 28,849 2008-07-03 $45.92 $55.00 57.5% 16.5% 49.6% 60.2% 56.5% 3.1% 3.9% -588.5K 63.4M -380.7K 0.66 7.47 N/A N/A 3,545 2,356 35,498 28,466 2008-07-07 $47.60 $50.00 58.9% 17.8% 52.3% 63.3% 62.0% 5.6% -8.8% -446.6K 54.6M -410.0K 0.45 14.88 N/A N/A 7,682 3,475 36,826 29,274 2008-07-08 $46.96 $50.00 62.1% 18.6% 52.3% 65.3% 63.0% 6.1% -10.6% -163.5K 50.7M -437.4K 1.01 12.95 N/A N/A 1,705 1,723 42,307 30,388 2008-07-09 $43.04 $50.00 60.4% 19.0% 57.6% 61.1% 66.0% 2.8% -11.0% -331.7K 65.2M -356.1K 0.39 13.86 N/A N/A 2,993 1,163 42,508 29,716 2008-07-10 $43.46 $50.00 71.4% 20.5% 57.9% 88.1% 71.2% 5.4% -13.7% -145.6K 57.5M -385.2K 0.61 9.01 N/A N/A 11,038 6,706 44,494 29,806 2008-07-11 $43.59 $50.00 73.0% 20.9% 57.7% 91.9% 73.4% 4.0% -14.4% 561.8K 44.5M -429.5K 0.89 11.61 N/A N/A 2,010 1,797 51,972 31,742 2008-07-14 $43.56 $50.00 76.1% 21.8% 57.0% 99.7% 76.7% 6.3% -16.3% 611.9K 44.1M -423.0K 0.65 10.54 N/A N/A 1,799 1,175 52,877 32,310 2008-07-15 $42.66 $50.00 75.7% 21.7% 56.4% 98.6% 76.7% 2.5% -15.2% 497.5K 51.4M -407.6K 0.86 13.02 N/A N/A 4,698 4,030 53,081 32,655 2008-07-16 $48.47 $50.00 68.3% 19.6% 77.2% 80.4% 69.3% 6.2% -11.2% 1.4M -4.6M -515.2K 0.19 16.21 N/A N/A 11,685 2,231 56,289 32,477 2008-07-17 $49.47 $50.00 68.5% 19.6% 78.1% 81.1% 68.5% 6.6% -11.9% 1.5M -9.2M -520.4K 0.50 18.73 N/A N/A 3,541 1,768 54,860 32,727 2008-07-18 $47.32 $50.00 70.3% 20.1% 78.6% 85.3% 68.2% 6.0% -12.9% 375.6K 18.6M -473.4K 0.44 15.08 N/A N/A 1,744 767 53,992 33,377 2008-07-21 $48.45 $50.00 69.1% 19.8% 79.6% 82.4% 68.8% 8.5% -12.2% 440.3K 10.0M -488.2K 0.26 9.61 N/A N/A 3,066 795 34,278 26,803 2008-07-22 $49.46 $50.00 65.4% 18.7% 80.4% 73.4% 65.9% 6.6% -8.7% 717.6K 2.2M -508.5K 0.19 12.01 N/A N/A 9,013 1,710 36,393 27,338 2008-07-23 $50.12 $45.00 64.0% 18.3% 80.8% 70.0% 63.8% 3.6% -8.8% 660.6K -4.0M -535.8K 0.44 12.55 N/A N/A 4,855 2,157 36,913 28,401 2008-07-24 $46.72 $45.00 58.3% 16.7% 83.6% 55.9% 58.5% 1.0% -3.1% 440.7K 20.1M -485.6K 0.57 12.32 N/A N/A 7,144 4,047 38,102 29,481 2008-07-25 $49.17 $45.00 54.9% 15.8% 79.9% 47.8% 55.6% 2.5% -1.8% 954.0K -810.9K -543.6K 0.45 7.15 N/A N/A 1,551 702 41,378 30,017 2008-07-28 $47.62 $45.00 56.9% 16.3% 79.2% 52.6% 57.8% -1.5% -2.9% 845.9K 9.8M -511.4K 0.55 14.86 N/A N/A 1,496 819 41,617 29,930 2008-07-29 $49.00 $45.00 54.4% 15.6% 80.0% 46.5% 54.5% 0.6% -2.3% 1.1M 1.3M -538.2K 0.17 12.32 N/A N/A 2,784 466 42,278 30,479 2008-07-30 $49.37 $45.00 54.0% 15.5% 80.0% 45.6% 54.2% 3.5% -2.1% 1.3M -2.7M -541.7K 0.19 12.33 N/A N/A 1,462 277 43,984 30,581 2008-07-31 $47.33 $45.00 53.6% 15.4% 74.2% 44.6% 54.3% -0.8% -1.5% 951.2K 16.1M -499.8K 0.41 6.94 N/A N/A 1,467 599 44,662 30,650
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