TEX Options History — August 2008

In August 2008, TEX traded between $43.52 and $51.23. ATM implied volatility averaged 46.6%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 14.1% (HV 20d: 60.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2008-08-06: Highest Volume — 6,459 contracts
  • 2008-08-04: Largest IV spike — 7.1% change
  • 2008-08-04: Highest IV Rank — 48.6%
  • 2008-08-04: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.05$43.52$51.23$45.22$50.29
Max Pain$46.90$45.00$50.00$45.00$50.00
ATM IV46.6%40.4%55.3%51.6%40.9%
Expected Move13.5%11.6%15.3%14.8%11.7%
HV 20d60.7%43.3%76.0%75.3%43.3%
HV 60d58.2%55.2%59.7%55.2%59.7%
IV Rank27.4%12.4%48.6%39.6%13.5%
IV Percentile45.9%20.6%80.2%67.5%21.8%
Term Structure3.2%0.3%5.9%1.2%4.7%
VWIV47.2%40.9%54.0%54.0%40.9%
Skew 25d3.6%-1.6%4.9%-1.6%4.1%
Skew 10d6.9%-3.4%10.4%-3.4%7.6%
Call IV 25d45.9%39.3%54.7%54.7%39.3%
Put IV 25d49.6%43.0%55.5%53.1%43.5%
Bid-Ask Spread %11.456.3117.178.316.31
Gamma HHI0.250.150.540.240.18
Net GEX642.9K-78.9K2.9M589.1K346.1K
Net DEX16.4M-36.2M46.8M31.9M10.4M
Net VEX-487.3K-541.6K-411.6K-458.8K-492.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.224.410.390.27
Total Volume2,718.9522686,4592,771268
Total OI75,145.66764,72786,39576,22069,367

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$45.22$45.0051.6%14.8%75.3%39.6%54.0%-1.6%1.2%589.1K31.9M-458.8K0.398.31N/AN/A1,99677545,34530,875
2008-08-04$43.52$45.0055.3%15.3%75.1%48.6%53.9%2.6%0.3%94.0K46.8M-411.6K0.4516.07N/AN/A2,7651,25445,54831,199
2008-08-05$44.84$45.0053.4%14.7%76.0%44.0%51.3%4.9%0.9%438.9K37.8M-431.5K0.5012.80N/AN/A2,2891,14846,28231,712
2008-08-06$46.61$45.0049.8%14.5%70.3%35.3%49.2%4.5%0.7%953.8K22.7M-460.5K4.4113.28N/AN/A1,1955,26447,05131,934
2008-08-07$44.71$45.0049.2%14.8%72.1%33.7%51.0%3.4%1.0%268.1K43.1M-451.8K0.4517.17N/AN/A1,58972047,15134,482
2008-08-08$47.22$45.0046.8%14.5%74.5%27.8%50.2%3.9%1.8%1.1M18.4M-503.1K0.4311.09N/AN/A2,3941,03847,84234,855
2008-08-11$48.60$45.0049.9%14.4%75.0%35.4%51.2%3.8%0.8%1.7M2.8M-511.7K0.4713.53N/AN/A1,86988648,07735,078
2008-08-12$49.02$45.0047.9%14.2%74.3%30.7%49.3%4.0%2.0%1.9M-3.5M-520.0K0.2212.91N/AN/A2,46153948,35935,384
2008-08-13$49.64$45.0047.9%14.3%59.2%30.6%50.2%4.9%3.6%2.1M-11.2M-532.9K0.499.58N/AN/A4,1512,02448,37935,617
2008-08-14$50.47$45.0048.4%13.9%59.1%31.9%48.3%4.4%3.0%2.9M-22.0M-541.6K0.3114.84N/AN/A3,9931,22749,76836,145
2008-08-15$51.23$45.0047.2%13.5%56.8%28.8%47.7%4.8%3.3%571.4K-36.2M-537.9K0.5515.26N/AN/A2,4301,34649,77036,625
2008-08-18$50.01$45.0045.9%13.2%57.1%25.8%45.4%4.7%4.0%171.4K14.9M-510.7K0.838.86N/AN/A2,6282,17735,20029,527
2008-08-19$48.19$45.0045.6%13.1%58.2%25.1%46.1%4.3%4.2%14.6K24.3M-487.6K0.599.24N/AN/A73042936,42530,605
2008-08-20$48.46$50.0044.9%12.9%58.0%23.2%45.2%4.3%4.5%32.9K24.2M-486.2K2.5612.94N/AN/A4281,09536,68130,733
2008-08-21$48.18$50.0044.3%12.7%52.1%21.8%45.2%3.7%5.0%17.6K24.9M-490.8K1.1811.94N/AN/A57467736,89631,118
2008-08-22$48.72$50.0042.9%12.3%48.9%18.5%43.2%4.1%5.9%56.8K24.0M-498.1K0.616.67N/AN/A27216537,22931,470
2008-08-25$47.68$50.0043.6%12.5%48.1%20.2%44.2%2.5%4.6%-55.7K29.8M-473.8K1.147.47N/AN/A48054637,26131,592
2008-08-26$47.58$50.0042.0%12.0%47.0%16.2%42.5%3.6%5.2%-78.9K29.7M-464.3K0.468.04N/AN/A67330937,43131,381
2008-08-27$48.38$50.0040.9%11.7%47.3%13.4%41.4%2.2%5.7%39.0K22.2M-473.6K0.5610.29N/AN/A56331737,62031,016
2008-08-28$50.40$50.0040.4%11.6%46.9%12.4%41.0%3.5%5.2%324.1K9.9M-494.8K0.4513.91N/AN/A97843637,88631,143
2008-08-29$50.29$50.0040.9%11.7%43.3%13.5%40.9%4.1%4.7%346.1K10.4M-492.4K0.276.31N/AN/A2115738,15331,214