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| Texas Instruments Incorporate | DEC99: Expires on DEC 17th (7 days) | JAN00: Expires on JAN 21th (42 days) | APR00: Expires on APR 21th (133 days) | JUL00: Expires on JUL 21th (224 days) | JAN01: Expires on JAN 19th (406 days) | JAN02: Expires on JAN 18th (770 days) | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 12-10-99 | Stock=106 7/8 | Stock=106 7/8 | Stock=106 7/8 | Stock=106 7/8 | Stock=106 7/8 | Stock=106 7/8 | ||||||
| 1/16=$6.25 | Call | Put | Call | Put | Call | Put | Call | Put | Call | Put | Call | Put |
| Strike | iv=50.6% | iv=49.5% | iv=50.8% | iv=51.5% | iv=48.7% | iv=47.9% | iv=48.2% | iv=48.9% | iv=47.1% | iv=46.4% | iv=46.9% | iv=45.7% |
| 100 | DEC,100 | DEC,100 | JAN,100 | JAN,100 | APR,100 | APR,100 | JUL,100 | JUL,100 | JAN,100 | JAN,100 | JAN,100 | JAN,100 | Call=7 3/4 MCall=7 5/8 Q-M=1/8 iv=54.2% est_iv=50.6% delta= 82 gamma=3.2 vega=0.038 theta=-0.146 volume=211 open_int=5456 | _Put=15/16 M_Put=5/8 Q-M=5/16 iv=58.2% est_iv=49.5% delta=-19 gamma=3.1 vega=0.040 theta=-0.167 volume=1184 open_int=4912 | Call=11 9/16 MCall=11 7/16 Q-M=1/8 iv=51.9% est_iv=50.8% delta= 69 gamma=1.9 vega=0.127 theta=-0.077 volume=205 open_int=2732 | _Put=4 1/4 M_Put=4 1/16 Q-M=3/16 iv=53.0% est_iv=51.5% delta=-31 gamma=1.8 vega=0.127 theta=-0.080 volume=96 open_int=3157 | Call=17 MCall=16 13/16 Q-M=3/16 iv=49.5% est_iv=48.7% delta= 66 gamma=1.1 vega=0.230 theta=-0.041 volume=73 open_int=846 | _Put=8 3/16 M_Put=7 15/16 Q-M=1/4 iv=48.9% est_iv=47.9% delta=-33 gamma=1.1 vega=0.230 theta=-0.041 volume=50 open_int=942 | Call=21 3/16 MCall=20 11/16 Q-M=1/2 iv=49.8% est_iv=48.2% delta= 65 gamma=0.8 vega=0.293 theta=-0.030 volume=15 open_int=16 | _Put=10 3/4 M_Put=11 Q-M=-1/4 iv=48.0% est_iv=48.9% delta=-32 gamma=0.9 vega=0.293 theta=-0.030 volume=10 open_int=56 | Call=26 11/16 MCall=26 1/2 Q-M=3/16 iv=47.6% est_iv=47.1% delta= 65 gamma=0.6 vega=0.376 theta=-0.019 volume=15 open_int=949 | _Put=14 1/8 M_Put=13 15/16 Q-M=3/16 iv=46.9% est_iv=46.4% delta=-29 gamma=0.6 vega=0.376 theta=-0.020 volume=5 open_int=268 | Call=35 1/16 MCall=35 1/2 Q-M=-7/16 iv=46.1% est_iv=46.9% delta= 65 gamma=0.4 vega=0.468 theta=-0.010 volume=28 open_int=322 | _Put=18 3/16 M_Put=18 Q-M=3/16 iv=46.1% est_iv=45.7% delta=-25 gamma=0.4 vega=0.468 theta=-0.011 volume=5 open_int=280 |
| 110 | DEC,110 | DEC,110 | JAN,110 | JAN,110 | APR,110 | APR,110 | JUL,110 | JUL,110 | JAN,110 | JAN,110 | JAN,110 | JAN,110 | Call=1 3/4 MCall=1 3/4 Q-M=0 iv=50.5% est_iv=50.6% delta= 36 gamma=5.0 vega=0.055 theta=-0.199 volume=527 open_int=2677 | _Put=4 11/16 M_Put=4 11/16 Q-M=0 iv=49.0% est_iv=49.5% delta=-65 gamma=5.1 vega=0.055 theta=-0.192 volume=62 open_int=573 | Call=6 3/16 MCall=6 1/4 Q-M=-1/16 iv=50.4% est_iv=50.8% delta= 48 gamma=2.2 vega=0.144 theta=-0.085 volume=438 open_int=4628 | _Put=9 3/16 M_Put=8 13/16 Q-M=3/8 iv=53.9% est_iv=51.5% delta=-51 gamma=2.0 vega=0.144 theta=-0.091 volume=10 open_int=277 | Call=12 MCall=12 Q-M=0 iv=48.7% est_iv=48.7% delta= 53 gamma=1.2 vega=0.251 theta=-0.045 volume=33 open_int=797 | _Put=12 15/16 M_Put=12 15/16 Q-M=0 iv=47.9% est_iv=47.9% delta=-45 gamma=1.3 vega=0.251 theta=-0.043 volume=10 open_int=43 | Call=16 3/16 MCall=16 1/16 Q-M=1/8 iv=48.5% est_iv=48.2% delta= 56 gamma=0.9 vega=0.318 theta=-0.032 volume=5 open_int=39 | _Put=15 9/16 M_Put=16 1/8 Q-M=-9/16 iv=47.2% est_iv=48.9% delta=-41 gamma=1.0 vega=0.318 theta=-0.031 volume=2 open_int=504 | Call=22 1/8 MCall=22 1/8 Q-M=0 iv=47.1% est_iv=47.1% delta= 59 gamma=0.7 vega=0.406 theta=-0.021 volume=30 open_int=1176 | _Put=18 15/16 M_Put=19 Q-M=-1/16 iv=46.2% est_iv=46.4% delta=-36 gamma=0.7 vega=0.407 theta=-0.020 volume=1 open_int=665 | Call=31 1/2 MCall=31 9/16 Q-M=-1/16 iv=46.8% est_iv=46.9% delta= 61 gamma=0.4 vega=0.503 theta=-0.012 volume=60 open_int=1410 | _Put=22 15/16 M_Put=23 Q-M=-1/16 iv=45.6% est_iv=45.7% delta=-29 gamma=0.5 vega=0.504 theta=-0.011 volume=1 open_int=63 |
| 120 | DEC,120 | DEC,120 | JAN,120 | JAN,120 | APR,120 | APR,120 | JUL,120 | JUL,120 | JAN,120 | JAN,120 | JAN,120 | JAN,120 | Call=1/4 MCall=3/16 Q-M=1/16 iv=53.5% est_iv=50.6% delta= 7 gamma=1.6 vega=0.019 theta=-0.072 volume=50 open_int=381 | _Put=13 5/16 M_Put=13 3/16 Q-M=1/8 iv=57.6% est_iv=49.5% delta=-92 gamma=1.8 vega=0.022 theta=-0.089 volume=55 open_int=40 | Call=3 MCall=3 1/16 Q-M=-1/16 iv=50.2% est_iv=50.8% delta= 29 gamma=1.9 vega=0.123 theta=-0.073 volume=77 open_int=4303 | _Put=15 1/8 M_Put=15 5/8 Q-M=-1/2 iv=47.7% est_iv=51.5% delta=-72 gamma=1.9 vega=0.120 theta=-0.066 volume=2 open_int=30 | Call=8 5/16 MCall=8 3/8 Q-M=-1/16 iv=48.5% est_iv=48.7% delta= 42 gamma=1.2 vega=0.248 theta=-0.044 volume=37 open_int=2038 | _Put=17 1/2 M_Put=19 1/8 Q-M=-1 5/8 iv=41.4% est_iv=47.9% delta=-59 gamma=1.4 vega=0.244 theta=-0.035 volume=2 open_int=21 | Call=11 7/16 MCall=12 3/8 Q-M=-15/16 iv=45.4% est_iv=48.2% delta= 46 gamma=1.0 vega=0.323 theta=-0.031 volume=22 open_int=117 | _Put=NQ M_Put=22 1/8 Q-M=NQ est_iv=48.9% delta=-50 gamma=0.9 vega=0.324 theta=-0.032 | Call=NQ MCall=18 7/16 Q-M=NQ est_iv=47.1% delta= 52 gamma=0.7 vega=0.422 theta=-0.022 | _Put=NQ M_Put=24 13/16 Q-M=NQ est_iv=46.4% delta=-43 gamma=0.7 vega=0.422 theta=-0.020 | Call=NQ MCall=28 1/16 Q-M=NQ est_iv=46.9% delta= 56 gamma=0.5 vega=0.529 theta=-0.013 | _Put=NQ M_Put=28 1/2 Q-M=NQ est_iv=45.7% delta=-34 gamma=0.5 vega=0.530 theta=-0.011 |