TEX Options History — September 2008

In September 2008, TEX traded between $29.28 and $49.54. ATM implied volatility averaged 65.3%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 17.6% (HV 20d: 82.9%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2008-09-04: Highest Volume — 18,651 contracts
  • 2008-09-29: Largest IV spike — 56.1% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.85$29.28$49.54$49.54$30.52
Max Pain$44.52$40.00$50.00$50.00$40.00
ATM IV65.3%42.9%99.1%42.9%78.0%
Expected Move18.6%12.3%28.4%12.3%22.4%
HV 20d82.9%40.9%99.8%40.9%99.8%
HV 60d72.9%59.0%77.3%59.0%77.3%
IV Rank68.7%18.4%100.0%18.4%66.9%
IV Percentile88.1%29.4%100.0%29.4%99.6%
Term Structure-3.1%-13.5%4.2%4.2%-3.0%
VWIV64.7%42.3%97.0%42.3%76.8%
Skew 25d4.1%2.0%6.0%2.4%2.0%
Skew 10d4.2%-1.1%9.2%2.7%-1.1%
Call IV 25d63.5%43.0%95.6%43.0%75.8%
Put IV 25d67.6%45.3%98.7%45.3%77.8%
Bid-Ask Spread %9.045.1215.236.9314.93
Gamma HHI0.240.170.350.170.18
Net GEX-417.4K-756.2K264.2K264.2K-223.5K
Net DEX52.7M14.9M70.3M14.9M48.6M
Net VEX-309.4K-473.7K-247.8K-473.7K-247.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.102.101.290.91
Total Volume4,329.14381118,6511,6863,471
Total OI75,465.28669,43481,35869,43875,106

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$49.54$50.0042.9%12.3%40.9%18.4%42.3%2.4%4.2%264.2K14.9M-473.7K1.296.93N/AN/A73794938,22431,214
2008-09-03$47.32$50.0047.9%13.7%43.9%30.6%45.1%5.0%0.7%-60.6K29.7M-437.3K1.2815.13N/AN/A9551,22538,54131,321
2008-09-04$38.02$50.0058.1%16.6%88.4%55.5%59.8%3.9%-1.8%-714.6K70.3M-297.7K1.5013.87N/AN/A7,44611,20538,69432,034
2008-09-05$38.31$50.0055.0%15.9%87.8%48.0%56.1%4.8%-2.2%-756.2K59.0M-323.9K0.856.90N/AN/A4,2903,65741,84733,059
2008-09-08$37.50$45.0061.9%16.4%84.8%64.7%56.6%3.4%-2.0%-656.1K58.8M-316.0K1.176.07N/AN/A2,6013,04043,12832,779
2008-09-09$35.43$45.0065.8%17.9%84.8%74.3%61.7%4.8%-4.6%-654.7K66.1M-296.7K0.605.24N/AN/A2,8521,70143,43733,504
2008-09-10$35.80$45.0064.0%17.6%84.9%70.0%60.0%3.0%-3.6%-627.4K59.3M-310.0K0.675.12N/AN/A2,0081,35144,53132,742
2008-09-11$36.72$45.0062.4%17.9%85.6%66.0%61.1%5.6%-4.0%-515.8K54.1M-328.6K0.396.30N/AN/A1,43256345,60232,706
2008-09-12$36.76$45.0062.2%17.8%85.0%65.5%62.1%4.0%-2.5%-497.1K52.5M-334.2K0.576.26N/AN/A2,1501,22945,91632,701
2008-09-15$34.59$45.0069.5%19.9%85.6%83.5%69.0%3.0%-8.1%-511.7K57.3M-309.1K0.616.70N/AN/A2,8341,73447,00632,875
2008-09-16$34.76$45.0067.1%19.2%86.0%77.5%68.6%3.6%-6.0%-528.1K57.3M-306.6K1.069.61N/AN/A1,1151,17748,28132,853
2008-09-17$33.49$45.0071.9%20.6%86.0%89.2%72.2%5.6%-9.7%-522.1K60.8M-289.7K0.927.23N/AN/A1,0901,00648,10832,982
2008-09-18$33.81$45.0073.4%21.0%86.2%93.0%74.4%2.3%-7.7%-597.5K59.9M-296.1K2.1015.23N/AN/A1,6953,55947,31233,046
2008-09-19$33.18$45.0068.3%19.6%86.1%80.4%67.2%5.8%-6.7%-353.5K65.6M-265.5K0.3813.22N/AN/A1,95573847,79533,563
2008-09-22$33.57$45.0068.0%19.5%86.1%79.7%68.6%4.8%-1.1%-351.5K51.5M-277.3K0.616.21N/AN/A1,46189740,04429,390
2008-09-23$33.69$40.0065.6%18.8%86.4%73.9%65.8%3.8%0.7%-309.7K47.4M-281.1K1.228.32N/AN/A2,8083,43941,30928,612
2008-09-24$33.25$40.0063.9%18.3%86.3%69.8%65.3%4.7%1.4%-333.7K50.0M-278.4K0.3510.63N/AN/A2,48385942,50830,410
2008-09-25$33.22$40.0063.2%18.1%85.6%68.0%66.1%4.3%2.2%-311.3K48.4M-278.2K1.357.24N/AN/A1,6202,18342,79630,329
2008-09-26$34.18$40.0063.5%18.2%84.5%68.7%64.0%6.0%2.2%-298.6K45.2M-298.7K0.108.07N/AN/A7387343,59630,584
2008-09-29$29.28$40.0099.1%28.4%96.8%100.0%97.0%3.1%-13.5%-206.0K49.1M-250.0K0.6910.60N/AN/A2,7081,87843,99930,287
2008-09-30$30.52$40.0078.0%22.4%99.8%66.9%76.8%2.0%-3.0%-223.5K48.6M-247.8K0.9114.93N/AN/A1,8181,65345,19229,914