TEX Options History — October 2008 In October 2008, TEX traded between $12.17 and $29.43. ATM implied volatility averaged 117.2%, placing in the 79.1% IV rank vs the trailing year. The 30-day expected move averaged 31.6%. IV traded below realized volatility by 5.9% (HV 20d: 123.1%). Max pain ranged from $15.00 to $40.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.67.
Notable Days 2008-10-23 : Highest Volume — 9,592 contracts2008-10-06 : Largest IV spike — 32.5% change2008-10-02 : Highest IV Rank — 100.0%2008-10-27 : Largest Expected Move — 37.6%Monthly Statistics Metric Avg Min Max Open Close Price $19.34 $12.17 $29.43 $29.43 $16.69 Max Pain $24.02 $15.00 $40.00 $40.00 $15.00 ATM IV 117.2% 81.3% 150.5% 81.3% 106.3% Expected Move 31.6% 23.3% 37.6% 23.3% 30.5% HV 20d 123.1% 77.6% 171.1% 99.6% 168.7% HV 60d 95.3% 77.5% 118.1% 77.5% 118.0% IV Rank 79.1% 52.8% 100.0% 72.1% 61.6% IV Percentile 97.8% 93.3% 100.0% 99.6% 93.3% Term Structure -14.0% -24.0% -3.1% -3.1% -5.7% VWIV 109.1% 82.4% 132.1% 82.4% 112.6% Skew 25d 11.4% -2.5% 17.3% 5.3% 15.5% Skew 10d 18.8% -8.1% 36.2% 8.0% 30.8% Call IV 25d 105.0% 81.5% 129.6% 81.5% 102.0% Put IV 25d 116.4% 86.8% 136.9% 86.8% 117.5% Bid-Ask Spread % 20.87 5.63 37.22 9.33 14.75 Gamma HHI 0.14 0.08 0.23 0.19 0.23 Net GEX -27.4K -210.8K 92.2K -210.8K 92.2K Net DEX 29.8M 7.0M 50.1M 50.1M 7.0M Net VEX -150.9K -242.4K -96.4K -242.4K -152.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.14 1.56 0.38 0.17 Total Volume 3,738.913 1,542 9,592 3,017 2,019 Total OI 73,732.739 56,947 85,999 76,343 71,986
Daily Data (23 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 2008-10-01 $29.43 $40.00 81.3% 23.3% 99.6% 72.1% 82.4% 5.3% -3.1% -210.8K 50.1M -242.4K 0.38 9.33 N/A N/A 2,187 830 45,954 30,389 2008-10-02 $26.11 $40.00 99.6% 28.6% 77.6% 100.0% 95.9% 3.0% -10.0% -159.1K 49.0M -204.1K 0.93 5.63 N/A N/A 1,042 970 46,318 29,842 2008-10-03 $23.67 $40.00 95.5% 27.4% 81.8% 93.7% 98.8% -2.5% -6.2% -129.3K 50.1M -163.0K 0.24 7.81 N/A N/A 2,884 691 46,942 29,847 2008-10-06 $23.12 $30.00 126.6% 28.5% 81.8% 100.0% 96.8% 4.4% -14.9% -91.8K 46.2M -168.2K 0.57 26.96 N/A N/A 3,377 1,937 48,029 29,516 2008-10-07 $21.25 $30.00 127.2% 30.9% 83.8% 100.0% 105.5% 11.1% -18.7% -52.9K 45.1M -142.4K 0.68 37.22 N/A N/A 1,951 1,321 49,080 29,414 2008-10-08 $20.61 $30.00 133.1% 32.2% 82.8% 100.0% 108.0% 13.1% -23.0% -32.7K 38.7M -150.4K 0.37 26.58 N/A N/A 3,855 1,408 50,274 28,085 2008-10-09 $19.17 $30.00 138.2% 33.4% 81.7% 100.0% 112.9% 16.1% -24.0% -14.8K 35.7M -148.0K 0.67 32.87 N/A N/A 1,327 892 51,379 28,394 2008-10-10 $19.06 $25.00 150.5% 35.8% 81.4% 100.0% 129.4% 17.3% -16.4% -7.6K 32.9M -157.1K 0.49 35.45 N/A N/A 2,645 1,293 52,083 28,456 2008-10-13 $23.44 $25.00 126.0% 29.8% 116.9% 78.8% 104.9% 13.0% -14.0% 9.6K 35.3M -195.2K 0.85 27.62 N/A N/A 2,117 1,790 52,716 28,507 2008-10-14 $23.18 $20.00 126.0% 29.4% 116.6% 78.8% 100.6% 12.5% -14.6% 30.2K 33.0M -200.3K 0.69 24.71 N/A N/A 1,178 807 54,233 29,456 2008-10-15 $19.30 $20.00 116.7% 32.6% 130.1% 70.6% 115.5% 11.9% -15.4% -13.9K 34.2M -154.1K 1.52 18.83 N/A N/A 1,445 2,195 54,514 29,403 2008-10-16 $20.34 $20.00 113.1% 32.4% 132.6% 67.5% 112.0% 16.3% -17.1% -30.5K 34.6M -162.6K 0.94 23.81 N/A N/A 874 820 55,403 30,182 2008-10-17 $20.35 $20.00 109.1% 31.3% 132.9% 64.0% 107.7% 12.5% -15.1% -106.7K 33.4M -165.7K 0.71 20.05 N/A N/A 990 701 55,674 30,325 2008-10-20 $21.22 $20.00 96.1% 27.6% 134.4% 52.8% 91.2% 16.0% -6.8% -1.4K 22.9M -156.8K 0.38 19.28 N/A N/A 1,761 664 34,414 22,533 2008-10-21 $17.42 $20.00 99.1% 28.4% 147.5% 55.4% 99.4% 10.2% -9.6% 2.3K 24.2M -111.5K 1.33 17.17 N/A N/A 2,436 3,231 35,186 22,670 2008-10-22 $16.72 $20.00 111.8% 32.1% 147.3% 66.4% 112.7% 14.3% -16.3% -20.6K 21.8M -118.2K 1.07 23.10 N/A N/A 1,874 2,005 36,633 23,327 2008-10-23 $14.40 $20.00 116.4% 33.4% 152.2% 70.4% 115.1% 15.0% -16.6% -23.4K 21.8M -96.4K 0.46 19.09 N/A N/A 6,591 3,001 37,886 23,969 2008-10-24 $12.69 $20.00 130.3% 37.4% 152.6% 82.5% 129.8% 6.3% -19.0% 12.1K 16.4M -98.8K 1.56 14.50 N/A N/A 2,011 3,130 42,022 23,426 2008-10-27 $12.17 $17.50 131.0% 37.6% 147.5% 83.1% 132.1% 7.3% -20.0% 1.6K 17.1M -97.4K 0.53 19.35 N/A N/A 2,221 1,166 42,887 25,595 2008-10-28 $13.45 $17.50 127.9% 36.7% 153.3% 80.4% 123.7% 14.1% -16.0% 7.1K 15.6M -109.5K 0.18 19.39 N/A N/A 1,311 231 43,746 25,062 2008-10-29 $14.16 $17.50 123.2% 35.3% 156.8% 76.3% 107.1% 12.2% -13.4% 21.4K 13.3M -121.8K 0.58 19.79 N/A N/A 4,224 2,451 44,176 24,613 2008-10-30 $16.95 $15.00 110.3% 31.6% 171.1% 65.1% 115.1% 17.3% -7.1% 87.7K 7.3M -153.8K 0.14 16.69 N/A N/A 3,640 501 46,680 24,627 2008-10-31 $16.69 $15.00 106.3% 30.5% 168.7% 61.6% 112.6% 15.5% -5.7% 92.2K 7.0M -152.9K 0.17 14.75 N/A N/A 1,732 287 47,242 24,744
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