TEX Options History — November 2008 In November 2008, TEX traded between $9.33 and $17.57. ATM implied volatility averaged 117.5%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 32.9%. IV traded below realized volatility by 45.4% (HV 20d: 162.9%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.85.
Notable Days 2008-11-06 : Highest Volume — 6,983 contracts2008-11-24 : Largest IV drop — 16.5% change2008-11-20 : Highest IV Rank — 89.4%2008-11-20 : Largest Expected Move — 39.7%Monthly Statistics Metric Avg Min Max Open Close Price $13.08 $9.33 $17.57 $15.69 $14.26 Max Pain $15.66 $12.50 $17.50 $15.00 $12.50 ATM IV 117.5% 97.1% 138.3% 113.0% 100.2% Expected Move 32.9% 27.8% 39.7% 32.4% 28.7% HV 20d 162.9% 151.0% 178.8% 169.5% 154.2% HV 60d 128.9% 117.4% 144.2% 117.4% 138.2% IV Rank 71.4% 53.6% 89.4% 67.4% 56.4% IV Percentile 93.9% 84.9% 99.6% 94.4% 86.1% Term Structure -6.2% -14.8% 3.8% -9.2% -0.3% VWIV 113.8% 100.1% 135.1% 109.6% 101.4% Skew 25d 12.7% 0.5% 21.8% 16.9% 16.7% Skew 10d 20.2% -4.2% 73.5% 33.1% 31.2% Call IV 25d 109.1% 89.5% 138.2% 105.6% 92.5% Put IV 25d 121.8% 107.2% 139.7% 122.5% 109.2% Bid-Ask Spread % 14.87 11.03 19.51 13.52 15.76 Gamma HHI 0.27 0.20 0.34 0.24 0.31 Net GEX 53.2K -18.7K 149.4K 72.6K 149.4K Net DEX 11.6M 941.3K 15.5M 10.3M 941.3K Net VEX -130.8K -159.7K -97.6K -134.8K -155.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.04 2.74 2.74 0.21 Total Volume 3,261.842 592 6,983 2,789 592 Total OI 81,180.421 72,050 90,831 72,050 75,787
Daily Data (19 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 2008-11-03 $15.69 $15.00 113.0% 32.4% 169.5% 67.4% 109.6% 16.9% -9.2% 72.6K 10.3M -134.8K 2.74 13.52 N/A N/A 745 2,044 47,216 24,834 2008-11-04 $17.57 $17.50 101.6% 29.1% 173.9% 57.5% 104.8% 11.6% -8.5% 103.2K 7.0M -159.7K 2.19 12.66 N/A N/A 2,165 4,752 47,435 25,872 2008-11-05 $16.00 $17.50 109.6% 31.4% 176.3% 64.5% 109.2% 10.9% -9.3% 4.0K 12.3M -148.7K 1.02 19.25 N/A N/A 3,053 3,114 48,013 28,795 2008-11-06 $14.47 $17.50 116.9% 33.5% 177.8% 70.8% 115.4% 9.4% -14.8% 17.4K 14.8M -139.1K 1.13 19.51 N/A N/A 3,284 3,699 49,425 28,706 2008-11-07 $15.04 $17.50 110.3% 29.1% 178.8% 65.1% 100.1% 11.4% -6.0% 39.1K 13.6M -152.2K 0.54 16.46 N/A N/A 869 472 52,785 29,668 2008-11-10 $14.38 $17.50 118.0% 29.8% 159.2% 71.8% 103.8% 9.6% -5.9% 84.5K 12.5M -143.1K 0.96 13.00 N/A N/A 909 876 53,162 27,659 2008-11-11 $13.36 $17.50 124.8% 32.0% 160.1% 77.7% 104.8% 14.1% -5.4% 58.5K 15.0M -126.2K 0.69 16.94 N/A N/A 2,199 1,523 53,354 27,360 2008-11-12 $11.50 $17.50 135.1% 33.8% 156.2% 86.6% 117.4% 6.1% -7.5% 25.4K 15.5M -112.0K 0.77 13.62 N/A N/A 1,897 1,466 54,690 28,160 2008-11-13 $13.16 $17.50 113.7% 32.6% 164.2% 68.1% 113.4% 14.9% -5.5% 58.7K 13.6M -130.0K 0.79 16.93 N/A N/A 1,895 1,503 55,852 28,223 2008-11-14 $12.12 $17.50 117.2% 33.6% 165.3% 71.1% 120.6% 14.0% -7.5% 39.3K 13.9M -124.4K 1.02 14.67 N/A N/A 1,348 1,380 56,839 29,304 2008-11-17 $11.77 $15.00 121.0% 34.7% 163.4% 74.4% 123.5% 15.6% -7.8% 29.9K 14.9M -120.7K 0.62 11.61 N/A N/A 616 382 57,770 30,165 2008-11-18 $11.81 $15.00 126.3% 36.2% 151.1% 79.0% 125.4% 11.5% -7.8% 28.3K 14.2M -123.5K 0.67 16.60 N/A N/A 1,972 1,316 58,122 30,102 2008-11-19 $10.21 $15.00 136.8% 39.2% 157.5% 88.1% 133.9% 6.3% -11.1% 19.9K 15.0M -109.1K 0.98 18.17 N/A N/A 1,121 1,102 59,250 30,476 2008-11-20 $9.33 $15.00 138.3% 39.7% 152.6% 89.4% 135.1% 0.5% -6.7% 15.6K 15.4M -97.6K 0.65 11.86 N/A N/A 2,025 1,316 60,016 30,815 2008-11-21 $10.06 $15.00 132.5% 38.0% 151.0% 84.4% 126.8% 18.0% -8.1% -18.7K 14.6M -105.2K 0.29 14.19 N/A N/A 1,703 497 59,923 29,512 2008-11-24 $11.65 $12.50 110.7% 31.7% 160.6% 65.4% 110.7% 13.1% 2.8% 63.5K 7.9M -126.5K 0.04 11.03 N/A N/A 2,639 113 50,188 23,582 2008-11-25 $11.90 $12.50 109.7% 31.5% 156.3% 64.6% 104.8% 19.2% -3.2% 78.3K 6.5M -126.2K 0.52 12.60 N/A N/A 2,845 1,482 51,151 22,415 2008-11-26 $14.18 $12.50 97.1% 27.8% 168.1% 53.6% 102.4% 21.8% 3.8% 142.1K 2.4M -150.8K 0.27 14.22 N/A N/A 2,419 642 52,183 23,619 2008-11-28 $14.26 $12.50 100.2% 28.7% 154.2% 56.4% 101.4% 16.7% -0.3% 149.4K 941.3K -155.2K 0.21 15.76 N/A N/A 489 103 52,421 23,366
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