TEX Options History — December 2008 In December 2008, TEX traded between $11.71 and $17.80. ATM implied volatility averaged 106.5%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 30.1%. IV traded below realized volatility by 51.3% (HV 20d: 157.8%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.09.
Notable Days 2008-12-11 : Highest Volume — 16,612 contracts2008-12-30 : Largest IV drop — 15.7% change2008-12-15 : Highest IV Rank — 77.6%2008-12-15 : Largest Expected Move — 35.8%Monthly Statistics Metric Avg Min Max Open Close Price $15.75 $11.71 $17.80 $11.71 $17.32 Max Pain $16.82 $12.50 $20.00 $12.50 $17.50 ATM IV 106.5% 78.9% 124.7% 117.0% 78.9% Expected Move 30.1% 22.6% 35.8% 33.5% 22.6% HV 20d 157.8% 101.0% 181.1% 168.1% 101.0% HV 60d 152.8% 143.0% 157.3% 143.0% 152.1% IV Rank 61.8% 37.8% 77.6% 70.9% 37.8% IV Percentile 84.6% 74.6% 93.7% 92.1% 74.6% Term Structure -3.3% -14.9% 7.3% -2.2% 7.3% VWIV 105.0% 86.5% 124.5% 122.0% 86.5% Skew 25d 21.2% 8.9% 32.3% 8.9% 15.5% Skew 10d 45.5% 28.6% 71.2% 32.3% 50.9% Call IV 25d 94.8% 74.8% 120.9% 120.9% 74.8% Put IV 25d 115.9% 90.3% 133.4% 129.9% 90.3% Bid-Ask Spread % 8.41 4.64 20.31 17.75 7.19 Gamma HHI 0.30 0.24 0.38 0.27 0.35 Net GEX 77.1K -136.2K 330.6K 72.9K -86.6K Net DEX -1.7M -16.6M 6.9M 4.8M 82.1K Net VEX -194.5K -226.7K -126.7K -126.7K -214.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.11 4.50 0.82 1.67 Total Volume 3,871.136 480 16,612 2,350 3,359 Total OI 86,450.636 75,195 102,359 75,195 89,723
Daily Data (22 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 2008-12-01 $11.71 $12.50 117.0% 33.5% 168.1% 70.9% 122.0% 8.9% -2.2% 72.9K 4.8M -126.7K 0.82 17.75 N/A N/A 1,291 1,059 52,461 22,734 2008-12-02 $13.65 $12.50 117.1% 33.6% 177.7% 71.0% 111.1% 22.4% -4.8% 129.2K 1.2M -151.5K 0.40 12.13 N/A N/A 1,240 490 53,238 23,468 2008-12-03 $13.41 $12.50 115.5% 33.1% 171.9% 69.6% 115.4% 19.2% -4.3% 123.8K 1.2M -149.0K 3.28 14.27 N/A N/A 398 1,306 53,424 23,310 2008-12-04 $12.41 $12.50 110.6% 31.7% 171.0% 65.4% 109.7% 17.2% -1.2% 89.6K 3.4M -134.0K 0.45 20.31 N/A N/A 536 239 53,634 22,823 2008-12-05 $13.57 $20.00 110.8% 31.6% 171.3% 65.5% 102.7% 20.8% -3.5% 127.1K 868.2K -147.9K 0.94 7.89 N/A N/A 527 494 53,826 23,016 2008-12-08 $16.01 $20.00 116.9% 31.0% 181.1% 70.9% 101.4% 15.8% -6.4% 215.9K -9.0M -179.4K 0.11 7.63 N/A N/A 7,072 800 53,930 22,958 2008-12-09 $16.95 $17.50 119.3% 30.0% 181.1% 72.9% 103.0% 14.5% -5.9% 283.7K -13.5M -187.3K 0.39 7.93 N/A N/A 6,946 2,695 55,108 23,050 2008-12-10 $17.60 $17.50 112.1% 29.5% 178.7% 66.7% 101.1% 15.0% -4.5% 330.6K -16.6M -199.0K 1.02 7.91 N/A N/A 3,075 3,148 56,594 24,698 2008-12-11 $16.70 $17.50 116.5% 33.4% 170.0% 70.5% 124.5% 27.0% -11.9% 250.9K -11.5M -208.6K 2.18 6.18 N/A N/A 5,221 11,391 56,342 27,509 2008-12-12 $17.09 $17.50 112.8% 32.3% 164.4% 67.3% 113.2% 32.3% -7.3% 206.0K -9.3M -226.7K 0.44 5.70 N/A N/A 1,516 662 58,064 34,773 2008-12-15 $15.87 $17.50 124.7% 35.8% 163.8% 77.6% 121.9% 26.3% -14.9% 151.7K -2.8M -209.0K 2.07 6.70 N/A N/A 1,921 3,985 57,506 34,902 2008-12-16 $17.37 $17.50 107.8% 30.9% 165.2% 62.9% 105.6% 27.9% -5.6% 187.8K -8.6M -219.3K 0.36 7.66 N/A N/A 1,782 643 57,118 36,632 2008-12-17 $17.80 $17.50 104.3% 29.9% 165.1% 59.9% 115.6% 26.1% -3.9% 230.3K -11.4M -223.1K 1.58 5.78 N/A N/A 1,950 3,073 57,500 36,734 2008-12-18 $16.48 $17.50 104.1% 29.8% 157.6% 59.7% 114.5% 25.0% -5.0% 153.9K -2.9M -222.1K 4.50 7.35 N/A N/A 1,064 4,792 58,694 39,430 2008-12-19 $16.80 $17.50 95.6% 27.4% 151.7% 52.3% 99.3% 23.2% -0.3% -18.4K 346.4K -226.4K 0.22 7.48 N/A N/A 2,121 457 58,866 43,493 2008-12-22 $15.70 $17.50 103.8% 29.8% 154.5% 59.5% 105.5% 23.0% -2.8% -115.4K 6.9M -210.1K 1.50 5.45 N/A N/A 1,571 2,356 50,974 36,707 2008-12-23 $15.63 $17.50 97.5% 28.0% 147.5% 54.0% 96.3% 17.8% 0.3% -130.2K 6.8M -209.5K 0.68 7.19 N/A N/A 849 578 51,524 37,449 2008-12-24 $15.78 $17.50 97.8% 28.0% 147.5% 54.2% 93.5% 21.7% 1.0% -128.9K 6.7M -210.1K 0.29 4.64 N/A N/A 547 161 52,024 37,776 2008-12-26 $16.18 $17.50 98.2% 28.2% 134.8% 54.6% 91.5% 23.9% -1.2% -114.1K 5.3M -211.8K 0.26 5.58 N/A N/A 381 99 52,029 37,757 2008-12-29 $15.86 $17.50 98.7% 28.3% 135.1% 55.0% 86.7% 21.4% -0.9% -136.2K 6.3M -205.3K 0.27 5.07 N/A N/A 1,547 411 52,210 37,725 2008-12-30 $16.54 $17.50 83.3% 23.9% 112.4% 41.6% 88.2% 20.6% 4.9% -128.3K 3.8M -207.8K 0.62 7.35 N/A N/A 869 543 52,511 37,670 2008-12-31 $17.32 $17.50 78.9% 22.6% 101.0% 37.8% 86.5% 15.5% 7.3% -86.6K 82.1K -214.0K 1.67 7.19 N/A N/A 1,258 2,101 51,851 37,872
« Nov 2008 | All History | Jan 2009 » Home TEX History December 2008