TEX Options History — January 2009

In January 2009, TEX traded between $11.84 and $20.46. ATM implied volatility averaged 91.7%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded above realized volatility by 0.6% (HV 20d: 91.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2009-01-14: Highest Volume — 18,263 contracts
  • 2009-01-15: Largest IV spike — 24.2% change
  • 2009-01-12: Highest IV Rank — 61.8%
  • 2009-01-20: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.56$11.84$20.46$18.74$11.84
Max Pain$17.13$15.00$17.50$17.50$15.00
ATM IV91.7%79.0%106.5%80.3%96.3%
Expected Move26.5%23.0%30.1%23.0%27.6%
HV 20d91.0%82.7%103.2%103.0%101.9%
HV 60d140.8%127.3%153.3%152.1%131.2%
IV Rank48.9%37.9%61.8%39.0%53.0%
IV Percentile74.8%70.2%82.1%74.6%75.0%
Term Structure-2.2%-6.5%5.8%5.8%-1.3%
VWIV91.3%81.6%101.5%81.6%101.5%
Skew 25d13.3%2.2%17.6%15.9%17.0%
Skew 10d18.1%0.5%34.9%34.7%17.6%
Call IV 25d85.6%70.8%94.8%70.8%94.8%
Put IV 25d98.9%86.8%111.8%86.8%111.8%
Bid-Ask Spread %10.607.1417.257.149.38
Gamma HHI0.350.170.970.320.19
Net GEX-785.1K-11.7M335.6K77.8K-30.5K
Net DEX5.4M-22.0M26.3M-8.9M9.1M
Net VEX-196.5K-219.6K-163.2K-219.6K-163.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.145.510.691.24
Total Volume5,900.41,16518,2637,5033,637
Total OI86,506.263,326116,41089,07574,809

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$18.74$17.5080.3%23.0%103.0%39.0%81.6%15.9%5.8%77.8K-8.9M-219.6K0.697.14N/AN/A4,4513,05252,26536,810
2009-01-05$19.18$17.5079.0%23.8%96.8%37.9%83.4%15.8%-0.9%145.5K-12.1M-214.1K0.429.26N/AN/A3,1801,34452,53635,804
2009-01-06$20.46$17.5081.0%23.6%94.9%39.7%81.7%14.1%-2.5%335.6K-22.0M-217.3K0.759.58N/AN/A3,6472,71853,97635,219
2009-01-07$18.51$17.5092.2%25.9%87.7%49.4%88.4%16.0%-5.1%75.0K-8.4M-208.7K3.169.73N/AN/A3,36710,63454,22237,196
2009-01-08$17.74$17.5094.9%25.9%87.3%51.7%90.3%13.8%-3.6%-184.7K90.1K-211.2K5.518.68N/AN/A2,53813,97955,13441,650
2009-01-09$16.82$17.5087.5%26.3%88.4%45.3%90.6%12.1%-6.1%-789.3K13.0M-211.8K0.3910.34N/AN/A2,6271,03755,96653,695
2009-01-12$15.44$17.50106.5%28.6%91.6%61.8%96.3%9.3%-6.5%-728.1K19.3M-188.1K4.1712.22N/AN/A2,2779,48656,87849,148
2009-01-13$15.67$17.50101.2%28.6%91.4%57.2%86.6%11.1%-5.7%-1.0M18.2M-193.0K0.1917.25N/AN/A2,09440357,76252,110
2009-01-14$14.73$17.5079.2%28.5%90.2%38.1%94.7%7.9%-3.8%-621.8K21.2M-177.3K3.3312.09N/AN/A4,22014,04358,89544,405
2009-01-15$14.93$17.5098.4%28.2%83.5%54.7%98.4%16.1%-4.9%-1.3M23.8M-206.2K0.8212.49N/AN/A1,6571,36462,13653,813
2009-01-16$14.97$17.5092.9%26.6%82.7%49.9%88.7%17.0%-1.0%-11.7M26.3M-203.1K0.538.48N/AN/A2,9941,59962,50953,901
2009-01-20$13.68$17.50105.1%30.1%84.3%60.6%99.8%9.5%-4.5%5.5K4.1M-181.5K0.458.03N/AN/A3,8351,73036,03027,296
2009-01-21$14.81$17.5093.1%26.7%89.5%50.2%92.3%17.6%0.6%11.4K1.6M-200.3K0.329.76N/AN/A1,30242136,70828,426
2009-01-22$14.06$17.5093.7%26.9%88.2%50.7%93.4%12.0%-2.0%3.4K3.2M-190.7K0.2412.35N/AN/A94122437,30028,515
2009-01-23$14.34$17.5093.5%26.8%88.7%50.5%96.3%16.2%-1.0%14.1K2.3M-195.2K1.6412.14N/AN/A7151,17137,76428,628
2009-01-26$13.94$17.5094.0%27.0%88.9%51.0%93.0%14.8%-2.5%-7.7K4.1M-190.3K0.408.64N/AN/A92437138,20629,764
2009-01-27$14.13$17.5087.0%24.9%88.5%44.8%87.4%15.3%0.8%-2.9K3.8M-192.0K0.148.85N/AN/A1,74623738,52229,947
2009-01-28$14.71$15.0083.6%24.0%89.9%41.9%87.4%12.5%0.1%46.4K1.6M-197.9K0.1416.04N/AN/A2,94442240,01330,030
2009-01-29$12.57$15.0093.7%26.9%103.2%50.7%93.6%2.2%-0.7%-14.2K7.7M-168.3K0.529.49N/AN/A3,0711,60642,01630,120
2009-01-30$11.84$15.0096.3%27.6%101.9%53.0%101.5%17.0%-1.3%-30.5K9.1M-163.2K1.249.38N/AN/A1,6272,01044,12030,689