TEX Options History — February 2009

In February 2009, TEX traded between $7.57 and $14.63. ATM implied volatility averaged 106.8%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 30.1%. IV traded below realized volatility by 29.9% (HV 20d: 136.7%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2009-02-12: Highest Volume — 24,949 contracts
  • 2009-02-10: Largest IV spike — 19.2% change
  • 2009-02-23: Highest IV Rank — 71.1%
  • 2009-02-23: Largest Expected Move — 33.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.44$7.57$14.63$11.78$8.92
Max Pain$13.16$12.50$17.50$15.00$12.50
ATM IV106.8%87.6%117.2%103.9%100.9%
Expected Move30.1%25.1%33.6%29.8%28.9%
HV 20d136.7%93.2%172.3%95.4%172.3%
HV 60d134.0%120.6%145.9%128.9%132.9%
IV Rank62.1%45.4%71.1%59.6%57.0%
IV Percentile81.3%68.7%91.3%80.2%73.4%
Term Structure-3.8%-7.8%4.2%-4.1%4.2%
VWIV100.9%87.8%112.2%93.6%105.8%
Skew 25d14.6%5.8%21.1%17.6%15.0%
Skew 10d21.4%-2.8%51.9%16.2%17.8%
Call IV 25d96.3%77.0%109.3%99.7%99.5%
Put IV 25d111.0%96.4%122.6%117.3%114.4%
Bid-Ask Spread %11.826.6921.3510.4116.12
Gamma HHI0.200.150.270.200.19
Net GEX-16.1K-102.0K123.6K-36.6K-17.7K
Net DEX8.4M-6.6M17.5M8.8M7.9M
Net VEX-156.9K-234.8K-102.3K-164.2K-131.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.152.501.260.18
Total Volume5,574.57973724,9498,1948,198
Total OI91,120.15876,738106,04276,73888,521

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$11.78$15.00103.9%29.8%95.4%59.6%93.6%17.6%-4.1%-36.6K8.8M-164.2K1.2610.41N/AN/A3,6274,56745,23331,505
2009-02-03$12.01$17.50102.5%29.4%95.1%58.3%103.6%12.8%-3.1%-40.8K9.0M-180.7K0.248.68N/AN/A5,4541,31646,93635,336
2009-02-04$12.59$15.00100.8%28.9%93.2%56.8%97.9%20.3%-4.2%15.8K3.8M-204.0K0.588.40N/AN/A1,7421,00850,80134,815
2009-02-05$13.47$15.00102.6%29.4%94.1%58.4%100.4%17.3%-7.8%56.5K-158.4K-216.7K0.2115.85N/AN/A2,27648651,40035,200
2009-02-06$14.29$12.5087.6%25.1%97.1%45.4%88.3%20.6%-1.6%117.8K-5.4M-231.4K0.628.21N/AN/A2,0961,30552,76135,463
2009-02-09$14.63$12.5092.1%25.1%96.5%49.3%87.8%19.4%-1.9%123.6K-6.6M-234.8K0.506.69N/AN/A2,7671,37151,88135,547
2009-02-10$13.52$12.50109.8%27.5%95.8%64.6%88.8%17.2%-2.9%54.0K-554.6K-217.0K1.559.12N/AN/A1,1071,72052,43336,145
2009-02-11$13.62$12.50110.5%27.4%95.6%65.2%88.6%18.3%-5.7%37.9K-98.2K-215.1K0.449.35N/AN/A51322452,69136,950
2009-02-12$9.45$12.50110.4%31.6%158.7%65.2%109.8%21.1%-4.9%-65.0K15.0M-135.0K0.8521.35N/AN/A13,46411,48552,80336,590
2009-02-13$9.67$12.50100.3%28.7%159.0%56.4%99.3%18.4%-2.0%-44.9K13.9M-148.1K0.5112.40N/AN/A3,8031,92957,71041,929
2009-02-17$8.05$12.50116.5%33.4%168.6%70.5%97.9%11.2%-5.9%-69.2K17.5M-111.5K1.4116.00N/AN/A4,3766,16759,57642,171
2009-02-18$8.09$12.50113.3%32.5%167.6%67.7%104.1%13.4%-3.0%-86.5K17.3M-114.4K0.4417.06N/AN/A2,8341,25561,29143,512
2009-02-19$7.77$12.50114.3%32.8%162.9%68.6%112.2%9.4%-6.5%-102.0K17.4M-108.6K0.548.03N/AN/A1,12661162,51943,160
2009-02-20$8.18$12.50114.1%32.7%165.4%68.4%111.1%8.8%-5.1%-54.1K16.4M-116.2K1.0117.50N/AN/A1,0431,05463,05942,983
2009-02-23$7.57$12.50117.2%33.6%165.3%71.1%110.1%8.2%-7.7%-51.9K12.5M-102.3K0.657.70N/AN/A99965451,24235,823
2009-02-24$8.40$12.50113.9%32.7%172.2%68.2%107.3%11.8%-5.8%-53.2K10.9M-119.7K0.1516.11N/AN/A1,51022351,77935,811
2009-02-25$8.44$12.50110.3%31.6%172.0%65.1%105.7%11.5%-1.7%-53.0K10.9M-121.0K2.508.23N/AN/A3,2648,17652,35035,739
2009-02-26$7.89$12.50108.6%31.1%170.8%63.6%104.6%5.8%-1.5%-36.5K10.9M-108.6K0.427.44N/AN/A1,52764053,59534,023
2009-02-27$8.92$12.50100.9%28.9%172.3%57.0%105.8%15.0%4.2%-17.7K7.9M-131.3K0.1816.12N/AN/A6,9551,24354,49034,031