TEX Options History — March 2009 In March 2009, TEX traded between $7.63 and $10.95. ATM implied volatility averaged 104.9%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 29.9%. IV traded below realized volatility by 43.7% (HV 20d: 148.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.74.
Notable Days 2009-03-18 : Highest Volume — 7,631 contracts2009-03-10 : Largest IV drop — 12.7% change2009-03-02 : Highest IV Rank — 77.2%2009-03-02 : Largest Expected Move — 35.6%Monthly Statistics Metric Avg Min Max Open Close Price $9.35 $7.63 $10.95 $7.73 $9.25 Max Pain $11.48 $10.00 $12.50 $12.50 $10.00 ATM IV 104.9% 92.8% 124.2% 124.2% 96.4% Expected Move 29.9% 26.6% 35.6% 35.6% 27.6% HV 20d 148.6% 115.6% 191.2% 177.5% 117.2% HV 60d 131.5% 127.4% 135.6% 131.8% 134.4% IV Rank 60.4% 49.9% 77.2% 77.2% 53.0% IV Percentile 72.7% 56.3% 93.3% 93.3% 61.1% Term Structure -2.9% -11.8% 6.5% -11.8% 2.6% VWIV 104.2% 86.4% 122.3% 122.3% 97.7% Skew 25d 17.5% 12.5% 28.4% 17.7% 16.7% Skew 10d 34.7% 9.3% 70.9% 15.5% 9.3% Call IV 25d 97.7% 84.9% 116.3% 116.3% 95.0% Put IV 25d 115.3% 99.5% 140.6% 134.0% 111.7% Bid-Ask Spread % 8.33 4.70 17.26 17.26 5.34 Gamma HHI 0.19 0.16 0.21 0.19 0.18 Net GEX 47.5K -8.6K 113.1K -6.5K 10.2K Net DEX 3.9M -4.6M 10.1M 9.8M 4.6M Net VEX -143.5K -177.6K -110.5K -111.9K -138.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.07 2.25 1.61 0.07 Total Volume 3,186.409 1,430 7,631 2,375 2,841 Total OI 96,689.727 88,945 102,240 92,992 96,977
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 2009-03-02 $7.73 $12.50 124.2% 35.6% 177.5% 77.2% 122.3% 17.7% -11.8% -6.5K 9.8M -111.9K 1.61 17.26 N/A N/A 910 1,465 58,601 34,391 2009-03-03 $7.78 $12.50 120.9% 34.7% 177.6% 74.3% 120.5% 28.4% -6.4% -8.6K 10.0M -110.5K 1.64 9.27 N/A N/A 1,169 1,921 58,691 34,384 2009-03-04 $8.62 $12.50 120.7% 34.6% 182.5% 74.1% 113.7% 15.4% -7.4% 21 8.0M -130.1K 0.47 6.66 N/A N/A 3,711 1,738 58,871 35,133 2009-03-05 $7.77 $10.00 118.5% 34.0% 183.4% 72.2% 115.9% 24.3% -4.7% -568 9.7M -111.3K 1.95 8.22 N/A N/A 565 1,099 61,747 35,364 2009-03-06 $7.63 $12.50 116.3% 32.7% 180.2% 70.3% 109.0% 21.1% -8.5% -3.5K 10.1M -111.1K 2.25 7.41 N/A N/A 1,220 2,744 61,965 35,572 2009-03-09 $7.90 $12.50 122.5% 33.7% 178.8% 75.7% 109.7% 20.3% -10.0% 7.1K 9.2M -115.6K 0.32 7.70 N/A N/A 1,193 386 62,280 34,889 2009-03-10 $9.28 $12.50 106.9% 29.9% 190.5% 62.1% 108.4% 17.9% -5.7% 46.4K 4.4M -142.0K 0.36 10.53 N/A N/A 2,712 977 62,975 34,831 2009-03-11 $9.32 $12.50 105.9% 30.1% 189.6% 61.3% 106.1% 16.5% -7.1% 54.6K 3.7M -145.3K 0.42 9.78 N/A N/A 2,895 1,217 63,345 34,973 2009-03-12 $9.85 $12.50 101.4% 29.1% 191.2% 57.3% 100.4% 16.2% -3.3% 74.5K 1.9M -157.1K 0.38 9.00 N/A N/A 1,326 509 64,096 35,335 2009-03-13 $9.60 $12.50 101.3% 29.0% 140.1% 57.3% 108.5% 16.0% -4.8% 69.7K 3.0M -154.5K 1.10 12.57 N/A N/A 1,555 1,706 64,569 35,493 2009-03-16 $9.59 $12.50 100.4% 28.8% 139.8% 56.5% 99.8% 14.9% -4.7% 69.0K 3.2M -153.8K 0.45 9.07 N/A N/A 2,585 1,153 65,073 36,529 2009-03-17 $9.81 $12.50 99.4% 28.5% 122.1% 55.6% 96.2% 17.7% -3.5% 84.9K 2.8M -154.6K 0.26 5.57 N/A N/A 1,728 449 65,299 36,788 2009-03-18 $10.07 $12.50 97.7% 28.0% 122.2% 54.2% 97.7% 16.8% -0.9% 106.4K 1.6M -156.0K 0.11 10.26 N/A N/A 6,852 779 64,484 36,793 2009-03-19 $9.89 $12.50 99.1% 28.4% 121.2% 55.3% 99.6% 12.5% -3.2% 111.8K 2.9M -156.2K 0.67 4.70 N/A N/A 1,242 830 64,865 37,103 2009-03-20 $9.12 $10.00 96.9% 27.8% 124.6% 53.5% 99.6% 16.5% -1.5% 8.2K 7.2M -137.2K 0.45 10.50 N/A N/A 986 444 65,127 37,113 2009-03-23 $10.40 $10.00 95.8% 27.5% 128.1% 52.5% 96.7% 16.9% 3.0% 53.5K -479.1K -157.8K 0.43 5.98 N/A N/A 2,159 931 57,784 31,161 2009-03-24 $10.46 $10.00 97.0% 27.8% 123.8% 53.6% 95.8% 14.6% 2.7% 64.4K -1.5M -161.1K 0.37 5.09 N/A N/A 1,260 470 58,488 31,194 2009-03-25 $10.26 $10.00 97.4% 27.9% 124.3% 53.9% 104.2% 16.2% -0.4% 57.2K 51.0K -154.6K 0.67 4.72 N/A N/A 3,560 2,375 58,755 31,440 2009-03-26 $10.94 $10.00 95.3% 27.3% 122.2% 52.0% 86.4% 17.4% 4.5% 105.5K -4.0M -176.6K 0.37 7.38 N/A N/A 1,987 745 61,525 32,108 2009-03-27 $10.95 $10.00 92.8% 26.6% 115.6% 49.9% 100.3% 13.9% 6.5% 113.1K -4.6M -177.6K 1.32 6.01 N/A N/A 1,031 1,362 62,464 32,611 2009-03-30 $9.43 $10.00 101.3% 29.0% 116.7% 57.2% 102.8% 17.8% 1.8% 27.1K 3.7M -143.3K 0.55 10.19 N/A N/A 2,132 1,182 62,669 33,319 2009-03-31 $9.25 $10.00 96.4% 27.6% 117.2% 53.0% 97.7% 16.7% 2.6% 10.2K 4.6M -138.1K 0.07 5.34 N/A N/A 2,659 182 63,124 33,853
« Feb 2009 | All History | Apr 2009 » Home TEX History March 2009