TEX Options History — April 2009 In April 2009, TEX traded between $9.74 and $13.80. ATM implied volatility averaged 90.0%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded below realized volatility by 14.8% (HV 20d: 104.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.54.
Notable Days 2009-04-24 : Highest Volume — 16,801 contracts2009-04-23 : Largest IV drop — 8.8% change2009-04-06 : Highest IV Rank — 56.7%2009-04-07 : Largest Expected Move — 28.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.88 $9.74 $13.80 $9.74 $13.80 Max Pain $10.43 $10.00 $12.50 $10.00 $12.50 ATM IV 90.0% 78.3% 100.6% 93.2% 78.3% Expected Move 26.0% 22.4% 28.7% 26.7% 22.4% HV 20d 104.8% 93.2% 113.1% 113.1% 95.4% HV 60d 135.5% 133.7% 138.1% 134.8% 135.2% IV Rank 47.5% 37.3% 56.7% 50.2% 37.3% IV Percentile 52.4% 42.1% 68.3% 56.3% 42.1% Term Structure -2.8% -8.5% 4.5% 4.5% 2.2% VWIV 90.0% 78.7% 97.4% 97.2% 78.7% Skew 25d 13.4% -5.8% 25.0% 13.9% 6.5% Skew 10d 33.5% -11.7% 67.7% 22.7% 18.0% Call IV 25d 82.1% 64.8% 92.8% 90.9% 76.8% Put IV 25d 95.5% 83.3% 104.8% 104.8% 83.3% Bid-Ask Spread % 15.34 6.41 22.37 10.43 12.95 Gamma HHI 0.24 0.17 0.47 0.17 0.19 Net GEX 256.5K 44.9K 503.6K 44.9K 450.2K Net DEX -12.8M -29.2M 1.7M 1.7M -29.2M Net VEX -184.9K -229.0K -149.5K -149.5K -229.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.11 1.19 0.32 0.26 Total Volume 4,897.429 1,216 16,801 1,216 3,896 Total OI 95,019.048 71,735 101,596 98,749 97,393
Daily Data (21 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 2009-04-01 $9.74 $10.00 93.2% 26.7% 113.1% 50.2% 97.2% 13.9% 4.5% 44.9K 1.7M -149.5K 0.32 10.43 N/A N/A 923 293 64,953 33,796 2009-04-02 $10.54 $10.00 96.3% 27.6% 108.0% 52.9% 94.1% 13.6% 3.2% 94.5K -3.0M -167.9K 0.40 6.41 N/A N/A 1,738 695 65,371 33,923 2009-04-03 $11.22 $10.00 97.2% 28.2% 108.5% 53.7% 93.7% 18.9% -5.4% 143.0K -7.3M -180.7K 0.47 11.64 N/A N/A 1,480 692 65,709 34,406 2009-04-06 $11.09 $10.00 100.6% 28.6% 108.9% 56.7% 97.4% 14.6% -5.0% 142.7K -6.9M -175.7K 0.27 8.70 N/A N/A 1,043 279 65,885 34,481 2009-04-07 $10.43 $10.00 93.5% 28.7% 97.9% 50.5% 94.3% -5.8% -5.2% 82.7K -2.6M -162.3K 1.07 11.57 N/A N/A 907 971 66,456 34,536 2009-04-08 $10.55 $10.00 91.0% 27.9% 98.0% 48.3% 89.6% 10.8% -3.7% 77.2K -3.1M -162.1K 1.19 13.25 N/A N/A 1,250 1,486 66,878 34,547 2009-04-09 $12.01 $10.00 88.4% 25.3% 106.1% 46.0% 92.0% 25.0% -3.7% 294.0K -14.3M -187.1K 0.33 17.02 N/A N/A 2,523 845 67,772 33,687 2009-04-13 $12.37 $10.00 92.3% 26.5% 105.5% 49.5% 92.7% 15.9% -6.4% 351.8K -17.5M -188.0K 0.49 22.10 N/A N/A 4,261 2,108 67,615 33,981 2009-04-14 $11.94 $10.00 91.8% 26.3% 106.8% 49.0% 94.2% 18.1% -5.2% 271.9K -13.8M -181.0K 0.46 17.34 N/A N/A 3,186 1,454 66,754 34,124 2009-04-15 $12.38 $10.00 90.0% 25.8% 107.1% 47.5% 92.0% 15.8% -4.3% 308.2K -15.9M -183.2K 0.57 14.19 N/A N/A 2,155 1,232 65,823 34,728 2009-04-16 $12.56 $10.00 92.7% 26.6% 106.9% 49.8% 92.5% 16.4% -8.5% 390.9K -16.6M -176.6K 0.59 22.37 N/A N/A 3,194 1,883 62,998 33,693 2009-04-17 $12.70 $10.00 90.1% 25.8% 106.4% 47.5% 89.4% 17.3% -7.8% 503.6K -19.9M -180.8K 0.28 21.58 N/A N/A 3,794 1,071 63,870 33,817 2009-04-20 $11.30 $10.00 89.6% 25.7% 111.2% 47.1% 91.1% 16.8% -5.5% 151.3K -6.7M -156.5K 0.96 14.99 N/A N/A 2,384 2,299 50,061 21,674 2009-04-21 $12.10 $10.00 95.7% 27.4% 104.2% 52.4% 95.3% 11.9% -6.9% 181.3K -10.5M -176.8K 0.17 16.45 N/A N/A 10,460 1,728 51,780 22,689 2009-04-22 $11.67 $10.00 92.0% 26.4% 105.3% 49.2% 88.7% 13.9% -2.8% 245.9K -10.9M -181.4K 0.53 12.42 N/A N/A 7,109 3,799 59,687 23,466 2009-04-23 $11.77 $11.00 84.0% 24.1% 104.9% 42.2% 85.5% 12.1% 2.8% 255.0K -12.6M -195.1K 0.65 11.52 N/A N/A 3,580 2,333 63,773 26,115 2009-04-24 $12.98 $11.00 85.1% 24.4% 108.0% 43.2% 79.5% 13.6% -1.2% 312.9K -20.2M -215.3K 0.11 18.26 N/A N/A 15,112 1,689 64,198 27,283 2009-04-27 $12.41 $11.00 86.0% 24.6% 109.6% 44.0% 88.7% 11.5% 0.0% 335.4K -17.2M -206.0K 0.92 21.17 N/A N/A 1,469 1,355 67,068 27,660 2009-04-28 $12.34 $11.00 83.9% 24.1% 93.2% 42.2% 84.8% 10.0% -0.4% 326.1K -16.2M -201.4K 0.80 19.58 N/A N/A 1,140 915 67,362 28,466 2009-04-29 $13.50 $12.50 79.0% 22.6% 96.1% 37.9% 78.9% 10.6% 1.2% 423.1K -26.0M -225.6K 0.55 18.28 N/A N/A 2,652 1,463 67,929 28,993 2009-04-30 $13.80 $12.50 78.3% 22.4% 95.4% 37.3% 78.7% 6.5% 2.2% 450.2K -29.2M -229.0K 0.26 12.95 N/A N/A 3,101 795 68,249 29,144
« Mar 2009 | All History | May 2009 » Home TEX History April 2009