TEX Options History — May 2009

In May 2009, TEX traded between $13.42 and $17.90. ATM implied volatility averaged 82.3%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded below realized volatility by 22.0% (HV 20d: 104.3%). Max pain ranged from $11.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2009-05-28: Highest Volume — 18,938 contracts
  • 2009-05-11: Largest IV spike — 12.9% change
  • 2009-05-13: Highest IV Rank — 50.7%
  • 2009-05-13: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.27$13.42$17.90$14.90$13.42
Max Pain$13.55$11.00$15.00$12.50$15.00
ATM IV82.3%72.5%93.7%84.7%72.5%
Expected Move23.1%20.8%26.0%24.3%20.8%
HV 20d104.3%88.9%115.5%95.2%108.5%
HV 60d118.3%103.0%138.2%135.8%104.8%
IV Rank40.8%32.2%50.7%42.9%32.2%
IV Percentile42.1%32.1%55.2%46.4%32.1%
Term Structure-0.0%-5.2%3.6%-3.1%3.6%
VWIV80.4%69.8%90.8%85.7%73.9%
Skew 25d10.4%5.6%15.6%11.1%6.7%
Skew 10d23.2%11.8%53.5%34.1%12.1%
Call IV 25d75.4%70.5%84.3%80.7%71.1%
Put IV 25d85.8%77.8%96.7%91.8%77.8%
Bid-Ask Spread %15.459.9419.539.9416.42
Gamma HHI0.160.110.230.190.13
Net GEX550.7K304.8K732.0K491.2K304.8K
Net DEX-37.4M-73.6M-9.4M-38.9M-9.4M
Net VEX-256.1K-283.6K-217.7K-247.3K-231.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.131.090.290.72
Total Volume6,479.452,09518,9389,1794,372
Total OI112,817.9597,509132,35397,509121,940

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$14.90$12.5084.7%24.3%95.2%42.9%85.7%11.1%-3.1%491.2K-38.9M-247.3K0.299.94N/AN/A7,1222,05768,05029,459
2009-05-04$15.50$11.0092.4%24.6%94.1%49.5%90.8%15.6%-5.2%587.7K-45.8M-253.5K0.1819.53N/AN/A6,0021,06271,32630,500
2009-05-05$16.03$12.5085.7%23.5%93.7%43.7%80.4%14.8%-2.4%692.8K-52.7M-258.8K0.2311.01N/AN/A2,95466573,61630,894
2009-05-06$16.58$12.5083.4%22.8%88.9%41.8%75.3%12.6%0.5%701.9K-58.8M-264.5K0.1715.42N/AN/A10,1081,69473,70831,196
2009-05-07$15.42$12.5086.0%24.1%95.1%44.0%82.8%12.2%-2.3%688.0K-46.6M-258.3K0.8112.32N/AN/A2,4541,99780,20532,251
2009-05-08$17.90$12.5079.9%22.8%98.3%38.7%84.0%12.9%-0.8%732.0K-73.6M-283.6K0.6714.07N/AN/A5,6363,79381,25533,193
2009-05-11$16.02$12.5090.1%24.2%108.6%47.6%85.3%11.2%-1.2%710.5K-52.9M-269.2K0.9417.47N/AN/A3,8733,65982,95235,382
2009-05-12$15.29$14.0091.2%24.3%109.4%48.5%81.7%9.5%-1.4%600.5K-41.1M-260.5K0.3314.46N/AN/A4,6381,51183,64737,987
2009-05-13$13.93$14.0093.7%26.0%115.1%50.7%90.5%12.4%-1.3%460.0K-25.3M-239.2K1.0912.11N/AN/A3,9434,31086,26838,347
2009-05-14$14.42$14.0089.2%25.6%115.5%46.8%87.5%11.1%-0.9%484.8K-29.7M-253.4K0.5716.30N/AN/A4,2072,37888,24340,981
2009-05-15$14.43$14.0086.8%24.9%115.5%44.7%84.0%11.7%0.2%437.5K-29.7M-256.0K0.7219.01N/AN/A3,5082,51090,31442,039
2009-05-18$15.45$14.0077.5%22.2%107.8%36.6%76.9%8.6%1.1%517.4K-32.7M-261.9K0.7315.82N/AN/A3,9332,88675,05830,487
2009-05-19$16.01$14.0075.5%21.7%106.3%34.9%76.5%6.6%1.1%583.9K-39.0M-270.8K0.6415.10N/AN/A1,27681975,70130,635
2009-05-20$16.00$14.0075.4%21.6%104.8%34.8%76.0%10.1%3.0%587.1K-38.5M-270.0K0.6913.46N/AN/A2,6731,84176,11030,814
2009-05-21$14.87$14.0078.3%22.5%109.4%37.3%76.5%8.9%2.4%479.3K-27.9M-255.8K0.2716.70N/AN/A2,50268377,42331,841
2009-05-22$14.94$14.0075.1%21.5%104.6%34.5%75.7%9.0%2.9%480.8K-27.8M-253.4K0.1316.72N/AN/A3,32542577,28932,095
2009-05-26$15.36$14.0078.4%22.5%103.0%37.4%77.4%8.4%-1.0%560.7K-32.7M-259.1K1.0314.20N/AN/A1,4571,49878,38832,112
2009-05-27$15.39$15.0074.9%21.5%102.9%34.3%69.8%8.7%2.2%561.2K-31.9M-257.3K0.6619.43N/AN/A1,7321,14878,51933,305
2009-05-28$13.62$15.0075.0%21.5%108.7%34.5%76.7%5.6%2.1%352.1K-12.7M-217.7K0.9419.48N/AN/A9,7479,19178,65134,178
2009-05-29$13.42$15.0072.5%20.8%108.5%32.2%73.9%6.7%3.6%304.8K-9.4M-231.2K0.7216.42N/AN/A2,5491,82382,98038,960