TEX Options History — June 2009 In June 2009, TEX traded between $11.60 and $15.15. ATM implied volatility averaged 70.3%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 8.4% (HV 20d: 78.7%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.92.
Notable Days 2009-06-05 : Highest Volume — 11,886 contracts2009-06-22 : Largest IV spike — 11.0% change2009-06-01 : Highest IV Rank — 34.1%2009-06-22 : Largest Expected Move — 21.9%Monthly Statistics Metric Avg Min Max Open Close Price $13.40 $11.60 $15.15 $14.37 $12.07 Max Pain $14.05 $14.00 $15.00 $15.00 $14.00 ATM IV 70.3% 59.6% 76.3% 74.6% 59.6% Expected Move 20.2% 17.1% 21.9% 21.4% 17.1% HV 20d 78.7% 55.4% 107.8% 107.8% 55.5% HV 60d 96.5% 88.3% 103.1% 103.0% 88.3% IV Rank 27.9% 17.5% 34.1% 34.1% 17.5% IV Percentile 27.5% 14.3% 35.7% 32.9% 14.3% Term Structure 4.9% 0.7% 10.2% 2.7% 9.8% VWIV 69.9% 60.0% 75.9% 74.9% 60.0% Skew 25d 8.9% 5.9% 12.0% 8.3% 9.3% Skew 10d 15.6% -2.6% 25.6% 13.0% 20.9% Call IV 25d 66.7% 56.3% 71.7% 69.4% 56.3% Put IV 25d 75.5% 65.6% 80.1% 77.7% 65.6% Bid-Ask Spread % 13.47 9.51 20.36 20.36 9.51 Gamma HHI 0.16 0.12 0.30 0.13 0.16 Net GEX 152.6K -217.2K 532.1K 437.4K 95.1K Net DEX -7.5M -32.8M 9.2M -21.7M 4.2M Net VEX -243.9K -284.1K -196.7K -254.5K -212.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.05 3.95 1.06 0.42 Total Volume 3,909.545 501 11,886 8,295 1,848 Total OI 130,742.409 112,585 144,961 122,473 120,662
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 2009-06-01 $14.37 $15.00 74.6% 21.4% 107.8% 34.1% 74.9% 8.3% 2.7% 437.4K -21.7M -254.5K 1.06 20.36 N/A N/A 4,032 4,263 84,064 38,409 2009-06-02 $14.17 $14.00 74.0% 21.2% 106.7% 33.5% 74.5% 7.0% 2.4% 326.2K -19.1M -251.2K 0.32 16.07 N/A N/A 1,901 606 85,047 40,801 2009-06-03 $13.76 $14.00 72.8% 20.9% 106.1% 32.5% 73.4% 7.4% 5.2% 274.9K -15.1M -242.7K 0.54 16.73 N/A N/A 1,867 1,014 85,506 40,436 2009-06-04 $14.59 $14.00 70.6% 20.2% 107.7% 30.6% 70.6% 6.6% 3.8% 409.9K -24.9M -261.2K 0.33 13.26 N/A N/A 2,611 857 86,537 41,062 2009-06-05 $15.15 $14.00 71.6% 20.7% 105.8% 31.4% 72.7% 7.8% 4.2% 532.1K -32.8M -269.2K 1.71 14.51 N/A N/A 4,390 7,496 86,964 41,180 2009-06-08 $14.62 $14.00 73.2% 21.0% 90.2% 29.8% 74.3% 8.0% 1.7% 349.7K -22.3M -276.7K 3.95 16.49 N/A N/A 1,536 6,073 87,642 47,013 2009-06-09 $14.58 $14.00 71.3% 20.7% 82.0% 28.1% 68.9% 12.0% 3.3% 284.1K -18.9M -284.1K 1.04 14.55 N/A N/A 1,188 1,240 88,305 51,559 2009-06-10 $14.42 $14.00 69.5% 20.6% 80.6% 26.5% 71.0% 10.6% 2.9% 232.0K -16.1M -275.7K 1.01 14.18 N/A N/A 1,041 1,051 88,366 52,239 2009-06-11 $14.41 $14.00 70.1% 20.1% 73.2% 27.0% 70.1% 9.3% 4.9% 215.6K -16.0M -275.9K 0.35 13.63 N/A N/A 372 129 88,683 52,932 2009-06-12 $14.47 $14.00 70.8% 20.3% 72.1% 27.6% 65.6% 11.6% 4.5% 221.3K -16.1M -273.4K 0.17 11.42 N/A N/A 1,841 321 88,821 52,991 2009-06-15 $13.69 $14.00 72.0% 20.7% 74.8% 28.7% 75.9% 11.0% 4.2% 34.6K -5.2M -254.9K 1.00 14.73 N/A N/A 1,546 1,541 89,068 53,120 2009-06-16 $13.09 $14.00 76.2% 21.8% 71.3% 32.5% 73.4% 11.1% 0.7% -92.1K 2.9M -231.8K 0.81 12.64 N/A N/A 1,589 1,294 89,487 52,735 2009-06-17 $12.89 $14.00 75.5% 21.6% 69.4% 31.9% 74.3% 7.4% 2.7% -115.0K 5.4M -225.2K 0.52 11.52 N/A N/A 1,519 787 90,086 53,128 2009-06-18 $12.58 $14.00 73.2% 21.0% 69.4% 29.8% 74.2% 10.3% 3.5% -119.3K 9.2M -214.0K 1.48 12.39 N/A N/A 2,564 3,795 90,377 52,895 2009-06-19 $12.67 $14.00 68.8% 19.7% 65.8% 25.8% 68.4% 8.8% 6.1% -217.2K 6.1M -223.8K 3.61 14.89 N/A N/A 759 2,738 92,003 52,958 2009-06-22 $11.60 $14.00 76.3% 21.9% 71.4% 32.6% 74.0% 8.1% 4.3% 13.5K 8.5M -196.7K 1.09 12.13 N/A N/A 2,305 2,515 70,094 42,491 2009-06-23 $11.96 $14.00 68.6% 19.7% 71.6% 25.6% 69.6% 8.6% 6.4% 32.7K 6.3M -210.5K 0.05 12.31 N/A N/A 6,499 338 71,879 42,746 2009-06-24 $12.25 $14.00 68.7% 19.7% 72.7% 25.7% 68.4% 8.4% 7.1% 79.3K 1.6M -232.0K 0.11 10.61 N/A N/A 3,320 373 76,921 42,757 2009-06-25 $12.68 $14.00 65.3% 18.7% 61.4% 22.6% 60.9% 8.8% 7.0% 131.5K -2.2M -238.8K 0.06 11.91 N/A N/A 4,229 259 78,735 42,611 2009-06-26 $12.40 $14.00 62.5% 17.9% 61.6% 20.0% 62.0% 5.9% 9.3% 137.9K -553.4K -234.3K 0.40 10.70 N/A N/A 917 365 80,213 42,500 2009-06-29 $12.30 $14.00 61.6% 17.7% 55.4% 19.3% 60.5% 8.8% 10.2% 93.3K 1.2M -226.8K 0.20 11.72 N/A N/A 904 177 77,831 42,479 2009-06-30 $12.07 $14.00 59.6% 17.1% 55.5% 17.5% 60.0% 9.3% 9.8% 95.1K 4.2M -212.1K 0.42 9.51 N/A N/A 1,303 545 78,165 42,497
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