TEX Options History — July 2009 In July 2009, TEX traded between $10.60 and $15.18. ATM implied volatility averaged 63.8%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 9.0% (HV 20d: 54.8%). Max pain ranged from $11.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.48.
Notable Days 2009-07-21 : Highest Volume — 19,366 contracts2009-07-02 : Largest IV spike — 13.9% change2009-07-08 : Highest IV Rank — 30.2%2009-07-06 : Largest Expected Move — 21.1%Monthly Statistics Metric Avg Min Max Open Close Price $12.75 $10.60 $15.18 $12.15 $15.18 Max Pain $11.95 $11.00 $14.00 $14.00 $13.00 ATM IV 63.8% 56.6% 73.7% 57.4% 57.3% Expected Move 18.6% 16.2% 21.1% 16.4% 16.4% HV 20d 54.8% 48.7% 63.8% 55.1% 55.4% HV 60d 81.7% 76.5% 88.4% 88.3% 76.8% IV Rank 21.2% 14.7% 30.2% 15.4% 15.3% IV Percentile 17.8% 10.3% 31.0% 12.3% 10.7% Term Structure 0.4% -5.1% 12.0% 12.0% 3.3% VWIV 64.7% 56.7% 76.6% 57.4% 58.1% Skew 25d 8.3% 4.0% 11.3% 4.0% 8.2% Skew 10d 16.8% 12.4% 22.9% 20.0% 18.2% Call IV 25d 61.1% 53.3% 70.0% 56.7% 53.5% Put IV 25d 69.4% 60.7% 80.0% 60.7% 61.6% Bid-Ask Spread % 15.25 7.79 20.37 10.38 19.06 Gamma HHI 0.24 0.17 0.36 0.17 0.27 Net GEX 360.8K 53.0K 859.1K 90.2K 859.1K Net DEX -8.8M -40.6M 12.2M 3.2M -40.6M Net VEX -252.8K -362.5K -175.4K -215.6K -362.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.11 1.69 0.18 0.53 Total Volume 5,071 1,148 19,366 5,902 4,864 Total OI 125,087.182 100,051 134,841 121,228 130,396
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 2009-07-01 $12.15 $14.00 57.4% 16.4% 55.1% 15.4% 57.4% 4.0% 12.0% 90.2K 3.2M -215.6K 0.18 10.38 N/A N/A 4,998 904 78,415 42,813 2009-07-02 $11.51 $14.00 65.3% 18.7% 52.0% 22.6% 61.1% 10.4% 5.0% 100.4K 6.2M -207.2K 0.20 7.79 N/A N/A 1,132 231 82,201 43,080 2009-07-06 $11.06 $12.00 70.4% 21.1% 49.4% 27.2% 76.6% 11.3% -3.8% 85.0K 10.0M -187.9K 0.54 16.03 N/A N/A 2,050 1,110 82,854 42,864 2009-07-07 $10.80 $11.00 70.5% 21.1% 48.9% 27.3% 74.1% 8.3% -2.1% 80.7K 10.7M -184.9K 0.35 12.83 N/A N/A 1,293 455 84,368 43,312 2009-07-08 $10.60 $11.00 73.7% 20.9% 48.7% 30.2% 75.1% 10.2% -1.2% 73.9K 11.6M -176.3K 0.27 16.38 N/A N/A 3,111 834 85,276 43,372 2009-07-09 $10.60 $11.00 70.1% 20.9% 49.0% 26.9% 73.0% 9.5% -2.5% 75.5K 11.2M -175.4K 1.69 20.37 N/A N/A 985 1,663 85,863 43,445 2009-07-10 $10.60 $11.00 64.1% 20.7% 49.1% 21.5% 73.5% 10.9% -3.1% 53.0K 12.2M -176.1K 0.93 16.32 N/A N/A 1,313 1,218 86,681 44,501 2009-07-13 $11.07 $11.00 70.0% 20.7% 52.9% 26.9% 69.3% 10.2% -3.8% 78.3K 9.8M -190.1K 0.26 17.29 N/A N/A 1,830 477 87,241 44,385 2009-07-14 $11.26 $11.00 66.3% 20.2% 51.5% 23.5% 68.9% 7.8% -1.1% 106.6K 8.4M -193.7K 0.53 16.75 N/A N/A 748 400 88,638 44,512 2009-07-15 $12.16 $11.00 69.4% 19.6% 58.2% 26.3% 65.8% 11.2% -2.8% 225.0K 929.5K -225.9K 0.27 15.42 N/A N/A 2,894 768 89,018 44,804 2009-07-16 $12.75 $11.00 65.6% 18.8% 60.8% 22.8% 66.5% 6.7% -0.0% 310.1K -4.7M -237.8K 0.47 19.63 N/A N/A 2,306 1,077 89,914 44,927 2009-07-17 $12.99 $11.00 62.3% 17.9% 60.5% 19.8% 59.9% 9.7% 2.5% 291.7K -7.4M -244.1K 0.14 15.06 N/A N/A 4,085 561 89,379 44,799 2009-07-20 $13.78 $11.00 59.1% 16.9% 63.8% 17.0% 57.9% 8.3% -0.1% 332.6K -15.2M -261.4K 0.22 16.77 N/A N/A 7,089 1,542 70,382 29,669 2009-07-21 $13.66 $12.00 65.4% 18.7% 54.0% 22.7% 64.5% 6.8% -2.7% 398.4K -16.1M -277.6K 0.61 16.99 N/A N/A 12,065 7,301 75,724 30,461 2009-07-22 $13.58 $12.00 67.9% 19.5% 53.6% 25.0% 69.0% 6.2% -5.1% 535.0K -19.2M -282.6K 0.65 16.28 N/A N/A 3,976 2,593 83,755 29,470 2009-07-23 $14.38 $12.00 59.4% 17.0% 56.2% 17.2% 60.0% 7.6% 1.6% 663.7K -26.8M -304.8K 0.69 16.35 N/A N/A 6,910 4,736 85,632 31,056 2009-07-24 $14.15 $12.00 57.4% 16.5% 56.0% 15.4% 56.7% 8.5% 3.0% 674.4K -25.6M -315.5K 0.55 14.27 N/A N/A 6,197 3,396 88,225 33,542 2009-07-27 $14.72 $13.00 57.1% 16.4% 56.2% 15.2% 60.3% 9.1% 2.7% 705.6K -31.0M -332.5K 0.86 11.25 N/A N/A 1,799 1,550 88,448 35,178 2009-07-28 $14.57 $13.00 58.1% 16.7% 56.3% 16.1% 59.0% 5.4% 2.2% 703.6K -30.3M -332.6K 0.11 9.98 N/A N/A 5,448 607 89,154 35,373 2009-07-29 $14.05 $13.00 60.1% 17.2% 57.7% 17.9% 60.1% 7.2% 2.3% 679.4K -25.4M -327.0K 0.15 18.11 N/A N/A 2,428 374 93,128 35,612 2009-07-30 $14.87 $13.00 56.6% 16.2% 60.3% 14.7% 57.1% 6.0% 3.9% 815.1K -35.6M -349.5K 0.39 12.14 N/A N/A 1,614 630 94,249 35,802 2009-07-31 $15.18 $13.00 57.3% 16.4% 55.4% 15.3% 58.1% 8.2% 3.3% 859.1K -40.6M -362.5K 0.53 19.06 N/A N/A 3,176 1,688 94,346 36,050
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