TEX Options History — August 2009

In August 2009, TEX traded between $14.53 and $17.07. ATM implied volatility averaged 57.7%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 1.1% (HV 20d: 58.9%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2009-08-11: Highest Volume — 15,463 contracts
  • 2009-08-24: Largest IV spike — 9.9% change
  • 2009-08-05: Highest IV Rank — 18.9%
  • 2009-08-10: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.00$14.53$17.07$15.89$16.48
Max Pain$14.67$13.00$16.00$13.00$16.00
ATM IV57.7%52.4%61.2%58.5%56.9%
Expected Move16.6%15.0%17.7%16.8%16.3%
HV 20d58.9%50.6%64.5%52.6%58.4%
HV 60d63.1%57.1%76.0%76.0%57.1%
IV Rank15.7%10.9%18.9%16.4%14.6%
IV Percentile8.8%1.6%13.9%12.3%4.4%
Term Structure3.0%0.6%5.7%2.0%5.6%
VWIV57.9%53.2%61.8%58.6%56.4%
Skew 25d6.9%3.5%8.6%3.5%6.1%
Skew 10d15.0%7.2%26.6%7.2%22.7%
Call IV 25d55.1%50.0%58.6%57.1%54.3%
Put IV 25d62.0%55.7%66.8%60.7%60.4%
Bid-Ask Spread %16.6112.1120.8918.9213.50
Gamma HHI0.230.200.280.280.23
Net GEX801.5K637.3K965.2K938.3K652.1K
Net DEX-40.2M-61.3M-21.1M-51.2M-33.9M
Net VEX-332.0K-386.7K-286.6K-379.5K-316.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.122.710.282.71
Total Volume5,955.811,40015,46315,0292,274
Total OI127,490.476114,052135,012132,349119,891

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$15.89$13.0058.5%16.8%52.6%16.4%58.6%3.5%2.0%938.3K-51.2M-379.5K0.2818.92N/AN/A11,7683,26195,54736,802
2009-08-04$15.94$13.0058.3%16.7%50.6%16.2%60.1%5.3%2.8%961.1K-49.5M-386.7K0.4013.92N/AN/A9,8653,97896,12138,002
2009-08-05$15.50$13.0061.2%17.5%51.6%18.9%59.8%5.7%2.0%828.6K-40.1M-351.3K0.5114.33N/AN/A1,56279491,41938,486
2009-08-06$15.81$13.0058.9%16.9%51.1%16.8%61.8%7.4%2.4%861.9K-44.6M-365.0K0.2812.56N/AN/A2,71675391,55938,856
2009-08-07$16.93$15.0057.3%17.1%53.3%15.3%58.5%7.1%0.6%965.2K-61.3M-383.0K0.3312.11N/AN/A6,0231,99092,69138,821
2009-08-10$16.03$15.0059.3%17.7%59.4%17.2%59.8%7.6%1.9%930.2K-47.9M-363.5K0.1216.88N/AN/A5,20762393,14839,287
2009-08-11$15.47$15.0060.5%17.5%62.5%18.2%60.7%7.1%1.4%868.4K-37.3M-337.3K0.1918.19N/AN/A12,9672,49691,40239,434
2009-08-12$16.10$15.0058.8%17.0%59.0%16.7%58.4%8.0%2.2%890.2K-44.4M-344.9K0.9313.87N/AN/A6,7366,27288,84340,619
2009-08-13$15.95$15.0057.9%16.6%58.1%15.9%56.4%5.9%2.6%799.5K-43.8M-346.2K0.7920.89N/AN/A78461691,29943,077
2009-08-14$15.19$15.0058.7%16.8%61.8%16.6%57.7%6.7%3.3%729.8K-32.4M-321.7K0.4118.89N/AN/A1,39256991,54943,094
2009-08-17$14.53$15.0060.5%17.3%61.4%18.2%61.6%8.2%2.5%637.3K-21.1M-296.8K0.1315.23N/AN/A3,17939991,81243,200
2009-08-18$15.02$15.0060.0%17.2%62.1%17.8%59.7%8.6%1.5%735.0K-27.3M-300.3K0.2519.69N/AN/A4,3181,10090,53143,092
2009-08-19$14.91$15.0059.6%17.1%62.2%17.4%60.7%8.5%3.3%712.3K-24.1M-286.6K0.5717.38N/AN/A1,43281787,37543,259
2009-08-20$15.58$15.0055.9%16.0%60.8%14.1%56.8%5.3%4.1%775.9K-35.7M-296.6K0.1316.29N/AN/A3,73150087,30243,045
2009-08-21$16.70$15.0053.7%15.4%64.5%12.0%54.6%6.0%5.7%794.4K-53.1M-311.4K0.7914.11N/AN/A3,2462,56288,40743,182
2009-08-24$16.48$15.0059.0%16.9%63.9%16.9%55.9%8.4%3.3%687.9K-35.8M-314.9K1.6718.27N/AN/A2,1023,51177,37536,677
2009-08-25$16.63$15.0054.9%15.7%63.6%13.2%53.2%7.7%4.7%748.1K-37.5M-311.8K0.2620.11N/AN/A2,21258378,24736,407
2009-08-26$16.80$15.0054.8%15.7%61.5%13.0%56.3%8.2%2.4%772.3K-39.3M-317.5K0.5918.49N/AN/A1,8891,12478,56536,577
2009-08-27$16.91$15.0055.1%15.8%58.9%13.4%55.5%7.8%2.2%760.0K-40.2M-319.5K0.4716.07N/AN/A1,85887578,15537,479
2009-08-28$17.07$15.0052.4%15.0%58.7%10.9%54.3%5.7%5.6%782.9K-43.2M-320.9K1.8019.08N/AN/A2,5004,48878,81637,850
2009-08-31$16.48$16.0056.9%16.3%58.4%14.6%56.4%6.1%5.6%652.1K-33.9M-316.0K2.7113.50N/AN/A6131,66179,53040,361