TEX Options History — September 2009

In September 2009, TEX traded between $15.60 and $20.87. ATM implied volatility averaged 56.5%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 8.4% (HV 20d: 48.1%). Max pain ranged from $15.00 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 0.73.

Notable Days

  • 2009-09-17: Highest Volume — 12,137 contracts
  • 2009-09-08: Largest IV spike — 8.8% change
  • 2009-09-01: Highest IV Rank — 12.6%
  • 2009-09-04: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.62$15.60$20.87$16.00$20.73
Max Pain$15.33$15.00$16.00$16.00$16.00
ATM IV56.5%52.3%58.8%56.5%56.8%
Expected Move16.4%15.6%17.4%16.2%16.3%
HV 20d48.1%39.5%59.8%59.5%42.6%
HV 60d55.1%52.1%58.1%57.0%52.1%
IV Rank4.9%0.0%12.6%12.6%4.6%
IV Percentile5.4%0.0%13.5%3.6%7.9%
Term Structure2.2%0.2%5.5%5.5%2.8%
VWIV58.7%54.3%63.8%57.8%59.9%
Skew 25d8.3%6.1%10.1%6.9%9.4%
Skew 10d19.3%13.7%29.9%29.9%18.5%
Call IV 25d54.0%51.1%55.9%54.5%53.4%
Put IV 25d62.3%59.8%65.7%61.4%62.8%
Bid-Ask Spread %13.438.3917.6011.568.39
Gamma HHI0.250.190.320.220.24
Net GEX1.1M487.7K1.6M569.6K1.6M
Net DEX-65.3M-99.7M-22.0M-27.3M-97.2M
Net VEX-366.3K-402.9K-310.7K-310.7K-397.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.111.921.920.89
Total Volume5,171.8571,48612,1375,8872,576
Total OI138,117.81121,120155,575121,120147,676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$16.00$16.0056.5%16.2%59.5%12.6%57.8%6.9%5.5%569.6K-27.3M-310.7K1.9211.56N/AN/A2,0133,87479,78441,336
2009-09-02$15.60$16.0057.6%16.5%59.3%9.5%57.8%6.7%5.0%487.7K-22.0M-312.5K1.5516.02N/AN/A58390380,65543,750
2009-09-03$16.06$16.0055.9%16.0%59.8%3.6%54.3%6.6%3.8%560.1K-26.7M-318.4K1.1814.86N/AN/A1,6371,92480,99044,110
2009-09-04$16.61$15.0052.3%17.4%55.7%0.0%63.3%8.8%0.2%641.1K-33.9M-326.1K0.7613.89N/AN/A1,7201,30881,39044,826
2009-09-08$17.13$15.0056.8%17.1%53.0%4.7%60.0%8.9%0.9%734.7K-41.9M-330.5K0.4512.33N/AN/A7,6833,46081,62645,027
2009-09-09$17.50$15.0056.4%17.2%51.3%4.3%62.9%9.8%0.5%908.6K-49.7M-355.3K1.0711.41N/AN/A3,1103,32986,77347,621
2009-09-10$17.86$15.0058.7%16.8%50.0%6.6%63.8%8.6%1.5%957.0K-54.6M-358.2K0.4612.01N/AN/A1,79983287,13549,058
2009-09-11$17.89$15.0058.2%16.7%49.7%6.1%61.1%9.6%1.7%972.9K-55.1M-358.5K0.7412.47N/AN/A3,3292,47586,90049,315
2009-09-14$18.72$15.0056.2%16.1%47.2%4.0%58.5%10.1%0.4%1.1M-67.8M-355.9K0.2311.59N/AN/A7,3431,72187,15950,581
2009-09-15$18.99$15.0055.8%16.0%42.5%3.6%57.4%9.0%1.8%1.1M-73.3M-367.5K0.6811.49N/AN/A2,4661,66989,65951,287
2009-09-16$19.69$15.0056.2%16.1%42.7%4.0%56.8%7.5%0.8%1.2M-85.4M-372.2K0.2017.38N/AN/A7,3721,45490,48251,836
2009-09-17$19.75$15.0056.5%16.2%42.2%4.3%59.2%8.1%0.8%1.2M-86.5M-384.2K0.2217.43N/AN/A9,9802,15793,18352,416
2009-09-18$19.55$15.0055.5%15.9%41.5%3.3%57.7%7.5%1.0%1.6M-94.1M-398.4K1.3113.32N/AN/A9921,303102,40953,166
2009-09-21$18.76$15.0055.8%16.0%39.5%3.6%57.4%8.1%3.6%1.1M-59.6M-373.2K1.1813.53N/AN/A1,1121,31188,24049,222
2009-09-22$20.05$15.0054.4%15.6%44.2%2.2%56.5%8.7%4.3%1.3M-78.6M-383.6K0.1116.65N/AN/A6,88676688,61250,310
2009-09-23$19.89$15.0056.3%16.1%44.7%4.1%57.3%8.2%3.0%1.3M-79.1M-397.5K0.3417.60N/AN/A3,4281,17891,42550,697
2009-09-24$19.36$15.0058.8%16.8%46.5%6.6%56.0%8.8%1.9%1.3M-71.6M-393.8K1.1512.79N/AN/A9031,04292,99650,709
2009-09-25$19.74$16.0056.9%16.3%46.7%4.7%56.1%6.1%3.1%1.3M-76.7M-396.4K0.1613.48N/AN/A3,95661692,44451,443
2009-09-28$20.37$16.0058.6%16.8%47.4%6.4%61.8%8.6%1.8%1.5M-90.0M-402.9K0.5210.32N/AN/A2,7901,45095,40851,477
2009-09-29$20.87$16.0056.5%16.2%44.7%4.3%57.2%8.1%3.0%1.6M-99.7M-398.3K0.1113.56N/AN/A3,73942096,03251,309
2009-09-30$20.73$16.0056.8%16.3%42.6%4.6%59.9%9.4%2.8%1.6M-97.2M-397.3K0.898.39N/AN/A1,3651,21196,19051,486