TEX Options History — October 2009 In October 2009, TEX traded between $18.11 and $24.11. ATM implied volatility averaged 61.0%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 0.5% (HV 20d: 60.5%). Max pain ranged from $16.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.01.
Notable Days 2009-10-14 : Highest Volume — 18,198 contracts2009-10-12 : Largest IV spike — 23.0% change2009-10-30 : Highest IV Rank — 17.2%2009-10-01 : Largest Expected Move — 19.4%Monthly Statistics Metric Avg Min Max Open Close Price $21.76 $18.11 $24.11 $19.45 $20.22 Max Pain $20.52 $16.00 $22.00 $16.00 $22.00 ATM IV 61.0% 52.6% 67.7% 67.7% 67.1% Expected Move 17.7% 15.2% 19.4% 19.4% 19.2% HV 20d 60.5% 48.9% 66.5% 48.9% 63.0% HV 60d 56.0% 54.0% 58.9% 54.0% 58.9% IV Rank 9.7% 0.3% 17.2% 15.7% 17.2% IV Percentile 19.4% 0.8% 32.1% 24.2% 32.1% Term Structure -3.1% -5.0% 0.7% -1.8% -3.0% VWIV 61.4% 52.7% 67.1% 66.9% 67.1% Skew 25d 6.7% 3.6% 8.4% 8.4% 6.5% Skew 10d 16.2% 8.3% 26.0% 24.1% 15.2% Call IV 25d 58.4% 50.1% 64.3% 62.6% 64.3% Put IV 25d 65.1% 55.8% 71.0% 71.0% 70.8% Bid-Ask Spread % 13.88 10.65 18.66 10.71 17.47 Gamma HHI 0.22 0.16 0.31 0.24 0.17 Net GEX 1.4M 992.0K 1.7M 1.4M 992.0K Net DEX -93.7M -148.7M -42.9M -74.1M -42.9M Net VEX -401.1K -438.2K -366.4K -393.1K -399.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.01 0.09 3.54 3.54 0.76 Total Volume 6,536.591 2,010 18,198 10,366 3,671 Total OI 148,949.136 127,042 169,092 148,095 149,603
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 2009-10-01 $19.45 $16.00 67.7% 19.4% 48.9% 15.7% 66.9% 8.4% -1.8% 1.4M -74.1M -393.1K 3.54 10.71 N/A N/A 2,282 8,084 96,088 52,007 2009-10-02 $18.11 $17.50 63.8% 18.3% 56.4% 11.7% 62.6% 8.2% 0.7% 997.0K -45.3M -374.0K 1.49 11.77 N/A N/A 4,009 5,990 96,709 56,361 2009-10-05 $19.35 $20.00 64.2% 18.5% 59.6% 12.2% 64.3% 7.0% -5.0% 1.3M -68.3M -383.3K 1.62 10.97 N/A N/A 1,207 1,958 97,273 57,690 2009-10-06 $19.58 $20.00 62.6% 18.1% 59.0% 10.5% 62.2% 6.9% -4.8% 1.4M -73.6M -392.3K 0.16 12.32 N/A N/A 2,166 355 97,525 57,123 2009-10-07 $19.94 $20.00 60.5% 18.0% 58.9% 8.4% 63.4% 7.4% -3.9% 1.5M -80.3M -389.2K 1.07 13.77 N/A N/A 1,602 1,717 97,776 57,089 2009-10-08 $20.83 $20.00 57.7% 17.8% 60.2% 5.6% 63.8% 6.6% -4.1% 1.7M -99.6M -385.5K 1.92 10.65 N/A N/A 1,452 2,782 98,674 56,873 2009-10-09 $21.92 $20.00 52.6% 17.2% 62.1% 0.3% 59.9% 7.8% -3.4% 1.6M -116.5M -374.7K 0.37 15.94 N/A N/A 4,313 1,612 96,764 57,166 2009-10-12 $21.30 $20.00 64.6% 17.9% 62.1% 12.6% 62.0% 8.3% -4.4% 1.6M -105.2M -373.4K 0.12 11.58 N/A N/A 4,264 497 97,025 57,938 2009-10-13 $21.66 $20.00 63.4% 17.2% 62.1% 13.0% 60.9% 7.2% -2.7% 1.7M -114.0M -369.8K 0.28 11.82 N/A N/A 1,982 556 98,585 57,974 2009-10-14 $23.02 $20.00 55.1% 17.0% 64.3% 3.3% 60.8% 6.8% -2.0% 1.4M -136.2M -366.4K 0.09 17.48 N/A N/A 16,646 1,552 97,175 58,179 2009-10-15 $23.26 $20.00 59.5% 17.0% 64.3% 8.4% 59.1% 6.3% -4.4% 1.5M -148.7M -396.4K 0.93 16.38 N/A N/A 4,895 4,576 106,476 58,940 2009-10-16 $23.11 $21.00 60.2% 17.2% 64.1% 9.2% 61.4% 5.2% -3.3% 1.4M -143.3M -415.4K 0.49 13.00 N/A N/A 2,855 1,410 107,485 61,607 2009-10-19 $24.11 $21.00 61.1% 17.5% 62.4% 10.3% 61.1% 5.1% -2.9% 1.3M -107.3M -407.3K 0.39 12.47 N/A N/A 4,189 1,623 84,873 42,169 2009-10-20 $23.86 $21.00 61.0% 17.5% 59.5% 10.2% 61.0% 5.4% -3.5% 1.4M -104.2M -419.1K 0.84 11.98 N/A N/A 8,589 7,204 86,805 43,012 2009-10-21 $23.59 $21.00 63.0% 18.1% 59.6% 12.5% 63.6% 7.8% -4.2% 1.5M -103.7M -433.1K 0.65 15.15 N/A N/A 5,725 3,718 90,705 43,016 2009-10-22 $23.50 $22.00 53.1% 15.2% 58.3% 1.0% 52.7% 5.7% 0.4% 1.5M -97.6M -421.6K 0.61 13.81 N/A N/A 4,754 2,906 90,894 45,476 2009-10-23 $23.68 $22.00 55.8% 16.0% 58.2% 4.1% 53.9% 8.4% -2.8% 1.5M -101.1M -428.3K 0.37 13.56 N/A N/A 6,741 2,497 91,014 46,604 2009-10-26 $23.38 $22.00 59.5% 17.0% 58.1% 8.4% 58.6% 3.6% -1.9% 1.7M -100.1M -438.2K 1.41 14.31 N/A N/A 1,593 2,241 96,623 47,510 2009-10-27 $22.39 $22.00 61.7% 17.7% 60.3% 11.0% 59.2% 3.8% -2.7% 1.5M -81.5M -427.9K 1.48 15.22 N/A N/A 1,409 2,087 96,922 48,590 2009-10-28 $20.76 $22.00 66.0% 18.9% 66.5% 15.9% 65.5% 6.6% -5.0% 1.1M -52.5M -409.0K 0.91 16.44 N/A N/A 2,139 1,947 97,482 49,888 2009-10-29 $21.64 $22.00 62.6% 18.0% 63.5% 12.1% 61.2% 8.4% -3.6% 1.3M -66.4M -427.2K 2.75 18.66 N/A N/A 536 1,474 98,412 50,781 2009-10-30 $20.22 $22.00 67.1% 19.2% 63.0% 17.2% 67.1% 6.5% -3.0% 992.0K -42.9M -399.4K 0.76 17.47 N/A N/A 2,085 1,586 98,235 51,368
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