TEX Options History — November 2009

In November 2009, TEX traded between $18.83 and $22.11. ATM implied volatility averaged 59.5%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 3.5% (HV 20d: 56.0%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2009-11-18: Highest Volume — 10,138 contracts
  • 2009-11-27: Largest IV spike — 10.0% change
  • 2009-11-02: Highest IV Rank — 19.9%
  • 2009-11-02: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.81$18.83$22.11$20.25$18.83
Max Pain$22.25$21.00$23.00$22.00$21.00
ATM IV59.5%48.9%69.4%69.4%55.0%
Expected Move16.9%14.0%19.9%19.9%15.8%
HV 20d56.0%46.2%60.1%58.8%46.2%
HV 60d55.0%53.5%57.3%57.3%55.1%
IV Rank9.3%0.0%19.9%19.9%8.0%
IV Percentile17.4%0.0%34.9%34.9%4.8%
Term Structure-0.2%-4.3%3.3%-4.3%0.3%
VWIV58.7%50.3%68.9%68.9%54.4%
Skew 25d7.2%5.8%9.2%7.0%6.1%
Skew 10d14.4%10.0%17.6%16.0%13.0%
Call IV 25d56.0%46.9%65.7%65.7%53.4%
Put IV 25d63.2%53.1%72.7%72.7%59.5%
Bid-Ask Spread %14.519.2419.3619.3615.90
Gamma HHI0.170.130.210.170.19
Net GEX1.1M551.3K1.6M1.0M551.3K
Net DEX-46.7M-71.5M-14.5M-42.3M-14.5M
Net VEX-368.2K-402.9K-294.8K-389.5K-294.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.095.640.840.61
Total Volume2,939.951,01210,1381,5961,985
Total OI152,456.05137,399172,210149,017142,911

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$20.25$22.0069.4%19.9%58.8%19.9%68.9%7.0%-4.3%1.0M-42.3M-389.5K0.8419.36N/AN/A86972798,08350,934
2009-11-03$21.06$22.0067.8%19.4%60.1%18.0%67.8%7.3%-3.3%1.2M-56.2M-402.9K0.5517.95N/AN/A1,18765598,27750,839
2009-11-04$20.86$22.0065.8%18.9%60.0%15.7%65.8%6.8%-3.2%1.2M-53.3M-395.3K0.2919.05N/AN/A1,03130098,23451,012
2009-11-05$21.09$22.0066.1%18.9%58.1%16.1%66.1%9.1%-3.6%1.2M-55.1M-387.6K0.8613.94N/AN/A54446898,17651,167
2009-11-06$20.53$23.0063.7%17.8%55.7%13.4%60.7%9.2%-0.5%1.1M-45.4M-380.8K5.6411.84N/AN/A3161,78398,20951,250
2009-11-09$21.68$23.0067.4%18.1%58.4%17.6%62.3%6.7%0.1%1.3M-63.8M-388.6K1.2114.28N/AN/A1,5581,88598,33252,545
2009-11-10$21.63$23.0065.3%17.6%58.1%15.1%60.8%8.4%1.1%1.3M-62.8M-387.3K0.3614.14N/AN/A1,19843499,06754,220
2009-11-11$22.08$23.0062.6%17.2%54.2%12.0%61.0%6.8%-1.5%1.5M-71.5M-383.7K2.0915.45N/AN/A1,8333,83299,73454,448
2009-11-12$21.53$23.0058.0%16.6%54.6%6.7%58.5%7.4%1.2%1.3M-56.8M-390.9K3.4914.98N/AN/A7872,745100,27457,651
2009-11-13$21.08$23.0057.9%16.6%54.9%6.5%56.7%7.9%-0.2%1.1M-44.3M-384.3K1.0814.95N/AN/A1,3291,433100,44860,120
2009-11-16$22.11$23.0057.2%16.4%55.5%5.7%56.6%6.8%-0.8%1.3M-63.3M-393.0K1.3010.69N/AN/A1,4251,850100,78461,113
2009-11-17$21.98$23.0056.8%16.3%55.5%5.3%58.5%8.7%0.1%1.3M-60.4M-383.7K0.4915.92N/AN/A2,9591,449101,35660,710
2009-11-18$22.04$22.0056.7%16.2%55.5%5.1%56.1%6.9%0.5%1.4M-62.6M-388.6K0.099.24N/AN/A9,337801102,57461,283
2009-11-19$21.10$22.0058.1%16.7%57.3%6.8%57.4%5.8%0.4%1.6M-48.0M-393.2K0.6415.71N/AN/A1,005639110,60861,602
2009-11-20$20.30$22.0057.2%16.4%58.2%5.7%55.9%6.5%0.5%643.3K-28.2M-355.0K0.4313.66N/AN/A1,492635104,25661,517
2009-11-23$19.73$22.0053.0%15.2%58.7%0.9%52.7%6.5%1.1%784.4K-29.2M-324.7K0.7113.21N/AN/A1,8361,29985,90851,491
2009-11-24$19.52$22.0048.9%14.0%57.2%0.0%50.7%6.9%3.2%783.0K-26.5M-315.8K1.0415.46N/AN/A1,5701,64086,61451,591
2009-11-25$19.91$21.0048.9%14.0%51.8%0.0%50.3%6.2%3.3%857.4K-31.0M-317.7K1.2612.96N/AN/A8831,11187,38952,648
2009-11-27$18.98$21.0053.8%15.4%51.5%6.5%53.7%6.7%1.3%621.5K-18.0M-305.9K1.0511.59N/AN/A9611,00888,05453,692
2009-11-30$18.83$21.0055.0%15.8%46.2%8.0%54.4%6.1%0.3%551.3K-14.5M-294.8K0.6115.90N/AN/A1,23674988,43054,481