TEX Options History — December 2009 In December 2009, TEX traded between $18.42 and $21.45. ATM implied volatility averaged 48.4%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 6.5% (HV 20d: 41.8%). Max pain ranged from $17.50 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.49.
Notable Days 2009-12-21 : Highest Volume — 22,176 contracts2009-12-10 : Largest IV spike — 9.3% change2009-12-01 : Highest IV Rank — 6.2%2009-12-07 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $19.60 $18.42 $21.45 $19.42 $19.81 Max Pain $17.98 $17.50 $21.00 $21.00 $17.50 ATM IV 48.4% 42.2% 53.6% 53.6% 43.4% Expected Move 14.0% 12.1% 15.5% 15.4% 12.4% HV 20d 41.8% 32.7% 47.8% 47.8% 42.7% HV 60d 53.3% 49.3% 55.1% 55.1% 49.4% IV Rank 2.9% 0.0% 6.2% 6.2% 1.5% IV Percentile 1.0% 0.0% 2.8% 2.8% 0.4% Term Structure 3.7% 1.6% 6.2% 2.4% 6.2% VWIV 48.6% 43.3% 55.1% 51.9% 43.3% Skew 25d 4.9% 2.1% 8.0% 6.6% 5.0% Skew 10d 10.5% 4.7% 17.4% 10.2% 8.0% Call IV 25d 47.5% 41.7% 52.9% 51.1% 43.1% Put IV 25d 52.4% 46.3% 57.8% 57.7% 48.0% Bid-Ask Spread % 8.72 4.95 17.99 15.26 4.95 Gamma HHI 0.22 0.19 0.27 0.20 0.27 Net GEX 1.2M 494.8K 2.2M 705.5K 1.6M Net DEX -29.3M -68.7M -6.8M -23.1M -31.0M Net VEX -274.5K -303.8K -229.3K -303.8K -229.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.02 1.47 0.70 0.90 Total Volume 3,446.909 695 22,176 2,896 895 Total OI 152,041.727 143,366 164,324 143,366 152,226
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 2009-12-01 $19.42 $21.00 53.6% 15.4% 47.8% 6.2% 51.9% 6.6% 2.4% 705.5K -23.1M -303.8K 0.70 15.26 N/A N/A 1,704 1,192 88,694 54,672 2009-12-02 $19.35 $21.00 52.2% 15.0% 45.2% 4.4% 51.4% 4.1% 2.8% 714.0K -23.0M -300.5K 0.46 16.08 N/A N/A 1,700 788 89,219 55,255 2009-12-03 $19.04 $21.00 51.9% 14.9% 45.4% 4.0% 49.1% 3.9% 2.2% 648.9K -18.1M -292.2K 0.37 17.99 N/A N/A 995 371 90,164 55,432 2009-12-04 $19.13 $17.50 50.9% 15.4% 45.1% 2.7% 53.3% 5.8% 2.7% 681.6K -19.1M -292.1K 0.20 11.16 N/A N/A 1,928 381 90,297 55,404 2009-12-07 $19.31 $17.50 52.3% 15.5% 44.6% 4.6% 53.3% 5.1% 1.6% 774.8K -21.8M -290.2K 0.02 6.53 N/A N/A 5,914 103 91,747 55,509 2009-12-08 $18.77 $17.50 50.9% 15.4% 39.9% 2.7% 55.1% 4.5% 2.7% 622.3K -14.3M -277.6K 0.27 9.34 N/A N/A 1,490 406 94,041 55,580 2009-12-09 $18.59 $17.50 47.3% 15.3% 39.8% 0.0% 52.5% 5.6% 2.5% 561.6K -10.2M -272.7K 0.45 10.35 N/A N/A 1,362 609 94,483 55,730 2009-12-10 $18.42 $17.50 51.7% 14.8% 38.4% 5.7% 50.7% 7.6% 4.3% 519.9K -7.5M -258.5K 0.89 8.67 N/A N/A 4,416 3,923 94,645 55,623 2009-12-11 $18.64 $17.50 51.0% 14.6% 38.6% 4.9% 51.7% 5.8% 3.7% 627.8K -11.7M -275.9K 0.42 7.50 N/A N/A 575 239 97,790 58,462 2009-12-14 $18.67 $17.50 51.1% 14.7% 38.4% 5.0% 51.2% 6.5% 3.3% 598.6K -11.1M -267.8K 0.48 8.46 N/A N/A 906 431 96,989 58,448 2009-12-15 $18.44 $17.50 49.9% 14.3% 32.7% 3.4% 49.4% 8.0% 5.0% 494.8K -6.8M -254.4K 0.46 8.79 N/A N/A 611 280 97,510 58,507 2009-12-16 $19.33 $17.50 49.6% 14.2% 38.3% 3.0% 48.8% 3.5% 3.9% 958.2K -24.0M -270.8K 0.04 8.98 N/A N/A 10,824 383 97,260 57,982 2009-12-17 $19.32 $17.50 48.7% 14.0% 38.3% 1.8% 48.2% 4.8% 4.8% 1.2M -25.5M -275.2K 0.36 7.63 N/A N/A 793 285 105,837 58,070 2009-12-18 $19.21 $17.50 47.0% 13.5% 35.7% 0.0% 47.5% 3.2% 5.8% 1.0M -23.2M -266.1K 0.88 7.82 N/A N/A 474 416 106,173 58,151 2009-12-21 $20.94 $17.50 45.9% 13.2% 46.0% 0.0% 45.8% 2.1% 2.7% 2.0M -57.1M -295.6K 0.16 6.00 N/A N/A 19,127 3,049 98,859 53,405 2009-12-22 $21.45 $17.50 44.5% 12.8% 45.2% 0.0% 44.3% 3.0% 3.8% 2.2M -68.7M -301.1K 0.13 5.90 N/A N/A 2,311 293 98,179 54,977 2009-12-23 $21.15 $17.50 42.2% 12.1% 45.3% 0.0% 43.5% 4.8% 5.8% 2.1M -61.4M -287.2K 1.02 6.19 N/A N/A 948 968 97,618 55,112 2009-12-24 $21.24 $17.50 43.5% 12.5% 45.0% 1.5% 45.1% 3.5% 4.7% 2.1M -62.1M -282.4K 0.41 6.33 N/A N/A 600 244 95,878 55,354 2009-12-28 $20.55 $17.50 45.3% 13.0% 43.0% 3.8% 45.9% 4.7% 3.9% 1.9M -47.6M -258.2K 1.47 6.12 N/A N/A 782 1,152 96,142 55,351 2009-12-29 $20.29 $17.50 45.8% 13.1% 43.2% 4.4% 44.6% 5.7% 3.4% 1.7M -39.1M -246.5K 0.37 5.65 N/A N/A 929 340 95,801 56,243 2009-12-30 $20.21 $17.50 45.3% 13.0% 42.1% 3.7% 43.4% 4.2% 3.4% 1.7M -38.0M -241.7K 0.43 6.11 N/A N/A 485 210 95,835 56,264 2009-12-31 $19.81 $17.50 43.4% 12.4% 42.7% 1.5% 43.3% 5.0% 6.2% 1.6M -31.0M -229.3K 0.90 4.95 N/A N/A 470 425 95,931 56,295
« Nov 2009 | All History | Jan 2010 » Home TEX History December 2009