TEX Options History — January 2010

In January 2010, TEX traded between $19.55 and $23.64. ATM implied volatility averaged 47.4%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 2.8% (HV 20d: 44.6%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2010-01-13: Highest Volume — 13,739 contracts
  • 2010-01-14: Largest IV spike — 21.0% change
  • 2010-01-29: Highest IV Rank — 15.8%
  • 2010-01-29: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.05$19.55$23.64$20.97$19.55
Max Pain$21.74$21.00$23.00$21.00$22.00
ATM IV47.4%40.1%53.4%48.5%53.4%
Expected Move14.0%12.9%15.3%14.2%15.3%
HV 20d44.6%39.3%47.9%46.5%43.1%
HV 60d47.7%42.5%50.6%50.6%43.7%
IV Rank8.2%0.0%15.8%7.7%15.8%
IV Percentile6.5%0.0%18.3%4.0%18.3%
Term Structure-0.6%-1.5%0.5%0.4%-1.5%
VWIV49.0%45.4%54.0%49.5%54.0%
Skew 25d4.9%3.2%6.6%6.1%5.9%
Skew 10d10.4%8.1%15.4%12.3%12.7%
Call IV 25d47.2%43.5%51.3%46.7%51.3%
Put IV 25d52.1%47.9%57.2%52.7%57.2%
Bid-Ask Spread %16.7012.2322.3615.4416.01
Gamma HHI0.200.130.290.240.19
Net GEX1.2M-125.1K2.8M2.0M-125.1K
Net DEX-48.7M-125.4M16.1M-52.3M16.1M
Net VEX-248.4K-262.8K-216.1K-239.2K-216.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.103.260.280.64
Total Volume5,401.84290313,7399,382903
Total OI118,18566,025168,044152,48376,578

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$20.97$21.0048.5%14.2%46.5%7.7%49.5%6.1%0.4%2.0M-52.3M-239.2K0.2815.44N/AN/A7,3262,05695,95656,527
2010-01-05$21.35$21.0048.5%14.1%46.8%7.6%49.7%4.6%-0.5%2.2M-62.8M-243.8K0.5218.04N/AN/A1,88997997,30157,674
2010-01-06$21.59$21.0048.5%13.9%46.8%7.7%48.8%5.8%-1.3%2.2M-66.9M-243.3K0.2312.23N/AN/A3,40178596,93857,739
2010-01-07$22.59$21.0043.2%13.8%47.0%1.2%49.7%4.5%-1.2%2.5M-91.2M-247.3K0.1516.35N/AN/A7,0691,04397,93257,962
2010-01-08$22.76$21.0040.1%13.6%46.5%0.0%47.3%4.8%0.5%2.5M-94.0M-244.5K3.2618.28N/AN/A2,5618,35098,03658,425
2010-01-11$23.64$21.0046.7%13.9%46.9%7.8%47.9%3.7%-1.3%2.8M-110.1M-259.5K0.1414.86N/AN/A11,3121,58098,16361,709
2010-01-12$23.41$21.0043.8%14.1%47.5%4.4%48.1%4.3%-0.9%2.6M-117.4M-247.0K0.1022.36N/AN/A7,346724103,45860,977
2010-01-13$23.63$22.0040.1%13.7%47.4%0.0%48.5%4.0%-0.7%2.7M-125.4M-262.8K0.5017.82N/AN/A9,1604,579106,31361,339
2010-01-14$23.20$22.0048.5%13.9%47.9%10.0%47.4%4.8%-0.6%1.4M-102.2M-259.2K0.9315.31N/AN/A1,6801,559101,35764,182
2010-01-15$22.89$22.0046.9%13.5%46.7%8.1%46.1%4.8%-0.8%692.5K-97.1M-262.3K0.1416.62N/AN/A5,103726102,99865,046
2010-01-19$23.32$22.0046.4%13.3%46.7%7.5%45.7%4.4%-0.7%376.7K-15.7M-261.6K0.4716.96N/AN/A2,03195736,10529,920
2010-01-20$22.81$23.0044.9%12.9%47.8%5.8%45.4%3.6%0.3%317.1K-11.3M-260.4K0.4315.24N/AN/A87537637,25430,279
2010-01-21$22.07$23.0048.1%13.8%40.2%9.5%47.9%3.2%-1.0%222.0K-5.5M-252.2K0.4817.89N/AN/A1,49972637,75830,463
2010-01-22$21.46$22.0050.7%14.5%40.8%12.7%51.1%6.2%-0.4%169.2K-917.4K-246.6K0.3014.53N/AN/A6,3041,87838,36830,807
2010-01-25$21.41$22.0050.4%14.4%40.4%12.3%49.9%4.7%0.2%263.9K-2.3M-257.0K1.0320.18N/AN/A71072842,91832,233
2010-01-26$21.09$22.0050.0%14.3%40.8%11.8%49.2%6.6%-0.2%156.1K1.6M-242.3K0.8815.69N/AN/A52646140,74732,281
2010-01-27$20.76$22.0051.3%14.7%39.4%13.4%51.9%5.0%-1.5%124.1K4.3M-237.5K2.2017.13N/AN/A1,3312,92840,99532,442
2010-01-28$20.53$22.0050.9%14.6%39.3%12.9%52.3%6.0%-0.4%-52.0K8.5M-238.0K0.2216.39N/AN/A96620841,35734,978
2010-01-29$19.55$22.0053.4%15.3%43.1%15.8%54.0%5.9%-1.5%-125.1K16.1M-216.1K0.6416.01N/AN/A54935441,56735,011