TEX Options History — February 2010

In February 2010, TEX traded between $17.97 and $20.54. ATM implied volatility averaged 52.7%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 9.6% (HV 20d: 43.1%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2010-02-17: Highest Volume — 7,341 contracts
  • 2010-02-11: Largest IV drop — 18.9% change
  • 2010-02-08: Highest IV Rank — 33.4%
  • 2010-02-04: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.37$17.97$20.54$20.12$19.47
Max Pain$20.26$20.00$22.00$22.00$20.00
ATM IV52.7%41.5%68.2%54.7%42.7%
Expected Move14.6%11.9%17.1%15.7%12.2%
HV 20d43.1%36.2%48.9%43.8%48.8%
HV 60d43.9%43.0%44.9%43.3%43.4%
IV Rank15.1%1.7%33.4%17.4%3.1%
IV Percentile21.9%0.8%59.1%20.2%1.6%
Term Structure-1.4%-4.0%1.6%-2.8%0.7%
VWIV51.0%41.6%58.9%52.3%41.6%
Skew 25d6.0%3.4%7.6%6.8%5.9%
Skew 10d13.2%9.6%17.5%12.0%13.7%
Call IV 25d48.3%39.0%57.6%50.9%39.0%
Put IV 25d54.3%44.8%63.4%57.6%44.8%
Bid-Ask Spread %18.5115.2323.7619.5820.11
Gamma HHI0.100.070.210.210.10
Net GEX-28.8K-165.9K92.7K-155.6K-29.8K
Net DEX16.2M4.5M25.2M13.7M12.7M
Net VEX-200.6K-223.3K-181.5K-219.6K-206.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.096.780.091.02
Total Volume3,559.0531,2357,3413,1761,354
Total OI83,520.78966,286100,90076,83775,361

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$20.12$22.0054.7%15.7%43.8%17.4%52.3%6.8%-2.8%-155.6K13.7M-219.6K0.0919.58N/AN/A2,91626041,55235,285
2010-02-02$20.05$21.0053.5%15.3%38.4%16.0%53.5%5.1%-3.3%-44412.2M-223.3K0.2315.23N/AN/A1,06324243,72235,445
2010-02-03$19.85$21.0053.0%15.2%37.8%15.4%52.4%5.0%-2.6%-13.6K14.0M-215.5K0.1316.53N/AN/A1,72622744,50035,544
2010-02-04$18.60$21.0059.7%17.1%43.1%23.3%58.9%5.8%-4.0%-16.2K21.7M-192.3K0.5418.28N/AN/A2,0551,10045,55135,687
2010-02-05$18.14$20.0063.1%16.5%38.7%27.4%57.3%6.5%-2.4%-15.5K24.5M-185.2K0.5117.74N/AN/A2,6481,36046,46636,322
2010-02-08$17.97$20.0068.2%16.6%38.1%33.4%57.2%5.8%-2.1%23.4K25.2M-181.5K1.6519.72N/AN/A2,1323,52148,24037,022
2010-02-09$18.44$20.0066.1%16.2%36.2%30.9%56.5%6.9%-1.8%-95.9K24.4M-189.9K0.4516.59N/AN/A84938647,65040,050
2010-02-10$18.38$20.0067.6%16.1%36.3%32.8%57.7%7.2%-2.2%-103.2K25.0M-187.8K6.7819.85N/AN/A4983,37648,07440,341
2010-02-11$19.07$20.0054.8%15.7%39.6%17.5%53.9%6.5%-2.5%-132.0K20.7M-200.3K0.4015.58N/AN/A2,26290348,11243,481
2010-02-12$18.78$20.0053.7%15.4%39.6%16.2%54.4%7.4%-2.1%-88.7K23.0M-196.6K0.1017.80N/AN/A1,12211649,59744,064
2010-02-16$19.86$20.0052.0%14.9%46.0%14.1%52.7%7.6%-2.6%55.1K12.2M-208.4K0.5116.30N/AN/A1,57380550,24444,120
2010-02-17$20.17$20.0051.8%14.9%45.8%14.0%54.3%7.6%-2.6%92.7K8.6M-211.1K1.1321.40N/AN/A3,4393,90250,21944,286
2010-02-18$19.72$20.0043.7%12.5%45.8%4.3%42.9%5.0%0.5%-165.9K21.4M-191.9K0.8416.07N/AN/A3,6753,07251,92746,716
2010-02-19$20.54$20.0043.2%12.4%47.8%3.7%44.1%5.9%0.0%74.7K8.5M-207.8K2.6423.76N/AN/A9112,40253,44247,458
2010-02-22$20.54$20.0041.5%11.9%46.9%1.7%47.0%5.5%1.6%49.5K4.5M-207.5K0.8718.24N/AN/A3,3822,93834,34331,943
2010-02-23$19.75$20.0043.7%12.5%48.7%4.3%44.4%5.5%0.9%41.1K9.2M-199.3K1.5918.18N/AN/A8041,27836,09732,229
2010-02-24$19.38$20.0045.1%12.9%48.9%6.0%44.5%3.4%-0.5%-14.5K12.4M-195.0K1.3518.64N/AN/A1,5442,08936,58633,280
2010-02-25$19.28$20.0043.9%12.6%48.7%4.5%43.8%4.0%0.5%-52.5K13.5M-192.0K0.7522.18N/AN/A3,2512,44137,29634,643
2010-02-26$19.47$20.0042.7%12.2%48.8%3.1%41.6%5.9%0.7%-29.8K12.7M-206.8K1.0220.11N/AN/A67168338,60336,758