TEX Options History — March 2010

In March 2010, TEX traded between $19.66 and $23.46. ATM implied volatility averaged 41.5%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 0.3% (HV 20d: 41.8%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.69.

Notable Days

2010-03-03: Highest Volume — 23,926 contracts
2010-03-03: Largest IV spike — 7.6% change
2010-03-08: Highest IV Rank — 5.7%
2010-03-03: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.21	$19.66	$23.46	$19.66	$22.71
Max Pain	$22.13	$20.00	$23.00	$20.00	$23.00
ATM IV	41.5%	37.6%	44.7%	40.0%	37.6%
Expected Move	11.9%	10.8%	12.6%	11.5%	10.8%
HV 20d	41.8%	35.2%	51.2%	45.8%	35.2%
HV 60d	43.9%	41.4%	45.7%	43.0%	41.4%
IV Rank	2.5%	0.0%	5.7%	0.0%	0.0%
IV Percentile	2.6%	0.0%	7.5%	0.0%	0.0%
Term Structure	2.4%	-0.2%	5.8%	3.2%	5.8%
VWIV	42.1%	38.4%	45.9%	40.4%	38.4%
Skew 25d	3.6%	1.1%	5.8%	4.8%	1.1%
Skew 10d	9.1%	3.6%	15.2%	10.5%	9.1%
Call IV 25d	40.5%	38.1%	43.9%	39.9%	38.9%
Put IV 25d	44.1%	40.0%	47.6%	44.7%	40.0%
Bid-Ask Spread %	16.02	10.54	22.83	20.13	10.54
Gamma HHI	0.15	0.10	0.36	0.10	0.14
Net GEX	644.4K	-7.0K	1.4M	-7.0K	606.3K
Net DEX	-15.5M	-39.0M	11.7M	11.7M	-13.6M
Net VEX	-243.1K	-270.1K	-204.9K	-204.9K	-222.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.07	1.84	0.97	0.33
Total Volume	2,980.739	381	23,926	1,489	502
Total OI	86,954.957	75,734	95,005	75,734	85,237

Daily Data (23 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
2010-03-01	$19.66	$20.00	40.0%	11.5%	45.8%	0.0%	40.4%	4.8%	3.2%	-7.0K	11.7M	-204.9K	0.97	20.13	N/A	N/A	757	732	38,750	36,984
2010-03-02	$19.98	$20.00	40.9%	11.7%	45.0%	1.0%	40.3%	4.8%	2.3%	38.3K	8.8M	-210.8K	1.31	19.09	N/A	N/A	809	1,056	38,935	37,588
2010-03-03	$21.33	$20.00	44.0%	12.6%	50.6%	4.8%	45.1%	3.8%	1.2%	171.3K	-4.6M	-238.7K	0.23	15.09	N/A	N/A	19,529	4,397	38,927	38,604
2010-03-04	$21.96	$20.00	43.5%	12.5%	51.2%	4.2%	44.3%	1.7%	-0.2%	621.6K	-17.1M	-262.0K	0.18	22.83	N/A	N/A	2,900	526	47,006	40,007
2010-03-05	$22.72	$22.00	42.2%	12.6%	44.9%	2.6%	44.4%	2.9%	0.7%	751.0K	-27.6M	-268.9K	0.86	15.88	N/A	N/A	3,353	2,873	47,412	40,017
2010-03-08	$22.68	$22.00	44.7%	12.5%	43.2%	5.7%	44.9%	4.2%	1.2%	787.0K	-26.5M	-270.1K	0.24	15.06	N/A	N/A	2,886	683	48,395	41,171
2010-03-09	$22.45	$22.00	43.5%	12.6%	43.2%	4.2%	44.0%	5.3%	1.4%	819.4K	-24.2M	-267.6K	0.65	17.64	N/A	N/A	787	509	48,807	41,362
2010-03-10	$22.31	$22.00	43.6%	12.5%	43.3%	5.4%	45.9%	4.7%	1.0%	797.6K	-20.4M	-262.9K	0.71	19.09	N/A	N/A	496	350	48,720	41,716
2010-03-11	$22.62	$22.00	42.8%	12.3%	43.0%	4.1%	44.2%	4.0%	1.0%	880.2K	-24.7M	-263.7K	1.11	15.85	N/A	N/A	452	502	48,803	41,829
2010-03-12	$22.96	$22.00	41.2%	11.8%	41.9%	2.0%	42.3%	4.5%	2.4%	961.8K	-30.5M	-258.9K	0.59	16.08	N/A	N/A	2,350	1,388	48,851	41,909
2010-03-15	$22.55	$22.00	42.5%	12.2%	42.2%	4.0%	43.4%	3.5%	1.8%	952.1K	-24.5M	-257.8K	0.83	16.20	N/A	N/A	1,422	1,180	50,105	42,875
2010-03-16	$23.02	$22.00	41.9%	12.0%	38.7%	3.0%	41.8%	5.8%	1.5%	1.1M	-31.4M	-258.3K	0.24	17.45	N/A	N/A	1,797	432	51,138	43,867
2010-03-17	$23.46	$23.00	41.6%	11.9%	38.8%	2.6%	42.2%	3.3%	2.1%	1.2M	-39.0M	-256.3K	0.26	13.88	N/A	N/A	2,373	620	51,136	43,764
2010-03-18	$22.92	$23.00	41.4%	11.9%	38.9%	2.2%	44.8%	4.7%	1.5%	1.2M	-29.3M	-255.2K	1.84	17.51	N/A	N/A	458	844	50,853	44,123
2010-03-19	$22.07	$23.00	42.3%	12.1%	40.0%	3.7%	41.5%	3.5%	1.4%	1.4M	-15.5M	-242.3K	0.32	18.60	N/A	N/A	1,928	618	50,897	44,065
2010-03-22	$22.18	$23.00	40.2%	11.5%	39.9%	0.3%	39.7%	4.0%	4.3%	300.4K	-6.7M	-231.9K	0.36	12.04	N/A	N/A	559	202	42,219	39,296
2010-03-23	$22.89	$23.00	39.6%	11.3%	37.6%	0.0%	39.3%	3.4%	3.9%	464.2K	-15.8M	-238.0K	0.07	13.83	N/A	N/A	3,345	230	42,412	39,381
2010-03-24	$22.37	$23.00	41.2%	11.8%	38.0%	2.7%	40.5%	3.9%	3.4%	470.7K	-10.3M	-233.7K	0.55	12.60	N/A	N/A	878	484	44,493	39,501
2010-03-25	$21.91	$23.00	39.7%	11.4%	39.1%	0.2%	40.2%	2.1%	4.0%	337.9K	-4.2M	-226.3K	1.45	15.34	N/A	N/A	486	704	44,555	39,615
2010-03-26	$21.57	$23.00	40.9%	11.7%	39.8%	2.1%	40.6%	2.5%	4.4%	208.5K	957.2K	-220.0K	1.27	15.25	N/A	N/A	496	630	44,448	39,837
2010-03-29	$22.27	$23.00	40.6%	11.6%	41.0%	1.7%	40.9%	1.9%	3.9%	396.6K	-6.8M	-220.5K	0.38	13.87	N/A	N/A	473	180	44,670	40,398
2010-03-30	$22.15	$23.00	39.5%	11.3%	41.0%	0.0%	39.0%	2.5%	4.0%	379.8K	-5.7M	-220.3K	1.05	14.58	N/A	N/A	186	195	44,889	40,397
2010-03-31	$22.71	$23.00	37.6%	10.8%	35.2%	0.0%	38.4%	1.1%	5.8%	606.3K	-13.6M	-222.1K	0.33	10.54	N/A	N/A	377	125	44,952	40,285