TEX Options History — April 2010

In April 2010, TEX traded between $23.63 and $27.84. ATM implied volatility averaged 41.8%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 3.0% (HV 20d: 38.9%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2010-04-23: Highest Volume — 7,390 contracts
  • 2010-04-22: Largest IV drop — 16.8% change
  • 2010-04-19: Highest IV Rank — 19.2%
  • 2010-04-19: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.00$23.63$27.84$23.63$26.52
Max Pain$23.95$22.00$25.00$23.00$25.00
ATM IV41.8%36.1%47.5%38.2%46.7%
Expected Move12.5%10.9%13.6%11.0%13.4%
HV 20d38.9%36.1%48.0%36.4%48.0%
HV 60d42.2%41.0%44.9%42.0%44.9%
IV Rank9.0%0.0%19.2%1.0%18.4%
IV Percentile10.5%0.0%25.4%0.4%25.4%
Term Structure-0.8%-2.7%3.3%3.3%-0.3%
VWIV44.3%39.2%48.3%39.2%48.3%
Skew 25d4.2%0.9%5.1%0.9%4.5%
Skew 10d9.6%7.1%16.3%9.3%8.7%
Call IV 25d42.2%36.8%46.3%38.0%46.3%
Put IV 25d46.4%39.0%50.8%39.0%50.8%
Bid-Ask Spread %17.0413.0621.5915.3917.76
Gamma HHI0.180.070.680.140.08
Net GEX940.5K173.2K2.5M872.6K269.7K
Net DEX-45.9M-91.5M-18.1M-26.9M-25.2M
Net VEX-230.0K-269.6K-200.2K-228.0K-268.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.234.660.524.66
Total Volume2,790.1437997,3906,5831,739
Total OI74,743.57149,79493,12785,24263,267

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$23.63$23.0038.2%11.0%36.4%1.0%39.2%0.9%3.3%872.6K-26.9M-228.0K0.5215.39N/AN/A4,3392,24444,93340,309
2010-04-05$24.45$22.0041.2%12.7%36.4%5.7%43.5%4.3%-1.6%1.4M-44.3M-228.8K0.6517.74N/AN/A1,52899248,11840,469
2010-04-06$24.75$22.0040.9%12.4%36.5%5.2%43.7%3.9%-1.3%1.5M-49.5M-226.8K0.3116.71N/AN/A83326148,56139,977
2010-04-07$24.75$22.0040.5%12.5%36.1%4.6%43.5%4.5%-1.2%1.5M-48.8M-224.9K0.5918.02N/AN/A60235548,44240,034
2010-04-08$25.20$22.0038.5%12.4%36.2%1.5%44.2%4.2%-1.9%1.6M-58.1M-220.7K1.3617.94N/AN/A8211,11648,44240,034
2010-04-09$26.16$23.0037.1%12.4%37.8%0.0%43.9%4.0%-1.8%1.4M-74.2M-213.1K0.2617.75N/AN/A3,84999748,40840,640
2010-04-12$25.78$24.0039.5%12.4%38.4%4.2%43.9%4.9%-1.8%1.6M-69.3M-213.1K0.6216.18N/AN/A68142149,36041,164
2010-04-13$25.77$24.0036.1%12.3%37.5%0.0%47.4%4.4%-1.1%1.8M-71.7M-207.2K0.7816.78N/AN/A45034949,32241,385
2010-04-14$25.95$24.0037.0%12.3%37.1%1.5%43.3%4.3%-1.9%1.7M-76.3M-200.2K0.2313.06N/AN/A2,92068049,36841,369
2010-04-15$26.73$24.0042.7%12.3%37.8%11.2%43.5%3.7%-2.4%1.3M-91.5M-204.7K0.2315.21N/AN/A2,56060151,06641,657
2010-04-16$26.11$24.0043.6%12.5%37.8%12.6%44.3%4.4%-1.9%2.5M-83.9M-209.5K0.6816.65N/AN/A1,7851,20851,04242,085
2010-04-19$25.01$24.0047.5%13.6%38.7%19.2%47.9%5.1%-2.7%228.6K-18.1M-212.1K1.9617.76N/AN/A1,4792,89325,82523,969
2010-04-20$26.01$25.0046.0%13.2%40.4%16.7%46.6%5.1%-1.7%173.2K-22.2M-223.4K0.6615.70N/AN/A62741626,73526,316
2010-04-21$26.11$25.0045.8%13.1%39.4%16.3%46.2%4.6%-2.4%198.6K-23.2M-225.4K0.7018.60N/AN/A1,9361,34627,20726,520
2010-04-22$26.87$25.0038.1%10.9%38.5%3.4%39.4%4.0%1.4%318.6K-29.6M-228.7K0.6819.60N/AN/A2,4261,63928,59927,209
2010-04-23$27.74$25.0040.5%11.6%37.6%7.7%43.0%4.1%0.8%380.0K-35.6M-239.0K3.5916.47N/AN/A1,6095,78129,99127,645
2010-04-26$27.80$25.0042.0%12.0%36.4%10.2%41.2%4.6%1.2%289.1K-33.3M-258.6K0.2414.25N/AN/A1,82443530,69330,823
2010-04-27$26.41$25.0046.1%13.2%42.1%17.4%46.5%4.5%0.1%229.9K-24.0M-263.9K1.0121.59N/AN/A59460131,44131,094
2010-04-28$26.34$25.0046.5%13.3%42.0%18.0%45.9%4.2%0.2%223.1K-23.1M-264.8K0.4815.97N/AN/A80538331,59831,255
2010-04-29$27.84$25.0043.7%12.5%44.9%13.2%45.4%4.5%0.1%358.3K-34.8M-269.6K0.3018.74N/AN/A1,89857031,98331,260
2010-04-30$26.52$25.0046.7%13.4%48.0%18.4%48.3%4.5%-0.3%269.7K-25.2M-268.4K4.6617.76N/AN/A3071,43232,07731,190