TEX Options History — May 2010

In May 2010, TEX traded between $20.63 and $28.19. ATM implied volatility averaged 61.7%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 13.2% (HV 20d: 75.0%). Max pain ranged from $23.00 to $28.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-05-03: Highest Volume — 20,854 contracts
  • 2010-05-06: Largest IV spike — 19.6% change
  • 2010-05-20: Highest IV Rank — 94.3%
  • 2010-05-20: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.57$20.63$28.19$28.19$21.76
Max Pain$25.35$23.00$28.00$25.00$23.00
ATM IV61.7%50.2%76.0%50.2%54.1%
Expected Move17.6%14.4%21.8%14.4%15.5%
HV 20d75.0%51.0%82.3%51.0%80.8%
HV 60d54.4%43.9%58.9%43.9%58.3%
IV Rank53.1%24.5%94.3%24.5%44.7%
IV Percentile67.3%31.7%98.4%31.7%43.3%
Term Structure-1.8%-5.9%2.3%-1.0%1.4%
VWIV60.8%49.3%76.6%51.9%55.6%
Skew 25d8.0%-1.1%14.2%-1.1%9.6%
Skew 10d16.6%-3.0%28.9%-3.0%18.2%
Call IV 25d58.6%49.1%72.1%53.2%51.8%
Put IV 25d66.6%52.0%85.3%52.0%61.3%
Bid-Ask Spread %18.3814.0336.2017.2819.58
Gamma HHI0.100.060.150.090.14
Net GEX249.5K-103.4K726.1K368.1K228.3K
Net DEX-8.4M-37.1M12.6M-37.1M-126.9K
Net VEX-259.8K-293.5K-224.6K-267.3K-233.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.041.900.040.63
Total Volume3,636.265220,85420,854652
Total OI74,212.9563,07682,20463,07673,184

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$28.19$25.0050.2%14.4%51.0%24.5%51.9%-1.1%-1.0%368.1K-37.1M-267.3K0.0417.28N/AN/A19,97887632,04931,027
2010-05-04$26.42$25.0055.5%15.9%56.9%33.7%56.5%-0.2%-2.1%664.0K-29.5M-285.4K1.0317.44N/AN/A1,8761,93839,47631,267
2010-05-05$26.19$25.0058.8%16.9%57.1%39.4%59.5%1.9%-2.1%577.7K-27.2M-291.4K0.5918.96N/AN/A2,6331,54439,65432,279
2010-05-06$24.68$25.0070.3%20.2%60.8%59.4%69.1%4.9%-4.9%347.8K-16.6M-293.5K0.9336.20N/AN/A2,3742,21239,70032,647
2010-05-07$22.55$28.0075.4%20.3%66.7%68.2%68.0%8.2%-5.9%77.8K-191.5K-268.7K0.5815.53N/AN/A3,9402,29740,00533,639
2010-05-10$25.01$28.0060.8%16.8%77.4%42.9%57.8%9.0%-1.9%372.3K-16.2M-287.9K0.2714.03N/AN/A2,57070340,86634,523
2010-05-11$24.84$28.0060.0%16.8%77.4%41.4%61.1%6.6%-2.1%388.0K-15.3M-283.5K0.1514.54N/AN/A1,54323441,58434,460
2010-05-12$26.00$27.0053.9%15.7%79.2%30.9%52.4%8.1%-1.6%713.6K-27.3M-288.4K0.9117.34N/AN/A70564242,47234,306
2010-05-13$26.05$27.0054.5%15.6%78.4%31.9%56.0%6.5%-1.5%726.1K-27.7M-288.1K1.2417.05N/AN/A37446442,44734,294
2010-05-14$24.51$27.0059.7%17.1%80.9%44.5%59.3%8.3%-2.8%334.5K-12.6M-275.0K0.7814.70N/AN/A73557442,51234,103
2010-05-17$23.27$27.0063.4%18.2%81.6%53.9%61.8%9.8%-2.7%20.7K-1.4M-253.0K1.9018.53N/AN/A1,0692,03342,59734,101
2010-05-18$22.55$26.0063.9%18.3%80.5%65.7%62.5%7.8%-2.7%-87.9K4.0M-243.8K0.2516.13N/AN/A1,37834542,87634,576
2010-05-19$22.15$25.0067.2%19.3%80.5%73.5%66.5%9.1%-3.2%-93.8K6.1M-240.6K1.3517.70N/AN/A8391,13243,38534,432
2010-05-20$20.63$25.0076.0%21.8%82.2%94.3%76.6%13.2%-3.3%-98.3K12.6M-227.2K1.2921.33N/AN/A2,7283,51543,67034,562
2010-05-21$21.18$24.0071.2%20.4%81.8%82.8%66.9%13.5%-2.1%-103.4K10.7M-238.4K0.2116.04N/AN/A3,82480145,52036,684
2010-05-24$20.66$23.0065.1%18.7%81.7%68.6%64.3%14.2%-1.4%55.7K6.7M-224.6K1.0516.24N/AN/A55157837,17132,994
2010-05-25$20.72$23.0061.2%17.6%80.7%59.4%62.8%10.7%2.3%71.9K6.1M-227.4K0.6019.98N/AN/A1,14068237,50333,287
2010-05-26$21.44$23.0061.0%17.5%82.3%62.0%58.3%10.0%-0.7%137.9K1.9M-235.4K0.1520.73N/AN/A1,75926337,99333,603
2010-05-27$22.50$23.0052.6%15.1%81.6%41.0%49.3%9.5%2.3%289.3K-4.5M-242.0K0.1018.32N/AN/A1,11111239,14833,663
2010-05-28$21.76$23.0054.1%15.5%80.8%44.7%55.6%9.6%1.4%228.3K-126.9K-233.9K0.6319.58N/AN/A40125139,53133,653