TEX Options History — June 2010

In June 2010, TEX traded between $18.74 and $22.60. ATM implied volatility averaged 58.2%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 8.6% (HV 20d: 66.8%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.47.

Notable Days

  • 2010-06-16: Highest Volume — 15,592 contracts
  • 2010-06-04: Largest IV spike — 19.0% change
  • 2010-06-07: Highest IV Rank — 96.5%
  • 2010-06-07: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.77$18.74$22.60$21.25$18.74
Max Pain$21.86$21.00$23.00$23.00$21.00
ATM IV58.2%49.0%74.9%65.2%62.0%
Expected Move16.5%14.0%19.6%18.7%17.8%
HV 20d66.8%59.2%78.6%76.5%62.7%
HV 60d63.0%58.0%65.2%58.0%65.2%
IV Rank55.1%32.0%96.5%72.2%64.9%
IV Percentile59.3%30.6%98.0%81.3%81.0%
Term Structure0.8%-4.9%3.3%-2.0%0.9%
VWIV56.9%41.1%67.7%63.9%61.7%
Skew 25d8.2%5.3%11.1%7.3%7.0%
Skew 10d17.6%10.4%27.3%12.5%18.5%
Call IV 25d54.8%47.6%63.0%63.0%60.7%
Put IV 25d63.0%54.0%74.1%70.4%67.7%
Bid-Ask Spread %17.4012.6420.6620.3012.64
Gamma HHI0.130.080.410.130.08
Net GEX308.8K-71.5K1.2M184.2K-71.5K
Net DEX1.6M-10.8M14.9M1.5M10.2M
Net VEX-197.4K-242.6K-159.3K-228.7K-159.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.031.390.030.45
Total Volume2,383.81848615,59212,1781,473
Total OI73,787.95563,06281,78373,45468,958

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$21.25$23.0065.2%18.7%76.5%72.2%63.9%7.3%-2.0%184.2K1.5M-228.7K0.0320.30N/AN/A11,78839039,66133,793
2010-06-02$22.01$23.0057.4%16.5%75.9%53.0%56.3%9.2%1.3%444.9K-5.6M-240.8K0.3014.12N/AN/A40812243,49833,913
2010-06-03$22.60$23.0054.5%15.6%76.9%45.6%54.9%9.3%1.7%530.5K-10.8M-242.6K0.1315.44N/AN/A7669643,55033,945
2010-06-04$20.95$22.0064.8%18.0%78.6%71.4%62.5%8.8%-2.4%313.6K1.9M-225.0K0.2719.87N/AN/A88524243,81133,978
2010-06-07$19.37$22.0074.9%19.6%77.1%96.5%67.7%11.1%-4.9%90.8K12.7M-196.1K0.8414.54N/AN/A1,2041,01344,19334,097
2010-06-08$19.01$22.0071.2%19.0%65.0%87.2%64.8%10.6%-2.0%30.9K14.9M-187.8K0.3114.98N/AN/A1,28839744,55733,921
2010-06-09$19.07$22.0066.5%18.6%65.2%75.6%64.5%9.5%-1.9%4.8K13.0M-187.3K0.5618.49N/AN/A1,00755944,62533,551
2010-06-10$20.38$21.0060.7%17.4%68.0%61.2%63.0%9.9%-0.3%226.5K4.6M-203.7K0.2519.05N/AN/A64015945,05533,482
2010-06-11$20.40$22.0058.0%16.6%68.0%54.5%54.1%9.1%0.4%195.4K5.7M-198.7K0.0415.96N/AN/A2,2438944,90033,490
2010-06-14$20.56$22.0057.2%16.4%65.8%52.5%57.4%10.0%1.2%284.6K3.8M-196.9K1.0216.77N/AN/A24124546,07133,479
2010-06-15$21.40$22.0054.5%15.6%65.9%45.9%56.7%8.5%2.4%429.3K-1.1M-196.8K1.3919.20N/AN/A21329744,08833,540
2010-06-16$22.20$22.0053.9%15.4%66.6%44.2%52.9%5.3%0.5%752.0K-8.1M-203.1K0.0320.66N/AN/A15,20338944,07233,675
2010-06-17$21.85$22.0051.8%14.8%66.6%38.9%52.1%6.7%3.0%887.3K-6.9M-202.1K0.8220.16N/AN/A60149548,00533,600
2010-06-18$21.87$22.0049.6%14.2%61.2%33.6%50.3%7.0%3.0%1.2M-6.4M-199.3K0.9318.88N/AN/A25723948,05333,730
2010-06-21$22.06$22.0049.0%14.0%60.6%32.0%48.4%5.7%2.6%314.1K-6.4M-194.9K0.2717.39N/AN/A1,34635934,80128,261
2010-06-22$21.18$22.0052.7%15.1%61.8%41.2%53.0%7.3%3.2%224.0K-1.3M-187.3K0.4617.90N/AN/A91642535,77928,547
2010-06-23$21.20$22.0052.0%14.9%61.8%39.8%52.5%7.4%3.3%240.4K-1.5M-187.9K0.2116.27N/AN/A76215936,28928,615
2010-06-24$20.39$21.0056.9%16.3%62.0%52.0%57.3%7.5%1.9%143.7K2.5M-178.8K1.0618.06N/AN/A72076036,66928,660
2010-06-25$20.90$21.0052.9%15.2%60.0%42.2%41.1%8.0%2.6%203.8K94.9K-186.1K0.2018.63N/AN/A1,17423936,96229,233
2010-06-28$20.55$21.0053.3%15.3%59.2%43.2%54.4%5.7%2.9%150.2K2.3M-177.4K0.0815.49N/AN/A5264437,60729,368
2010-06-29$19.03$21.0061.6%17.7%64.4%63.9%62.2%9.8%0.3%-34.5K9.2M-162.5K0.6517.94N/AN/A1,25481137,87629,377
2010-06-30$18.74$21.0062.0%17.8%62.7%64.9%61.7%7.0%0.9%-71.5K10.2M-159.3K0.4512.64N/AN/A1,01445938,92030,038