TEX Options History — July 2010

In July 2010, TEX traded between $17.30 and $21.33. ATM implied volatility averaged 54.5%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 1.7% (HV 20d: 56.1%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-07-21: Highest Volume — 9,229 contracts
  • 2010-07-12: Largest IV spike — 26.5% change
  • 2010-07-06: Highest IV Rank — 78.9%
  • 2010-07-06: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.95$17.30$21.33$17.71$19.74
Max Pain$18.57$18.00$21.00$21.00$19.00
ATM IV54.5%46.4%67.6%62.4%48.6%
Expected Move15.8%13.3%18.9%17.9%13.9%
HV 20d56.1%50.0%63.5%63.5%55.0%
HV 60d66.5%65.5%68.6%66.0%65.8%
IV Rank46.0%25.7%78.9%65.9%31.3%
IV Percentile51.4%24.2%92.9%81.3%31.3%
Term Structure-0.5%-3.0%2.6%2.6%0.6%
VWIV54.7%47.5%64.5%64.5%50.9%
Skew 25d8.9%6.3%12.1%7.2%8.0%
Skew 10d17.7%13.2%26.5%13.2%14.9%
Call IV 25d51.2%42.7%61.8%61.8%45.4%
Put IV 25d60.1%50.7%72.4%69.0%53.4%
Bid-Ask Spread %17.1413.0720.4213.9720.25
Gamma HHI0.110.070.210.100.08
Net GEX-9.6K-204.4K256.4K-158.9K190.7K
Net DEX4.7M-12.3M16.6M14.4M-3.0M
Net VEX-151.6K-180.6K-124.2K-144.6K-168.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.122.030.810.64
Total Volume2,136.6193619,2293,524673
Total OI63,28146,98173,85469,11458,100

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$17.71$21.0062.4%17.9%63.5%65.9%64.5%7.2%2.6%-158.9K14.4M-144.6K0.8113.97N/AN/A1,9501,57439,03030,084
2010-07-02$17.85$21.0060.2%17.3%59.2%60.4%60.5%6.6%1.4%-173.0K14.7M-143.0K1.5618.00N/AN/A60193539,29530,272
2010-07-06$17.30$19.0067.6%18.9%53.9%78.9%63.9%12.0%-3.0%-204.1K16.6M-131.7K0.3717.38N/AN/A88132339,50330,243
2010-07-07$17.70$18.0060.6%17.2%54.6%61.4%59.5%12.1%-1.2%-204.4K14.8M-135.4K0.5215.11N/AN/A2,7921,44440,18030,266
2010-07-08$18.12$18.0054.9%16.9%55.4%47.2%56.4%11.5%-2.0%-183.1K12.4M-144.7K0.9815.12N/AN/A49448541,48431,079
2010-07-09$18.69$18.0048.2%15.9%50.8%30.3%54.8%9.0%-1.1%-127.9K9.3M-148.3K0.1616.43N/AN/A95715041,74431,069
2010-07-12$18.20$18.0061.0%16.9%51.3%62.3%59.0%11.3%-1.8%-155.4K11.7M-141.4K0.5814.46N/AN/A33219142,12931,045
2010-07-13$19.10$18.0056.2%16.2%54.7%50.5%55.4%8.8%-1.3%-61.7K6.6M-147.0K0.4419.27N/AN/A81535942,26931,154
2010-07-14$18.98$18.0050.8%16.0%52.2%36.9%54.6%9.5%-0.8%-63.6K6.9M-145.1K0.8518.97N/AN/A19516642,67431,031
2010-07-15$18.50$18.0058.1%16.7%50.0%55.1%56.9%9.7%-2.0%-104.7K9.9M-139.0K0.5616.83N/AN/A50428342,73831,092
2010-07-16$17.48$18.0059.5%17.1%52.8%58.7%56.4%10.6%-2.1%-200.6K15.2M-124.2K2.0316.35N/AN/A7791,58442,74131,113
2010-07-19$17.77$18.0054.6%15.7%53.5%46.4%55.1%10.9%-0.8%-42.6K7.6M-130.6K0.9718.24N/AN/A86483725,91921,062
2010-07-20$18.60$18.0053.0%15.2%56.8%42.5%52.2%7.2%-1.6%-14.1K4.3M-139.0K0.4020.42N/AN/A1,15245626,49221,268
2010-07-21$19.03$18.0056.0%16.1%56.5%49.9%55.9%8.2%-2.1%23.1K1.9M-149.4K0.1216.30N/AN/A8,2251,00427,13621,533
2010-07-22$19.94$18.0048.1%13.8%59.4%30.2%48.3%7.8%1.5%168.1K-3.9M-168.2K0.4513.07N/AN/A3,0661,37730,81622,112
2010-07-23$21.14$18.0046.4%13.3%61.7%25.7%47.5%8.0%1.8%218.5K-10.4M-180.6K0.8515.51N/AN/A2,6752,27831,15022,893
2010-07-26$21.33$19.0048.5%13.9%61.1%31.1%47.8%8.1%-1.1%256.4K-12.3M-180.6K0.1917.71N/AN/A1,13121932,77023,399
2010-07-27$20.62$19.0047.8%13.7%62.1%29.2%50.4%7.7%0.9%241.1K-8.3M-177.1K1.2518.78N/AN/A48460633,41223,509
2010-07-28$20.62$19.0048.8%14.0%55.0%31.7%49.1%7.6%0.5%241.6K-8.2M-177.9K1.4419.02N/AN/A20930033,65523,826
2010-07-29$19.44$19.0052.4%15.0%59.1%40.8%50.4%6.3%0.6%152.6K-864.4K-166.4K0.5918.79N/AN/A95356633,64823,966
2010-07-30$19.74$19.0048.6%13.9%55.0%31.3%50.9%8.0%0.6%190.7K-3.0M-168.8K0.6420.25N/AN/A41026333,96024,140