TEX Options History — August 2010

In August 2010, TEX traded between $18.12 and $21.38. ATM implied volatility averaged 50.6%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 1.7% (HV 20d: 52.4%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2010-08-20: Highest Volume — 19,500 contracts
  • 2010-08-11: Largest IV spike — 16.5% change
  • 2010-08-20: Highest IV Rank — 52.6%
  • 2010-08-20: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.74$18.12$21.38$20.89$18.21
Max Pain$19.23$19.00$20.00$19.00$19.00
ATM IV50.6%42.7%57.1%46.5%53.6%
Expected Move14.6%13.0%16.4%13.3%15.4%
HV 20d52.4%45.2%58.4%58.0%45.3%
HV 60d57.7%52.5%65.9%65.9%52.5%
IV Rank36.4%16.5%52.6%26.0%43.8%
IV Percentile41.9%13.1%70.6%25.0%54.0%
Term Structure0.3%-3.5%2.3%0.7%0.6%
VWIV51.3%44.2%57.5%46.7%53.5%
Skew 25d6.8%2.7%10.0%7.5%4.5%
Skew 10d12.4%1.9%17.9%16.4%4.7%
Call IV 25d48.3%41.7%57.4%44.3%51.6%
Put IV 25d55.1%48.7%60.1%51.9%56.1%
Bid-Ask Spread %19.5210.9126.0010.9125.17
Gamma HHI0.120.080.320.090.14
Net GEX160.4K-137.5K749.3K274.9K-137.5K
Net DEX-1.8M-13.9M10.3M-10.1M10.3M
Net VEX-169.2K-194.1K-155.7K-172.9K-163.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.026.610.410.24
Total Volume2,255.90920119,5001,001453
Total OI64,997.54558,35873,80758,35871,803

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$20.89$19.0046.5%13.3%58.0%26.0%46.7%7.5%0.7%274.9K-10.1M-172.9K0.4110.91N/AN/A71029134,05624,302
2010-08-03$20.83$19.0047.1%13.5%56.3%27.5%47.7%7.6%-0.9%287.5K-10.1M-174.7K0.4112.49N/AN/A51020734,40824,447
2010-08-04$21.38$19.0045.2%13.0%56.4%22.8%44.2%7.0%0.4%344.2K-13.9M-176.3K0.2017.10N/AN/A4308634,63524,520
2010-08-05$21.23$19.0046.4%13.3%56.4%25.9%47.1%6.6%0.5%346.2K-13.6M-175.1K0.1518.80N/AN/A4807034,87924,513
2010-08-06$20.95$19.0042.7%13.2%56.2%16.5%46.9%8.5%1.8%344.0K-11.3M-171.0K1.4718.43N/AN/A22332835,12424,542
2010-08-09$21.25$19.0045.4%13.5%55.0%23.2%46.7%8.6%0.9%375.7K-13.4M-169.7K0.4818.46N/AN/A21310235,16124,602
2010-08-10$20.88$19.0044.7%13.1%53.5%21.5%48.7%9.2%1.8%352.8K-11.3M-166.8K0.1519.18N/AN/A1752635,25824,659
2010-08-11$19.63$19.0052.1%14.8%58.3%40.0%54.7%8.5%-0.4%223.6K-1.8M-158.1K6.6118.13N/AN/A5143,39935,25524,659
2010-08-12$19.13$20.0054.7%15.7%58.4%46.5%51.9%10.0%-0.2%58.5K4.1M-159.5K0.9116.64N/AN/A51146635,55427,838
2010-08-13$19.10$20.0054.4%15.6%54.2%46.0%54.7%9.3%0.6%23.2K4.9M-157.6K0.7320.05N/AN/A26219035,52828,010
2010-08-16$19.49$20.0053.4%15.3%54.3%43.5%52.3%8.3%0.5%74.8K1.7M-156.9K0.6321.26N/AN/A22714235,63727,925
2010-08-17$19.86$20.0048.8%14.0%52.4%31.8%49.8%9.9%2.3%121.9K-1.9M-157.6K2.1620.62N/AN/A33271735,74727,977
2010-08-18$19.80$20.0048.5%13.9%51.9%31.2%52.0%7.4%2.2%114.0K-1.4M-155.7K0.0220.86N/AN/A3,8318635,86428,331
2010-08-19$19.22$19.0051.3%14.7%50.3%38.0%52.9%5.4%0.5%161.6K2.4M-155.7K0.1618.10N/AN/A3,09049739,27228,385
2010-08-20$20.10$19.0057.1%16.4%48.3%52.6%57.5%2.7%-3.5%749.3K-9.8M-170.5K0.4021.80N/AN/A13,9255,57540,30428,615
2010-08-23$19.54$19.0051.7%14.8%48.9%39.0%52.1%4.5%0.6%74.3K-186.0K-181.3K0.3220.82N/AN/A4,4241,43137,83029,399
2010-08-24$18.83$19.0055.0%15.8%49.2%47.3%54.9%3.3%-1.0%-26.0K5.1M-194.1K0.6721.14N/AN/A93663040,03933,240
2010-08-25$18.74$19.0053.6%15.4%49.1%43.8%53.4%5.3%0.3%-43.9K6.3M-191.9K0.1826.00N/AN/A1,06519440,39533,412
2010-08-26$18.12$19.0055.2%15.8%46.2%47.8%55.5%5.8%0.2%-72.8K9.2M-172.1K1.1622.50N/AN/A46454040,35230,562
2010-08-27$18.91$19.0052.4%15.0%48.6%41.0%53.9%5.2%0.1%-15.6K5.1M-178.2K0.3624.69N/AN/A50718340,52830,926
2010-08-30$18.15$19.0054.5%15.6%45.2%46.1%51.0%4.3%-0.9%-102.9K9.5M-164.7K0.7316.39N/AN/A68650240,62830,825
2010-08-31$18.21$19.0053.6%15.4%45.3%43.8%53.5%4.5%0.6%-137.5K10.3M-163.1K0.2425.17N/AN/A3658840,68131,122