TEX Options History — September 2010

In September 2010, TEX traded between $19.41 and $22.92. ATM implied volatility averaged 45.0%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 1.0% (HV 20d: 46.0%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2010-09-21: Highest Volume — 3,842 contracts
  • 2010-09-24: Largest IV drop — 10.5% change
  • 2010-09-01: Highest IV Rank — 38.0%
  • 2010-09-01: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.51$19.41$22.92$19.41$22.92
Max Pain$20.10$19.00$21.00$19.00$20.00
ATM IV45.0%41.1%51.2%51.2%42.3%
Expected Move13.0%11.8%14.7%14.7%12.1%
HV 20d46.0%35.0%52.7%50.6%35.0%
HV 60d51.4%48.5%54.4%54.0%48.5%
IV Rank22.4%12.5%38.0%38.0%15.5%
IV Percentile22.7%8.3%42.5%42.5%13.5%
Term Structure3.1%0.8%5.1%1.7%4.7%
VWIV46.3%41.6%52.5%48.4%45.4%
Skew 25d6.2%4.3%8.2%7.7%4.4%
Skew 10d12.7%5.2%18.6%18.6%7.5%
Call IV 25d43.1%39.1%46.8%46.8%41.1%
Put IV 25d49.3%45.1%55.0%54.5%45.5%
Bid-Ask Spread %15.4710.3122.0922.0916.04
Gamma HHI0.160.120.310.130.19
Net GEX676.6K22.9K1.3M22.9K868.8K
Net DEX-17.2M-29.5M1.3M1.3M-26.8M
Net VEX-169.2K-180.7K-161.3K-176.1K-161.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.091.320.950.90
Total Volume1,578.5715913,8421,4872,314
Total OI69,036.52460,72175,23671,50064,569

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$19.41$19.0051.2%14.7%50.6%38.0%48.4%7.7%1.7%22.9K1.3M-176.1K0.9522.09N/AN/A76472340,61230,888
2010-09-02$20.08$19.0046.2%13.3%52.4%25.4%46.8%7.1%3.1%179.2K-4.5M-180.2K0.3421.05N/AN/A70223740,85330,838
2010-09-03$20.42$21.0044.8%13.7%52.7%21.7%47.4%7.8%2.9%304.3K-8.1M-180.7K0.4814.48N/AN/A1,19157741,18630,855
2010-09-07$20.16$21.0048.3%14.6%52.5%30.5%52.5%8.2%0.8%214.5K-5.9M-175.2K0.8014.43N/AN/A39331441,25231,043
2010-09-08$20.50$21.0046.2%14.3%52.7%25.3%50.0%7.5%1.3%343.2K-9.2M-174.8K0.5913.32N/AN/A1,36881341,37730,834
2010-09-09$20.67$21.0048.0%13.8%47.6%29.7%51.6%6.4%2.5%428.8K-10.9M-174.6K0.1615.67N/AN/A97615341,57631,171
2010-09-10$20.62$20.0047.6%13.6%46.4%28.8%48.4%7.5%2.5%432.8K-11.1M-172.2K0.0914.20N/AN/A2,48923241,89231,204
2010-09-13$21.41$20.0047.6%13.7%47.9%28.9%46.6%6.3%2.1%987.5K-22.5M-174.3K0.1616.83N/AN/A1,21619843,67431,247
2010-09-14$21.28$20.0047.3%13.6%47.7%28.2%47.5%5.8%2.4%1.0M-20.7M-172.0K0.4417.31N/AN/A57625343,58431,287
2010-09-15$21.27$20.0046.6%13.4%47.4%26.4%49.7%6.3%1.6%1.1M-20.4M-167.6K0.6710.31N/AN/A73749143,62731,399
2010-09-16$21.67$20.0043.8%12.5%47.7%19.2%47.2%5.7%4.6%1.3M-25.4M-168.2K0.5915.63N/AN/A67039343,64931,587
2010-09-17$22.05$20.0043.4%12.4%46.1%18.3%43.4%5.7%3.4%1.3M-29.5M-166.3K0.1215.69N/AN/A2,70931643,46831,622
2010-09-20$22.59$20.0041.6%11.9%44.4%13.9%42.4%6.5%3.9%594.8K-20.1M-163.8K0.3619.25N/AN/A1,41550635,29125,430
2010-09-21$22.50$20.0043.9%12.6%42.7%19.4%41.6%5.7%3.5%635.9K-20.1M-163.9K0.1715.36N/AN/A3,27157135,89725,279
2010-09-22$22.22$20.0041.9%12.0%40.2%14.4%43.6%5.8%5.1%665.9K-18.4M-164.0K0.4416.09N/AN/A1,60171136,63025,287
2010-09-23$21.42$20.0045.9%13.2%43.1%24.5%45.1%5.9%3.2%574.6K-13.3M-161.3K0.2812.74N/AN/A88524637,58625,860
2010-09-24$22.84$20.0041.1%11.8%44.9%12.5%42.3%6.1%5.0%793.0K-25.4M-166.2K0.3814.55N/AN/A54420738,13725,972
2010-09-27$22.53$20.0043.1%12.3%44.1%17.5%43.5%5.1%3.4%797.8K-23.2M-163.3K1.3214.08N/AN/A50466638,17326,075
2010-09-28$22.56$20.0042.4%12.2%40.2%15.9%43.5%4.3%4.3%828.0K-23.1M-162.9K0.4812.87N/AN/A40019138,25026,047
2010-09-29$22.67$20.0042.7%12.2%40.2%16.6%44.9%5.2%3.8%836.8K-24.4M-163.4K0.4812.92N/AN/A42520238,38926,170
2010-09-30$22.92$20.0042.3%12.1%35.0%15.5%45.4%4.4%4.7%868.8K-26.8M-161.6K0.9016.04N/AN/A1,2171,09738,40126,168