TEX Options History — October 2010

In October 2010, TEX traded between $22.04 and $24.76. ATM implied volatility averaged 41.5%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 4.6% (HV 20d: 36.9%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-10-21: Highest Volume — 9,546 contracts
  • 2010-10-14: Largest IV spike — 22.4% change
  • 2010-10-14: Highest IV Rank — 23.9%
  • 2010-10-04: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.45$22.04$24.76$23.33$22.45
Max Pain$22.52$20.00$24.00$20.00$23.00
ATM IV41.5%36.0%45.6%40.1%42.7%
Expected Move12.5%11.4%13.6%11.5%12.3%
HV 20d36.9%33.6%46.4%33.9%40.9%
HV 60d45.0%42.3%48.4%48.4%43.0%
IV Rank13.7%0.0%23.9%10.0%16.8%
IV Percentile14.5%0.0%32.5%5.2%22.2%
Term Structure0.3%-1.4%6.2%6.2%-0.2%
VWIV44.2%40.2%49.6%41.2%42.8%
Skew 25d5.7%3.4%8.2%3.9%4.9%
Skew 10d11.4%5.4%15.0%7.5%8.1%
Call IV 25d41.4%37.7%44.7%39.0%40.4%
Put IV 25d47.1%42.1%51.8%42.8%45.2%
Bid-Ask Spread %17.089.7523.5716.0519.63
Gamma HHI0.200.120.710.200.14
Net GEX699.4K146.3K2.1M914.4K262.9K
Net DEX-22.9M-38.1M-4.6M-30.8M-7.9M
Net VEX-155.9K-173.1K-141.7K-163.7K-156.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.053.280.260.05
Total Volume2,392.5712169,5461,0241,771
Total OI60,891.33346,91467,59265,63057,754

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$23.33$20.0040.1%11.5%33.9%10.0%41.2%3.9%6.2%914.4K-30.8M-163.7K0.2616.05N/AN/A81221239,00826,622
2010-10-04$22.98$22.0043.6%13.6%34.6%18.7%48.9%7.0%0.4%899.2K-26.5M-160.0K1.6711.46N/AN/A23439038,66226,789
2010-10-05$23.77$22.0041.2%13.1%35.2%12.7%45.4%8.2%-0.1%932.1K-34.2M-158.8K0.419.75N/AN/A91037738,82726,825
2010-10-06$23.83$22.0040.1%13.0%35.1%10.0%46.7%7.1%0.4%953.7K-34.8M-157.8K0.7111.94N/AN/A29721038,85826,829
2010-10-07$23.75$22.0038.7%12.9%35.3%6.6%44.7%6.4%0.7%997.2K-34.5M-152.6K0.4312.97N/AN/A1516538,88826,878
2010-10-08$24.06$22.0036.0%12.7%35.2%0.0%46.7%6.4%0.2%997.3K-37.4M-151.9K0.4214.71N/AN/A2,9911,25538,92226,920
2010-10-11$23.91$22.0041.0%13.1%33.7%12.4%49.6%7.5%-0.5%1.1M-37.3M-154.8K1.0116.85N/AN/A45446040,05427,538
2010-10-12$24.32$22.0041.4%12.9%33.6%13.4%45.9%7.0%-0.2%968.1K-38.1M-147.5K0.5218.02N/AN/A50026138,28227,732
2010-10-13$24.06$22.0037.2%13.2%34.1%3.0%46.7%6.1%-1.4%1.1M-35.9M-144.3K0.8319.15N/AN/A65854838,28227,794
2010-10-14$23.94$22.0045.6%13.1%34.0%23.9%45.5%6.7%-1.1%943.4K-31.3M-141.7K0.2318.11N/AN/A90820836,66228,134
2010-10-15$23.93$22.0045.0%12.9%33.7%22.3%43.6%5.6%-0.7%2.1M-30.3M-143.9K0.2521.66N/AN/A4,1561,02136,55528,226
2010-10-18$24.60$24.0043.3%12.4%34.0%18.3%43.7%6.0%-0.5%327.6K-19.3M-150.4K0.2316.38N/AN/A5,1671,19326,62820,286
2010-10-19$24.01$23.0045.4%13.0%35.4%23.5%45.5%6.3%-0.9%425.4K-17.9M-157.3K0.2123.57N/AN/A1,64335230,09821,216
2010-10-20$24.76$23.0043.9%12.6%36.1%19.8%46.5%5.2%-0.8%567.7K-24.1M-161.3K3.2821.43N/AN/A1,9006,23231,06821,427
2010-10-21$22.73$24.0040.9%11.7%46.4%12.3%41.8%5.1%1.0%146.3K-6.9M-169.7K1.4217.61N/AN/A3,9505,59632,34925,559
2010-10-22$22.96$24.0039.6%11.4%40.5%9.1%40.2%4.5%1.7%166.0K-8.9M-173.1K0.7220.74N/AN/A1,34196132,64326,501
2010-10-25$22.59$23.0040.6%11.6%40.7%11.4%40.6%5.4%-0.3%271.8K-8.4M-161.4K0.8518.30N/AN/A46539332,98724,181
2010-10-26$22.24$23.0041.9%12.0%41.0%14.8%40.8%3.6%1.3%215.0K-6.2M-157.1K0.2815.14N/AN/A94426333,06124,373
2010-10-27$22.23$23.0041.8%12.0%41.0%14.5%41.0%3.4%0.8%203.5K-6.0M-156.0K0.6817.78N/AN/A34423533,22724,379
2010-10-28$22.04$23.0041.4%11.9%40.8%13.3%40.5%3.4%1.0%171.6K-4.6M-155.0K0.3917.49N/AN/A30011633,26424,430
2010-10-29$22.45$23.0042.7%12.3%40.9%16.8%42.8%4.9%-0.2%262.9K-7.9M-156.3K0.0519.63N/AN/A1,6809133,32224,432