TEX Options History — November 2010

In November 2010, TEX traded between $22.83 and $25.51. ATM implied volatility averaged 40.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 0.5% (HV 20d: 40.9%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2010-11-15: Highest Volume — 4,829 contracts
  • 2010-11-11: Largest IV spike — 13.1% change
  • 2010-11-15: Highest IV Rank — 24.3%
  • 2010-11-15: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.59$22.83$25.51$22.83$24.28
Max Pain$21.71$21.00$23.00$23.00$22.00
ATM IV40.4%34.3%44.4%42.9%43.5%
Expected Move11.7%10.2%12.7%12.3%12.5%
HV 20d40.9%32.7%47.4%41.1%38.2%
HV 60d40.8%37.5%43.1%43.0%37.6%
IV Rank14.0%0.0%24.3%17.3%22.1%
IV Percentile15.3%0.0%35.3%23.0%32.9%
Term Structure0.6%-0.7%2.1%-0.4%-0.4%
VWIV41.4%36.2%46.4%44.4%43.5%
Skew 25d4.9%3.3%5.8%5.1%5.8%
Skew 10d12.3%4.7%23.3%4.7%23.3%
Call IV 25d39.5%35.6%43.3%41.2%42.1%
Put IV 25d44.4%39.0%49.0%46.3%47.9%
Bid-Ask Spread %21.7318.0528.4222.6018.05
Gamma HHI0.240.130.390.130.19
Net GEX868.7K395.1K1.4M395.1K614.3K
Net DEX-26.3M-38.4M-11.4M-11.4M-20.6M
Net VEX-160.9K-167.2K-157.1K-159.1K-158.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.112.400.200.39
Total Volume1,752.0481774,8291,8971,787
Total OI59,892.28652,51265,12558,71755,743

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$22.83$23.0042.9%12.3%41.1%17.3%44.4%5.1%-0.4%395.1K-11.4M-159.1K0.2022.60N/AN/A1,57532234,28624,431
2010-11-02$23.30$22.0043.4%12.4%39.8%18.4%43.8%3.6%0.2%547.6K-16.2M-160.9K0.2920.04N/AN/A99229234,95424,530
2010-11-03$23.58$22.0039.3%11.3%40.1%8.2%39.4%5.4%1.5%607.7K-17.8M-157.6K0.3222.79N/AN/A74623534,96024,551
2010-11-04$24.70$22.0035.6%10.2%43.4%0.0%36.2%3.3%2.1%908.7K-28.7M-160.1K0.2518.94N/AN/A2,98374635,32524,642
2010-11-05$24.70$21.0034.3%10.9%43.2%0.0%38.8%5.3%1.1%971.1K-29.4M-162.7K0.4619.35N/AN/A46921536,29424,807
2010-11-08$24.17$21.0037.8%11.5%43.9%8.5%41.8%4.2%0.0%860.1K-24.2M-157.1K0.3722.41N/AN/A2,12178536,32324,851
2010-11-09$23.93$21.0039.0%11.5%43.6%11.3%40.0%4.9%0.9%765.1K-21.5M-158.4K0.6023.79N/AN/A59235536,58925,091
2010-11-10$24.84$21.0035.2%11.1%45.4%2.2%39.5%5.3%1.1%1.1M-29.4M-157.5K0.1922.32N/AN/A1,01019636,10725,310
2010-11-11$25.23$21.0039.9%11.4%45.6%13.3%39.5%5.0%0.1%1.2M-33.4M-161.8K0.2919.75N/AN/A1,90755336,31825,414
2010-11-12$24.42$21.0042.0%12.1%47.3%18.6%41.5%4.3%0.9%996.9K-26.5M-164.8K0.5919.81N/AN/A87951837,55625,582
2010-11-15$25.13$21.0044.4%12.7%47.4%24.3%44.3%4.0%0.3%1.2M-33.8M-165.9K0.1321.29N/AN/A4,26556437,45025,912
2010-11-16$24.61$22.0044.0%12.6%47.2%23.3%46.4%5.7%0.6%998.1K-27.6M-167.2K0.4025.07N/AN/A1,79872238,25726,302
2010-11-17$24.65$22.0043.9%12.6%45.9%23.1%45.9%4.6%-0.7%1.0M-28.2M-167.1K1.5123.64N/AN/A29544438,37326,619
2010-11-18$25.23$22.0041.6%11.9%33.7%17.6%40.7%5.5%1.2%1.4M-35.5M-164.5K0.3220.57N/AN/A80525638,48326,526
2010-11-19$25.44$22.0040.5%11.6%33.6%14.9%38.4%4.8%1.6%1.4M-38.4M-160.2K0.1124.04N/AN/A2,87131438,61926,506
2010-11-22$25.46$22.0040.4%11.6%32.7%14.7%40.1%5.4%0.5%607.0K-27.7M-157.3K0.4528.42N/AN/A1,30559230,93421,578
2010-11-23$24.60$22.0040.9%11.7%35.0%15.8%40.6%5.1%0.5%594.3K-22.4M-160.3K0.5819.00N/AN/A83648331,75322,058
2010-11-24$25.51$22.0037.5%10.7%36.6%7.6%38.7%4.7%1.6%724.8K-29.1M-160.9K0.2121.06N/AN/A73615232,33822,323
2010-11-26$25.07$22.0039.6%11.3%37.2%12.7%43.4%5.1%1.3%703.1K-26.3M-160.6K2.4020.98N/AN/A5212532,56622,370
2010-11-29$24.69$22.0042.8%12.3%37.7%20.3%43.2%5.4%-0.7%666.2K-23.6M-157.3K0.5322.44N/AN/A59031032,61822,489
2010-11-30$24.28$22.0043.5%12.5%38.2%22.1%43.5%5.8%-0.4%614.3K-20.6M-158.2K0.3918.05N/AN/A1,28450332,97122,772