TEX Options History — December 2010

In December 2010, TEX traded between $25.37 and $31.04. ATM implied volatility averaged 37.2%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.4% (HV 20d: 36.7%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.47.

Notable Days

  • 2010-12-15: Highest Volume — 6,972 contracts
  • 2010-12-13: Largest IV spike — 27.0% change
  • 2010-12-14: Highest IV Rank — 22.9%
  • 2010-12-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.52$25.37$31.04$25.37$31.04
Max Pain$22.00$21.00$23.00$22.00$22.50
ATM IV37.2%33.0%43.8%41.0%36.2%
Expected Move10.6%9.4%11.8%11.8%10.4%
HV 20d36.7%26.6%42.8%40.4%26.6%
HV 60d38.4%36.6%39.4%38.4%37.0%
IV Rank7.9%0.0%22.9%16.1%7.5%
IV Percentile7.5%0.0%40.5%16.7%5.2%
Term Structure5.3%0.3%7.8%0.3%6.0%
VWIV37.7%33.4%45.5%40.1%37.1%
Skew 25d4.7%2.7%6.5%5.8%5.0%
Skew 10d11.2%6.5%18.8%9.7%9.3%
Call IV 25d35.3%32.3%37.8%37.8%34.2%
Put IV 25d40.0%35.5%43.7%43.7%39.3%
Bid-Ask Spread %16.2811.1122.9122.9115.26
Gamma HHI0.190.130.240.200.13
Net GEX925.5K659.3K1.7M786.5K753.9K
Net DEX-49.2M-60.8M-29.2M-29.2M-59.5M
Net VEX-164.9K-171.3K-159.8K-165.2K-167.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.101.730.440.27
Total Volume1,926.0914516,9727861,089
Total OI58,70855,46064,50456,61759,507

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$25.37$22.0041.0%11.8%40.4%16.1%40.1%5.8%0.3%786.5K-29.2M-165.2K0.4422.91N/AN/A54723933,65022,967
2010-12-02$26.52$22.0037.5%10.7%42.8%7.6%39.7%3.1%1.5%895.9K-38.9M-164.6K0.6419.13N/AN/A1,6461,05934,00123,006
2010-12-03$27.21$23.0037.6%10.8%40.8%7.9%39.0%2.9%1.5%888.8K-44.5M-166.9K0.4217.83N/AN/A1,02342934,54723,501
2010-12-06$27.41$21.0038.8%11.2%40.8%10.8%39.1%6.3%5.3%903.1K-46.6M-166.8K0.3715.67N/AN/A72827134,74023,527
2010-12-07$26.95$21.0039.2%11.2%40.4%11.8%41.0%6.5%4.7%983.8K-42.8M-164.2K0.7318.17N/AN/A1,36899734,92623,614
2010-12-08$26.40$21.0038.3%11.4%41.1%9.5%38.7%5.4%4.8%975.3K-36.9M-169.9K0.5117.15N/AN/A34317634,88624,539
2010-12-09$26.62$21.0036.3%10.6%39.3%4.9%36.4%5.4%6.2%1.0M-39.2M-165.6K1.7317.44N/AN/A21737534,89224,553
2010-12-10$26.91$21.0034.3%10.6%39.1%0.0%36.3%5.9%5.8%1.0M-41.7M-164.9K0.2415.25N/AN/A3648734,94124,809
2010-12-13$27.18$22.5043.5%10.9%36.8%22.2%40.8%4.5%5.6%1.0M-44.8M-159.8K0.4118.57N/AN/A2,9291,19834,98924,798
2010-12-14$27.84$21.0043.8%10.9%36.5%22.9%45.5%5.4%5.5%1.4M-51.6M-161.4K0.4917.16N/AN/A1,40369036,44224,684
2010-12-15$27.48$21.0040.0%11.5%35.8%13.8%38.3%5.1%4.6%1.5M-48.8M-166.5K0.1413.10N/AN/A6,14083237,23724,526
2010-12-16$27.62$22.5038.5%11.0%35.8%10.1%38.0%5.8%5.6%1.7M-50.5M-171.3K0.2911.11N/AN/A81223539,05725,010
2010-12-17$28.40$22.5037.0%10.6%36.1%6.6%39.1%4.7%5.7%714.7K-60.8M-167.5K0.1611.67N/AN/A2,69642239,60424,900
2010-12-20$28.96$22.5034.7%9.9%36.4%1.0%34.8%3.7%6.3%774.2K-45.6M-165.7K0.3715.71N/AN/A1,03838232,80222,658
2010-12-21$30.52$22.5033.4%9.6%39.8%0.0%33.4%3.7%6.1%795.7K-56.3M-161.8K0.1316.39N/AN/A3,55645133,08522,878
2010-12-22$30.61$22.5033.7%9.7%36.5%0.8%35.0%4.0%6.9%692.4K-55.4M-161.1K0.8715.55N/AN/A1,1661,01532,48823,128
2010-12-23$30.85$22.5033.0%9.4%35.2%0.0%33.5%2.7%7.8%693.7K-57.3M-163.8K0.1514.39N/AN/A1,24018132,92723,817
2010-12-27$30.86$22.5035.5%10.2%34.0%6.0%36.0%3.7%6.3%747.9K-58.3M-165.5K0.1016.71N/AN/A1,13611033,69523,960
2010-12-28$30.99$22.5034.7%9.9%32.7%4.0%35.1%3.1%7.1%697.5K-58.2M-162.7K0.3215.82N/AN/A46315033,18623,979
2010-12-29$30.79$22.5034.6%9.9%31.7%3.9%35.8%5.1%6.9%711.1K-56.6M-163.9K1.2918.42N/AN/A38449433,31024,054
2010-12-30$30.97$22.5036.2%10.4%29.4%7.6%35.9%4.9%6.4%659.3K-57.9M-161.7K0.2614.66N/AN/A1,81847533,35424,402
2010-12-31$31.04$22.5036.2%10.4%26.6%7.5%37.1%5.0%6.0%753.9K-59.5M-167.8K0.2715.26N/AN/A85823134,70924,798