TEX Options History — January 2011

In January 2011, TEX traded between $28.80 and $32.66. ATM implied volatility averaged 41.7%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 7.5% (HV 20d: 34.2%). Max pain ranged from $22.50 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2011-01-05: Highest Volume — 7,956 contracts
  • 2011-01-13: Largest IV spike — 30.1% change
  • 2011-01-20: Highest IV Rank — 34.9%
  • 2011-01-20: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.93$28.80$32.66$31.45$32.43
Max Pain$28.55$22.50$31.00$22.50$31.00
ATM IV41.7%33.5%48.0%37.3%47.4%
Expected Move12.4%10.7%13.8%10.7%13.6%
HV 20d34.2%25.8%39.5%25.8%38.8%
HV 60d37.1%34.7%39.4%37.0%36.3%
IV Rank20.3%1.2%34.9%10.0%33.5%
IV Percentile33.1%0.8%61.9%7.9%61.9%
Term Structure-0.6%-4.4%7.3%5.7%-4.2%
VWIV44.9%37.9%51.8%37.9%48.1%
Skew 25d5.7%3.3%6.9%3.8%5.9%
Skew 10d13.7%5.9%20.4%5.9%16.5%
Call IV 25d41.5%35.3%45.9%35.3%44.7%
Put IV 25d47.1%39.2%52.4%39.2%50.6%
Bid-Ask Spread %15.1911.1820.5913.7320.59
Gamma HHI0.130.090.280.120.09
Net GEX413.2K157.7K813.6K716.9K400.4K
Net DEX-46.3M-75.2M-29.5M-61.4M-34.2M
Net VEX-216.0K-245.4K-163.8K-163.8K-241.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.097.650.240.09
Total Volume2,918.46447,9561,4561,693
Total OI64,369.4543,67183,47359,22647,541

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$31.45$22.5037.3%10.7%25.8%10.0%37.9%3.8%5.7%716.9K-61.4M-163.8K0.2413.73N/AN/A1,17628034,35124,875
2011-01-04$30.16$22.5038.4%11.0%31.1%12.5%38.5%4.6%5.5%698.5K-51.2M-168.9K2.4313.76N/AN/A1,6714,06234,41325,033
2011-01-05$30.00$25.0037.3%10.7%30.3%10.0%38.4%3.3%6.4%316.6K-47.2M-183.5K7.6511.18N/AN/A9207,03635,25728,534
2011-01-06$29.25$25.0037.8%10.8%30.9%11.2%38.9%3.9%7.3%231.1K-37.6M-208.7K0.6214.04N/AN/A1,31882035,35934,595
2011-01-07$28.84$29.0037.3%12.8%31.6%10.0%45.7%6.9%-1.3%260.7K-34.6M-209.4K0.5917.90N/AN/A67039436,22934,965
2011-01-10$28.80$29.0038.1%13.0%31.6%11.8%48.5%6.5%-2.2%229.7K-34.3M-205.0K0.3217.83N/AN/A1,38244736,26035,050
2011-01-11$28.99$29.0036.1%12.5%31.5%7.3%49.3%5.8%-1.0%232.5K-36.4M-208.1K2.9217.30N/AN/A6341,85137,12135,268
2011-01-12$29.53$29.0033.5%12.1%31.1%1.2%43.1%5.2%-0.4%157.7K-42.0M-213.5K0.4013.16N/AN/A50119937,46236,421
2011-01-13$31.25$29.0043.5%12.5%35.8%24.6%44.7%6.5%-1.7%371.2K-60.4M-207.4K0.3413.04N/AN/A3,9261,34237,57936,508
2011-01-14$31.69$29.0043.4%12.4%35.9%24.3%43.4%5.4%-2.0%523.7K-66.3M-210.1K0.7812.91N/AN/A1,4371,11938,83737,225
2011-01-18$32.66$29.0044.3%12.7%36.1%26.4%46.5%5.3%-2.8%813.6K-75.2M-205.5K0.4317.76N/AN/A3,8391,66839,23637,784
2011-01-19$31.36$30.0046.1%13.2%39.5%30.4%47.3%6.5%-3.5%420.6K-61.7M-222.5K0.1914.37N/AN/A3,00658640,19039,121
2011-01-20$30.96$30.0048.0%13.8%35.4%34.9%51.8%6.5%-4.4%251.5K-59.3M-236.7K2.8113.66N/AN/A1,1173,14241,90139,419
2011-01-21$31.19$30.0046.4%13.3%35.5%31.2%47.4%6.9%-2.8%676.8K-63.3M-237.8K0.2313.89N/AN/A2,66460641,86941,604
2011-01-24$31.70$30.0044.1%12.6%35.8%25.8%45.5%6.4%-2.1%356.2K-29.6M-236.7K0.4917.17N/AN/A90744121,54622,125
2011-01-25$31.63$30.0043.8%12.6%35.9%25.2%45.0%6.4%-2.0%373.8K-29.5M-235.6K0.1115.09N/AN/A2,67428222,02822,387
2011-01-26$32.52$30.0043.2%12.4%37.1%23.9%44.9%5.6%-1.7%485.8K-36.2M-238.2K1.3314.61N/AN/A1,1431,51522,72822,529
2011-01-27$32.54$31.0043.0%12.3%36.9%23.4%46.4%5.8%-1.9%400.4K-35.2M-241.7K1.0614.31N/AN/A60964723,01823,651
2011-01-28$31.75$31.0045.5%13.0%38.2%29.1%46.4%6.4%-2.6%346.0K-29.5M-245.4K0.9317.54N/AN/A33431023,25424,116
2011-01-31$32.43$31.0047.4%13.6%38.8%33.5%48.1%5.9%-4.2%400.4K-34.2M-241.4K0.0920.59N/AN/A1,55413923,37924,162