TEX Options History — March 2011

In March 2011, TEX traded between $33.00 and $37.94. ATM implied volatility averaged 41.6%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 2.7% (HV 20d: 44.3%). Max pain ranged from $29.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.79.

Notable Days

2011-03-18: Highest Volume — 5,860 contracts
2011-03-03: Largest IV drop — 14.1% change
2011-03-16: Highest IV Rank — 38.6%
2011-03-16: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.65	$33.00	$37.94	$33.00	$37.04
Max Pain	$30.39	$29.00	$35.00	$35.00	$32.00
ATM IV	41.6%	37.1%	49.6%	46.2%	37.2%
Expected Move	12.1%	10.6%	14.2%	13.2%	10.7%
HV 20d	44.3%	34.1%	51.3%	47.3%	34.1%
HV 60d	40.7%	37.9%	42.1%	38.2%	40.6%
IV Rank	20.1%	9.7%	38.6%	30.7%	9.8%
IV Percentile	33.8%	8.7%	71.4%	59.9%	9.1%
Term Structure	2.1%	-1.0%	5.4%	-0.9%	4.5%
VWIV	43.1%	37.0%	52.3%	50.6%	37.0%
Skew 25d	6.2%	4.4%	7.6%	6.9%	4.4%
Skew 10d	13.1%	10.2%	21.9%	13.3%	11.1%
Call IV 25d	39.7%	34.5%	47.4%	44.0%	35.4%
Put IV 25d	45.9%	39.7%	54.8%	50.9%	39.7%
Bid-Ask Spread %	14.64	11.46	18.59	15.93	13.90
Gamma HHI	0.11	0.07	0.44	0.07	0.12
Net GEX	900.0K	421.4K	2.3M	421.4K	812.7K
Net DEX	-51.8M	-69.7M	-26.8M	-26.8M	-58.6M
Net VEX	-296.3K	-306.8K	-284.9K	-290.6K	-297.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.12	2.65	0.14	0.14
Total Volume	2,287.217	754	5,860	4,925	850
Total OI	62,224.87	57,370	65,419	57,548	64,160

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-03-01	$33.00	$35.00	46.2%	13.2%	47.3%	30.7%	50.6%	6.9%	-0.9%	421.4K	-26.8M	-290.6K	0.14	15.93	N/A	N/A	4,325	600	30,926	26,622
2011-03-02	$33.38	$31.00	45.2%	12.9%	38.7%	28.3%	47.7%	7.2%	-0.3%	686.5K	-35.8M	-293.2K	0.30	15.23	N/A	N/A	1,839	548	33,348	26,617
2011-03-03	$35.53	$31.00	38.8%	11.1%	43.9%	13.6%	44.2%	4.5%	2.8%	907.3K	-56.2M	-297.9K	0.44	18.59	N/A	N/A	1,970	860	34,165	27,048
2011-03-04	$34.98	$29.00	39.7%	12.1%	43.8%	15.7%	42.0%	6.4%	1.8%	818.3K	-48.7M	-301.3K	0.12	14.70	N/A	N/A	1,663	201	33,931	27,533
2011-03-07	$34.59	$29.00	42.2%	12.5%	43.8%	21.5%	44.7%	6.6%	0.6%	844.7K	-46.3M	-299.8K	0.25	11.46	N/A	N/A	874	219	34,582	27,558
2011-03-08	$35.09	$29.00	41.1%	12.5%	44.2%	18.9%	42.5%	5.9%	1.1%	914.8K	-50.3M	-297.3K	0.51	14.66	N/A	N/A	1,000	512	34,613	27,636
2011-03-09	$34.73	$29.00	39.9%	12.3%	44.3%	16.1%	43.3%	5.7%	0.8%	896.6K	-47.3M	-295.6K	1.86	14.78	N/A	N/A	513	952	35,075	27,772
2011-03-10	$33.15	$29.00	44.6%	12.8%	46.9%	27.0%	44.4%	6.3%	1.7%	748.7K	-32.6M	-294.8K	0.55	16.00	N/A	N/A	2,404	1,333	35,268	28,149
2011-03-11	$34.03	$29.00	43.7%	12.5%	48.1%	25.0%	43.0%	5.6%	1.1%	775.0K	-40.2M	-295.0K	0.24	15.67	N/A	N/A	719	170	35,269	28,721
2011-03-14	$34.88	$29.00	45.6%	13.1%	48.8%	29.4%	44.7%	5.9%	0.7%	847.6K	-49.0M	-290.0K	0.45	12.52	N/A	N/A	1,380	621	35,303	28,230
2011-03-15	$34.40	$29.00	46.9%	13.4%	47.8%	32.3%	47.9%	6.6%	-0.3%	765.7K	-44.6M	-290.8K	1.18	14.60	N/A	N/A	869	1,025	35,518	28,176
2011-03-16	$34.75	$30.00	49.6%	14.2%	47.8%	38.6%	52.3%	7.4%	-1.0%	769.5K	-47.8M	-293.7K	0.26	12.26	N/A	N/A	2,834	729	35,667	28,700
2011-03-17	$36.60	$30.00	45.3%	13.0%	50.4%	28.6%	47.0%	6.5%	0.8%	1.3M	-65.5M	-284.9K	0.48	17.17	N/A	N/A	1,418	685	35,741	29,046
2011-03-18	$37.09	$30.00	43.8%	12.6%	50.5%	25.2%	45.8%	6.7%	1.7%	2.3M	-69.7M	-291.2K	1.40	13.89	N/A	N/A	2,446	3,414	35,934	29,485
2011-03-21	$37.94	$31.00	38.9%	11.2%	51.3%	13.9%	40.7%	7.6%	4.2%	788.6K	-63.5M	-287.8K	0.51	13.36	N/A	N/A	2,303	1,167	29,728	27,642
2011-03-22	$37.35	$31.00	39.4%	11.3%	43.6%	15.0%	40.1%	7.2%	3.9%	855.7K	-60.7M	-297.7K	0.96	14.50	N/A	N/A	897	862	31,029	28,289
2011-03-23	$37.12	$31.00	38.5%	11.0%	41.3%	12.9%	39.0%	6.6%	4.2%	866.7K	-59.1M	-303.9K	1.88	13.34	N/A	N/A	525	986	31,609	28,729
2011-03-24	$36.84	$31.00	37.1%	10.6%	41.0%	9.7%	38.9%	5.0%	5.4%	869.9K	-57.2M	-302.6K	0.32	15.27	N/A	N/A	2,003	648	31,909	28,969
2011-03-25	$37.40	$31.00	37.8%	10.8%	41.0%	11.2%	38.4%	6.2%	4.6%	1.0M	-63.9M	-306.8K	0.52	13.55	N/A	N/A	2,153	1,111	33,184	29,148
2011-03-28	$36.94	$31.00	39.4%	11.3%	41.0%	14.8%	39.3%	5.9%	3.4%	859.9K	-58.6M	-303.1K	2.65	12.32	N/A	N/A	292	774	32,868	30,035
2011-03-29	$36.73	$31.00	38.1%	10.9%	39.9%	11.9%	39.4%	5.5%	4.1%	795.1K	-55.8M	-300.9K	0.65	15.19	N/A	N/A	702	456	32,956	30,454
2011-03-30	$36.48	$31.00	38.7%	11.1%	40.1%	13.3%	37.5%	6.2%	3.6%	778.2K	-53.7M	-299.0K	2.26	17.88	N/A	N/A	231	523	33,192	30,638
2011-03-31	$37.04	$32.00	37.2%	10.7%	34.1%	9.8%	37.0%	4.4%	4.5%	812.7K	-58.6M	-297.5K	0.14	13.90	N/A	N/A	745	105	33,206	30,954