TEX Options History — April 2011

In April 2011, TEX traded between $31.70 and $38.02. ATM implied volatility averaged 37.5%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 1.1% (HV 20d: 36.4%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2011-04-21: Highest Volume — 11,019 contracts
2011-04-21: Largest IV drop — 20.5% change
2011-04-14: Highest IV Rank — 23.7%
2011-04-12: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.54	$31.70	$38.02	$37.06	$34.78
Max Pain	$33.45	$32.00	$36.00	$32.00	$33.00
ATM IV	37.5%	32.2%	43.2%	35.9%	33.5%
Expected Move	11.3%	9.2%	12.7%	10.3%	9.6%
HV 20d	36.4%	30.2%	42.4%	33.5%	42.3%
HV 60d	41.3%	39.8%	43.1%	40.6%	39.8%
IV Rank	11.1%	0.0%	23.7%	6.7%	3.1%
IV Percentile	15.3%	0.0%	41.7%	4.8%	1.6%
Term Structure	0.5%	-1.4%	4.8%	4.8%	2.4%
VWIV	39.3%	32.6%	45.1%	36.8%	33.4%
Skew 25d	5.5%	3.1%	7.2%	4.6%	3.9%
Skew 10d	12.1%	8.0%	16.0%	10.8%	8.3%
Call IV 25d	37.2%	29.7%	41.3%	34.1%	32.1%
Put IV 25d	42.7%	35.0%	47.3%	38.7%	36.0%
Bid-Ask Spread %	14.38	7.97	20.89	14.14	19.93
Gamma HHI	0.12	0.08	0.16	0.12	0.12
Net GEX	1.0M	408.0K	2.1M	874.9K	2.1M
Net DEX	-36.8M	-73.5M	-8.6M	-60.3M	-43.1M
Net VEX	-291.2K	-344.2K	-257.5K	-296.2K	-344.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.05	3.96	3.96	0.12
Total Volume	3,679.85	856	11,019	2,113	885
Total OI	63,591.5	50,541	71,422	64,772	68,952

Daily Data (20 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
2011-04-01	$37.06	$32.00	35.9%	10.3%	33.5%	6.7%	36.8%	4.6%	4.8%	874.9K	-60.3M	-296.2K	3.96	14.14	N/A	N/A	426	1,687	33,727	31,045
2011-04-04	$37.60	$36.00	36.5%	11.6%	33.3%	8.2%	45.1%	6.0%	-0.4%	1.0M	-66.6M	-287.1K	0.05	11.76	N/A	N/A	2,670	132	33,940	31,120
2011-04-05	$38.02	$33.00	36.1%	11.6%	33.2%	7.2%	41.4%	6.3%	-0.3%	1.1M	-73.5M	-290.6K	0.34	7.97	N/A	N/A	977	334	34,767	31,233
2011-04-06	$36.01	$33.00	36.2%	11.9%	38.9%	7.6%	42.3%	6.6%	-0.6%	756.3K	-51.6M	-291.5K	0.53	13.18	N/A	N/A	4,012	2,116	35,039	31,335
2011-04-07	$35.66	$34.00	35.7%	12.1%	34.8%	6.3%	41.9%	6.0%	-0.8%	681.7K	-49.2M	-303.5K	0.77	12.30	N/A	N/A	705	540	37,078	32,072
2011-04-08	$34.35	$34.00	36.5%	12.4%	36.6%	8.2%	43.7%	7.2%	-0.6%	445.5K	-33.5M	-292.6K	1.62	12.03	N/A	N/A	1,977	3,195	37,149	32,325
2011-04-11	$34.05	$34.00	40.8%	12.4%	35.6%	18.2%	41.8%	6.9%	-0.9%	521.2K	-31.8M	-285.3K	0.14	12.61	N/A	N/A	1,333	192	37,620	32,379
2011-04-12	$33.00	$34.00	39.9%	12.7%	36.9%	16.1%	43.0%	6.0%	-1.4%	408.0K	-21.3M	-274.6K	1.30	14.60	N/A	N/A	1,005	1,306	37,785	32,342
2011-04-13	$33.06	$34.00	36.4%	12.3%	36.7%	8.1%	42.2%	6.2%	-0.2%	465.5K	-21.0M	-271.0K	0.49	15.31	N/A	N/A	715	349	37,256	31,534
2011-04-14	$33.32	$34.00	43.2%	12.4%	30.9%	23.7%	42.3%	6.0%	-0.6%	608.3K	-23.0M	-272.7K	0.14	13.77	N/A	N/A	3,521	493	37,325	31,722
2011-04-15	$33.01	$33.00	42.4%	12.1%	30.2%	21.8%	40.6%	5.3%	-0.9%	945.5K	-22.2M	-276.9K	0.34	11.61	N/A	N/A	2,161	726	39,509	31,913
2011-04-18	$31.70	$33.00	43.1%	12.3%	30.6%	23.5%	41.8%	5.3%	-0.8%	533.7K	-8.6M	-257.5K	0.30	12.85	N/A	N/A	1,153	344	29,301	21,240
2011-04-19	$32.48	$34.00	42.4%	12.2%	32.6%	21.9%	40.7%	6.7%	-0.7%	649.0K	-13.1M	-266.5K	0.18	15.36	N/A	N/A	5,678	1,035	29,443	21,432
2011-04-20	$32.68	$33.00	40.5%	11.6%	33.0%	17.4%	40.5%	5.6%	-0.8%	1.1M	-20.0M	-285.0K	0.30	12.24	N/A	N/A	4,167	1,266	33,953	22,286
2011-04-21	$34.89	$33.00	32.2%	9.2%	41.7%	0.0%	32.6%	5.4%	2.7%	1.5M	-38.9M	-297.4K	0.10	20.89	N/A	N/A	10,047	972	33,591	23,145
2011-04-25	$34.56	$33.00	34.4%	9.9%	41.2%	5.0%	34.1%	3.6%	2.7%	1.7M	-37.7M	-305.7K	0.42	19.70	N/A	N/A	1,042	437	35,702	23,319
2011-04-26	$35.25	$33.00	34.6%	9.9%	41.9%	5.6%	34.2%	4.5%	2.2%	1.5M	-41.6M	-301.4K	0.15	16.86	N/A	N/A	3,930	595	34,059	23,497
2011-04-27	$35.01	$33.00	34.9%	10.0%	41.9%	6.3%	35.1%	4.8%	2.2%	1.8M	-43.2M	-313.8K	0.23	12.68	N/A	N/A	698	158	37,161	23,748
2011-04-28	$34.29	$33.00	34.9%	10.0%	42.4%	6.2%	33.1%	3.1%	1.4%	1.6M	-34.8M	-309.5K	0.39	17.82	N/A	N/A	7,647	2,971	37,030	23,756
2011-04-29	$34.78	$33.00	33.5%	9.6%	42.3%	3.1%	33.4%	3.9%	2.4%	2.1M	-43.1M	-344.2K	0.12	19.93	N/A	N/A	788	97	42,931	26,021