TEX Options History — May 2011

In May 2011, TEX traded between $27.71 and $33.91. ATM implied volatility averaged 38.5%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 0.5% (HV 20d: 39.0%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2011-05-17: Highest Volume — 4,353 contracts
  • 2011-05-03: Largest IV spike — 8.2% change
  • 2011-05-17: Highest IV Rank — 23.2%
  • 2011-05-17: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.43$27.71$33.91$33.91$29.65
Max Pain$32.19$32.00$33.00$33.00$32.00
ATM IV38.5%34.3%42.4%35.5%34.6%
Expected Move11.1%9.8%12.1%10.2%9.9%
HV 20d39.0%32.9%43.5%43.0%36.9%
HV 60d40.1%37.7%41.9%40.0%37.9%
IV Rank14.5%4.9%23.2%7.7%5.6%
IV Percentile22.6%2.4%44.0%6.7%4.0%
Term Structure0.8%-0.7%2.7%1.5%2.7%
VWIV38.7%33.9%41.3%37.1%36.9%
Skew 25d4.6%3.0%6.0%3.3%3.0%
Skew 10d10.3%7.4%20.3%7.4%20.3%
Call IV 25d37.0%33.3%39.9%35.4%34.3%
Put IV 25d41.6%36.3%45.6%38.7%37.3%
Bid-Ask Spread %17.5311.7222.6020.2517.18
Gamma HHI0.100.080.130.120.10
Net GEX339.2K-300.9K1.8M1.8M-172.6K
Net DEX3.7M-31.7M19.6M-31.7M7.0M
Net VEX-252.4K-327.3K-204.0K-327.3K-219.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.113.230.720.78
Total Volume1,301.1436044,3531,447969
Total OI68,927.14359,81875,84369,17862,007

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$33.91$33.0035.5%10.2%43.0%7.7%37.1%3.3%1.5%1.8M-31.7M-327.3K0.7220.25N/AN/A84360443,10126,077
2011-05-03$32.95$33.0038.5%11.0%43.2%14.4%39.1%5.3%0.5%1.4M-20.0M-312.3K1.2521.58N/AN/A8381,04643,26326,110
2011-05-04$31.94$33.0039.0%11.2%43.5%15.6%38.4%3.2%0.3%859.5K-8.3M-293.3K0.3020.90N/AN/A83725443,55126,795
2011-05-05$31.65$33.0040.1%11.5%40.1%18.0%40.7%3.6%0.0%740.6K-5.3M-285.5K1.8019.15N/AN/A50791543,67026,859
2011-05-06$31.96$32.0038.6%11.4%40.4%14.7%38.3%6.0%0.7%890.5K-8.5M-289.2K0.3814.35N/AN/A55720943,77326,856
2011-05-09$32.15$32.0038.1%11.3%38.8%13.5%40.1%5.6%0.7%963.8K-9.6M-285.1K0.1812.61N/AN/A5179143,89326,898
2011-05-10$32.12$32.0037.0%11.0%38.8%11.0%37.5%5.2%0.4%906.2K-8.3M-278.4K0.1116.30N/AN/A6327243,88126,917
2011-05-11$30.93$32.0039.0%11.3%39.4%15.6%41.3%5.1%-0.1%384.3K3.6M-256.9K1.2611.72N/AN/A65482344,13526,905
2011-05-12$31.72$32.0038.5%11.0%40.7%14.4%38.7%4.6%0.2%640.9K-3.2M-268.3K0.1514.15N/AN/A1,54722544,31827,431
2011-05-13$31.30$32.0040.6%11.6%40.7%19.1%39.8%4.7%0.0%643.4K-408.4K-263.4K0.2417.61N/AN/A48911545,31827,578
2011-05-16$30.04$32.0041.7%11.9%42.9%21.6%40.8%5.8%0.2%80.6K12.1M-234.2K0.3412.84N/AN/A1,13138945,36327,590
2011-05-17$28.97$32.0042.4%12.1%42.4%23.2%41.1%5.7%-0.7%-157.5K19.2M-219.3K1.7516.96N/AN/A1,5842,76945,87327,747
2011-05-18$29.63$32.0039.8%11.4%42.3%17.4%38.9%5.0%0.6%-217.7K17.0M-241.3K0.5916.90N/AN/A46227346,30129,320
2011-05-19$29.64$32.0038.6%11.1%42.1%14.7%39.6%5.4%0.7%-300.9K17.0M-238.5K3.2321.13N/AN/A20064646,22329,322
2011-05-20$29.36$32.0038.6%11.1%32.9%15.1%39.0%4.2%1.4%-178.6K19.6M-231.6K0.6118.74N/AN/A88354346,27729,566
2011-05-23$28.23$32.0040.8%11.7%34.7%20.1%40.9%5.3%0.3%-214.2K15.1M-215.1K0.9818.88N/AN/A62161133,91925,899
2011-05-24$27.71$32.0039.3%11.3%32.9%16.8%37.9%4.6%0.6%-251.3K18.4M-204.0K0.5217.90N/AN/A65434234,12426,331
2011-05-25$27.84$32.0037.1%10.6%33.4%11.5%36.7%3.7%1.7%-258.9K18.2M-205.0K0.2622.60N/AN/A1,30234434,42326,438
2011-05-26$28.27$32.0036.6%10.5%34.5%10.3%35.3%4.0%1.7%-230.3K14.8M-211.9K0.2619.13N/AN/A75419535,18726,461
2011-05-27$29.05$32.0034.3%9.8%36.0%4.9%33.9%3.0%2.6%-203.3K10.4M-219.5K0.4017.25N/AN/A62725035,27626,494
2011-05-31$29.65$32.0034.6%9.9%36.9%5.6%36.9%3.0%2.7%-172.6K7.0M-219.8K0.7817.18N/AN/A54442535,47626,531