TEX Options History — June 2011

In June 2011, TEX traded between $24.98 and $28.45. ATM implied volatility averaged 40.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 1.8% (HV 20d: 41.7%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-06-21: Highest Volume — 5,598 contracts
  • 2011-06-06: Largest IV spike — 11.6% change
  • 2011-06-16: Highest IV Rank — 34.8%
  • 2011-06-16: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.45$24.98$28.45$27.90$28.45
Max Pain$30.59$28.00$32.00$32.00$28.00
ATM IV40.0%34.1%44.5%39.4%34.1%
Expected Move11.5%9.8%12.8%11.3%9.8%
HV 20d41.7%38.7%44.2%40.9%42.2%
HV 60d39.4%36.9%41.8%39.7%41.8%
IV Rank21.4%5.4%34.8%16.9%5.4%
IV Percentile36.1%2.4%65.9%31.0%2.4%
Term Structure3.3%0.1%6.7%0.1%6.6%
VWIV40.0%33.4%44.6%38.9%33.4%
Skew 25d5.7%2.8%7.6%2.8%3.3%
Skew 10d12.2%9.1%18.4%10.9%9.1%
Call IV 25d38.0%32.5%42.2%38.5%32.5%
Put IV 25d43.8%35.8%48.7%41.3%35.8%
Bid-Ask Spread %15.6212.4919.9919.7019.73
Gamma HHI0.130.080.330.080.33
Net GEX-22.5K-259.0K837.6K-205.3K837.6K
Net DEX14.0M-14.2M26.9M16.5M-14.2M
Net VEX-194.1K-231.6K-162.5K-201.5K-231.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.072.550.662.55
Total Volume1,823.9094105,5981,0555,010
Total OI62,968.27355,85767,71062,43165,884

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$27.90$32.0039.4%11.3%40.9%16.9%38.9%2.8%0.1%-205.3K16.5M-201.5K0.6619.70N/AN/A63741835,71626,715
2011-06-02$27.71$32.0038.3%11.0%40.1%14.3%38.8%3.8%1.1%-235.2K18.2M-200.5K0.4616.09N/AN/A69032035,82227,067
2011-06-03$26.81$32.0037.8%11.5%41.1%13.1%39.6%5.1%3.2%-239.5K21.9M-191.7K0.3216.39N/AN/A63920336,20527,236
2011-06-06$26.19$32.0042.1%12.0%40.8%23.3%41.0%6.1%2.5%-237.0K24.5M-179.4K0.4815.92N/AN/A29814336,43327,313
2011-06-07$25.88$32.0038.8%11.7%40.4%17.1%41.0%6.2%2.3%-231.7K25.3M-173.8K1.2914.24N/AN/A49163436,54627,137
2011-06-08$25.51$32.0039.6%11.8%40.3%20.9%40.9%6.2%2.6%-249.2K25.2M-171.7K0.8614.59N/AN/A37231936,68126,822
2011-06-09$25.87$32.0039.4%11.3%40.0%20.5%39.3%5.2%3.4%-259.0K23.9M-172.6K1.0213.74N/AN/A20320736,68726,820
2011-06-10$25.03$32.0041.1%11.8%38.7%25.2%41.7%7.6%2.8%-247.1K26.9M-162.5K0.2816.71N/AN/A1,31736336,77526,797
2011-06-13$24.98$32.0041.7%12.0%38.9%26.9%42.6%5.5%3.5%-231.6K24.3M-170.1K0.3914.41N/AN/A43217037,78626,476
2011-06-14$26.27$32.0040.3%11.6%42.9%23.0%40.6%6.6%2.9%-227.4K19.4M-179.9K0.3415.78N/AN/A66422637,98226,427
2011-06-15$25.48$32.0043.0%12.3%42.4%30.5%43.8%5.8%3.1%-205.2K21.3M-172.6K1.3114.24N/AN/A49064138,23226,138
2011-06-16$26.06$32.0044.5%12.8%42.4%34.8%44.6%6.5%1.9%-191.0K18.4M-184.3K0.2614.42N/AN/A3,54693137,97026,257
2011-06-17$26.36$32.0043.0%12.3%42.8%30.7%42.3%6.1%3.5%-118.8K14.9M-201.2K0.6914.57N/AN/A64945040,99126,719
2011-06-20$26.16$31.0041.8%12.0%42.8%27.1%40.5%7.4%3.2%-134.2K10.9M-193.5K0.3312.49N/AN/A54918231,72724,130
2011-06-21$27.31$30.0039.4%11.3%44.2%20.4%37.4%6.1%3.2%-98.4K4.9M-205.0K0.0814.80N/AN/A5,18341532,10224,205
2011-06-22$27.05$28.0038.9%11.1%43.9%18.9%38.1%5.6%4.4%324.2K1.8M-213.7K0.5417.94N/AN/A1,52781836,40524,251
2011-06-23$26.77$28.0038.9%11.1%43.9%18.9%39.0%6.3%4.2%288.7K4.1M-216.7K0.4815.07N/AN/A3,6411,73336,98324,836
2011-06-24$26.09$28.0040.6%11.6%44.2%23.8%40.1%5.6%4.7%239.1K7.6M-209.4K0.1114.52N/AN/A8239137,48225,457
2011-06-27$26.00$28.0042.3%12.1%42.7%28.5%40.3%6.5%2.6%201.7K8.8M-203.9K0.4415.16N/AN/A65128437,33725,565
2011-06-28$26.87$28.0038.6%11.1%43.9%18.3%40.8%6.2%4.6%336.2K2.6M-218.0K0.2019.99N/AN/A1,18323937,82825,604
2011-06-29$27.19$28.0036.3%10.4%38.9%11.5%35.3%5.5%6.7%388.5K246.1K-217.4K0.0713.11N/AN/A2,18515938,02925,727
2011-06-30$28.45$28.0034.1%9.8%42.2%5.4%33.4%3.3%6.6%837.6K-14.2M-231.6K2.5519.73N/AN/A1,4103,60040,11425,770