TEX Options History — July 2011

In July 2011, TEX traded between $21.98 and $29.73. ATM implied volatility averaged 43.1%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 7.7% (HV 20d: 50.8%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-07-21: Highest Volume — 24,628 contracts
  • 2011-07-11: Largest IV spike — 34.7% change
  • 2011-07-20: Highest IV Rank — 61.2%
  • 2011-07-20: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.93$21.98$29.73$29.73$22.21
Max Pain$27.40$26.00$29.00$28.00$26.00
ATM IV43.1%32.7%51.0%32.7%50.6%
Expected Move12.7%9.4%14.6%9.4%14.5%
HV 20d50.8%41.8%62.1%42.7%58.5%
HV 60d44.1%40.9%48.0%41.7%47.7%
IV Rank35.4%1.5%61.2%1.5%59.8%
IV Percentile58.3%0.4%92.9%0.4%92.9%
Term Structure-0.3%-3.5%5.7%5.7%-0.8%
VWIV44.1%35.0%51.0%35.0%51.0%
Skew 25d5.4%3.5%7.2%3.5%3.7%
Skew 10d11.0%6.9%15.0%12.5%9.6%
Call IV 25d42.3%31.8%50.0%31.8%50.0%
Put IV 25d47.6%35.3%53.6%35.3%53.6%
Bid-Ask Spread %15.7412.2821.2119.0515.16
Gamma HHI0.170.110.410.210.11
Net GEX102.4K-888.6K703.4K703.4K-173.2K
Net DEX6.0M-25.1M23.2M-25.1M21.6M
Net VEX-219.7K-251.1K-193.2K-251.1K-202.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.073.640.210.07
Total Volume4,543.0568724,6283,6278,398
Total OI65,058.8548,82075,44470,02866,557

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$29.73$28.0032.7%9.4%42.7%1.5%35.0%3.5%5.7%703.4K-25.1M-251.1K0.2119.05N/AN/A2,98863940,72129,307
2011-07-05$29.44$26.0036.1%11.7%41.8%11.0%40.4%6.3%0.4%585.4K-19.9M-240.9K0.6814.72N/AN/A52736039,86029,375
2011-07-06$28.65$26.0036.5%11.7%43.0%14.1%40.3%7.2%0.9%626.0K-11.7M-239.3K0.7517.03N/AN/A91468239,89729,501
2011-07-07$28.98$26.0034.4%11.9%42.4%7.1%41.2%6.4%-0.6%618.3K-15.0M-237.3K0.4714.23N/AN/A1,94392040,05529,901
2011-07-08$27.74$29.0035.0%12.1%45.8%9.1%43.3%5.8%-0.7%386.6K839.5K-231.7K0.6815.05N/AN/A73850039,44130,618
2011-07-11$26.41$29.0047.1%12.9%47.8%48.5%44.6%6.6%-0.4%47.1K13.6M-214.8K1.0415.29N/AN/A94999139,55430,729
2011-07-12$25.98$29.0047.1%13.1%48.3%48.5%45.9%7.0%-1.1%-42.0K16.9M-208.8K1.5813.38N/AN/A39262039,65330,740
2011-07-13$26.65$29.0038.5%12.7%45.7%20.5%45.6%6.5%-1.4%30.7K11.8M-217.4K3.6415.85N/AN/A3881,41239,75731,039
2011-07-14$26.39$29.0047.9%13.7%44.4%51.0%45.7%5.4%-1.4%-176.5K15.2M-219.0K0.2014.08N/AN/A4,43588939,92931,999
2011-07-15$26.87$28.0045.9%13.2%44.2%44.5%45.7%4.9%-1.0%-888.6K9.6M-233.0K1.5515.46N/AN/A37457843,55631,888
2011-07-18$25.74$28.0047.4%13.6%46.7%49.4%46.5%4.7%-1.9%118.8K4.1M-216.3K0.4515.81N/AN/A1,24455625,61623,204
2011-07-19$26.02$28.0045.6%13.1%46.8%43.5%44.5%5.3%-1.0%159.0K3.3M-219.6K1.5318.19N/AN/A1,6912,57926,35523,591
2011-07-20$27.21$28.0051.0%14.6%47.0%61.2%50.4%4.5%-3.5%359.8K-6.0M-238.9K0.1421.21N/AN/A13,8891,89627,43923,550
2011-07-21$24.32$28.0040.9%11.7%61.6%28.2%39.2%4.1%2.3%172.3K11.2M-204.2K0.1514.53N/AN/A21,3353,29337,36724,618
2011-07-22$24.24$27.0042.2%12.1%61.6%32.6%42.7%6.1%0.4%2.8K13.6M-210.5K0.3412.28N/AN/A4,8771,67233,10326,705
2011-07-25$24.23$26.0043.7%12.5%61.1%37.3%40.8%4.6%-0.2%19.7K12.5M-218.2K0.5616.18N/AN/A1,17265534,23727,724
2011-07-26$23.40$26.0044.3%12.7%62.1%39.4%44.0%5.4%-0.4%-117.8K17.5M-202.9K0.3512.98N/AN/A1,49051734,80128,249
2011-07-27$22.34$26.0047.5%13.6%62.0%49.6%48.5%5.0%-0.8%-170.3K21.7M-194.2K2.4616.28N/AN/A1,0612,61035,76728,625
2011-07-28$21.98$26.0047.7%13.7%61.6%50.3%47.5%4.6%-0.2%-212.7K23.2M-193.2K0.4317.99N/AN/A48120636,34129,808
2011-07-29$22.21$26.0050.6%14.5%58.5%59.8%51.0%3.7%-0.8%-173.2K21.6M-202.3K0.0715.16N/AN/A7,88451436,65729,900