TEX Options History — August 2011

In August 2011, TEX traded between $13.42 and $21.61. ATM implied volatility averaged 69.7%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 9.4% (HV 20d: 79.1%). Max pain ranged from $15.00 to $26.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.21.

Notable Days

2011-08-26: Highest Volume — 4,057 contracts
2011-08-08: Largest IV spike — 42.4% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.34	$13.42	$21.61	$21.61	$16.13
Max Pain	$19.70	$15.00	$26.00	$26.00	$16.00
ATM IV	69.7%	49.7%	105.2%	49.7%	61.3%
Expected Move	19.3%	14.2%	23.9%	14.2%	17.6%
HV 20d	79.1%	54.8%	96.3%	54.8%	93.8%
HV 60d	61.1%	47.9%	69.5%	47.9%	69.5%
IV Rank	60.4%	38.9%	100.0%	56.8%	39.9%
IV Percentile	97.0%	92.5%	100.0%	92.5%	93.7%
Term Structure	-2.3%	-6.5%	1.1%	-1.3%	0.5%
VWIV	66.9%	49.4%	82.3%	49.4%	61.7%
Skew 25d	11.8%	3.7%	18.3%	4.3%	12.1%
Skew 10d	23.3%	1.2%	47.9%	9.7%	23.6%
Call IV 25d	62.3%	48.7%	76.2%	48.7%	56.7%
Put IV 25d	74.1%	53.0%	89.9%	53.0%	68.8%
Bid-Ask Spread %	15.17	10.63	19.22	11.76	13.41
Gamma HHI	0.20	0.11	0.36	0.11	0.14
Net GEX	-136.5K	-287.4K	4.6K	-142.5K	4.6K
Net DEX	29.8M	22.0M	37.1M	22.9M	22.0M
Net VEX	-129.3K	-202.7K	-89.4K	-202.7K	-133.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.11	5.50	0.63	0.31
Total Volume	2,028.913	508	4,057	1,267	889
Total OI	74,117	63,326	83,194	71,579	71,274

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
2011-08-01	$21.61	$26.00	49.7%	14.2%	54.8%	56.8%	49.4%	4.3%	-1.3%	-142.5K	22.9M	-202.7K	0.63	11.76	N/A	N/A	776	491	41,387	30,192
2011-08-02	$19.85	$26.00	54.4%	15.6%	59.9%	72.0%	53.2%	3.7%	-1.7%	-173.1K	29.0M	-171.4K	1.65	12.71	N/A	N/A	930	1,539	41,450	30,303
2011-08-03	$19.81	$25.00	52.3%	15.0%	60.1%	65.2%	53.1%	5.2%	-0.7%	-182.2K	29.2M	-168.3K	0.66	18.13	N/A	N/A	1,660	1,094	41,944	31,156
2011-08-04	$17.92	$25.00	68.3%	19.6%	65.6%	100.0%	68.2%	6.0%	-6.1%	-150.3K	31.6M	-147.5K	0.70	15.00	N/A	N/A	1,391	973	42,602	31,574
2011-08-05	$18.39	$22.00	73.9%	18.9%	67.5%	100.0%	64.9%	11.3%	-1.2%	-141.7K	29.5M	-165.6K	1.46	14.54	N/A	N/A	921	1,344	43,117	32,248
2011-08-08	$16.14	$22.00	105.2%	23.9%	77.5%	100.0%	82.3%	13.8%	-5.0%	-121.1K	31.6M	-136.2K	1.65	18.53	N/A	N/A	1,495	2,467	43,364	32,623
2011-08-09	$16.46	$22.00	84.3%	20.4%	79.0%	71.3%	71.0%	13.8%	-2.4%	-180.3K	34.2M	-129.6K	1.77	19.22	N/A	N/A	1,282	2,264	43,943	34,038
2011-08-10	$15.83	$21.00	92.5%	21.9%	77.1%	82.6%	74.8%	13.0%	-2.5%	-165.3K	34.3M	-127.9K	0.35	17.04	N/A	N/A	717	251	44,736	34,923
2011-08-11	$16.65	$20.00	73.0%	20.9%	81.6%	55.9%	72.2%	12.6%	-4.2%	-159.1K	32.0M	-138.1K	0.55	17.39	N/A	N/A	875	482	44,979	33,877
2011-08-12	$16.89	$20.00	66.0%	18.9%	81.4%	46.2%	66.0%	12.6%	-1.9%	-163.2K	32.4M	-133.0K	2.15	17.26	N/A	N/A	505	1,087	45,463	33,955
2011-08-15	$17.43	$19.00	61.2%	17.5%	83.3%	39.7%	69.0%	11.2%	-0.3%	-154.3K	31.8M	-134.1K	4.60	17.94	N/A	N/A	278	1,280	45,784	34,115
2011-08-16	$16.30	$19.00	65.3%	18.7%	84.1%	45.3%	62.4%	11.9%	-2.1%	-241.8K	34.4M	-115.9K	0.56	13.99	N/A	N/A	809	453	45,766	34,894
2011-08-17	$15.98	$19.00	60.6%	17.4%	80.2%	38.9%	60.0%	11.3%	1.1%	-287.4K	35.5M	-108.1K	5.50	14.23	N/A	N/A	394	2,168	46,066	34,838
2011-08-18	$14.29	$19.00	77.0%	22.1%	80.1%	61.4%	77.2%	12.0%	-6.4%	-186.4K	37.1M	-100.8K	0.76	14.85	N/A	N/A	639	484	46,127	36,726
2011-08-19	$13.69	$19.00	76.9%	22.0%	79.8%	61.2%	79.1%	15.8%	-3.1%	-123.6K	36.8M	-94.0K	0.74	10.63	N/A	N/A	702	523	46,418	36,776
2011-08-22	$13.42	$18.00	80.1%	23.0%	79.2%	65.6%	77.3%	18.3%	-6.5%	-113.2K	27.6M	-89.4K	0.66	12.07	N/A	N/A	1,217	809	33,316	30,010
2011-08-23	$14.21	$17.00	70.3%	20.2%	84.9%	52.2%	67.2%	14.7%	-2.3%	-115.4K	27.5M	-98.5K	0.90	12.86	N/A	N/A	1,713	1,545	34,234	30,374
2011-08-24	$14.64	$16.00	66.0%	18.9%	86.6%	46.4%	67.6%	13.3%	-1.8%	-97.0K	26.8M	-109.8K	0.80	17.06	N/A	N/A	399	318	35,299	31,319
2011-08-25	$14.13	$16.00	72.7%	20.8%	86.8%	55.4%	72.3%	14.4%	-3.0%	-96.5K	26.9M	-105.9K	0.95	16.29	N/A	N/A	261	247	35,409	31,423
2011-08-26	$14.29	$16.00	70.8%	20.3%	86.8%	52.8%	68.7%	15.7%	-2.3%	-94.7K	27.0M	-105.4K	0.18	14.84	N/A	N/A	3,449	608	35,560	31,398
2011-08-29	$15.73	$15.00	61.0%	17.5%	96.3%	39.5%	62.9%	12.6%	-1.1%	-53.9K	24.1M	-124.9K	0.18	14.37	N/A	N/A	2,484	443	37,752	31,255
2011-08-30	$16.13	$15.00	61.3%	17.6%	93.8%	39.9%	59.2%	10.9%	0.3%	-1.7K	22.1M	-133.9K	0.11	14.85	N/A	N/A	1,807	202	39,146	31,538
2011-08-31	$16.13	$16.00	61.3%	17.6%	93.8%	39.9%	61.7%	12.1%	0.5%	4.6K	22.0M	-133.1K	0.31	13.41	N/A	N/A	681	208	39,776	31,498