TEX Options History — September 2011

In September 2011, TEX traded between $10.26 and $15.38. ATM implied volatility averaged 75.2%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 0.4% (HV 20d: 75.7%). Max pain ranged from $14.00 to $25.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2011-09-27: Highest Volume — 11,454 contracts
  • 2011-09-22: Largest IV spike — 21.0% change
  • 2011-09-30: Highest IV Rank — 83.0%
  • 2011-09-30: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.85$10.26$15.38$15.38$10.26
Max Pain$19.90$14.00$25.00$16.00$14.00
ATM IV75.2%61.8%92.8%61.8%92.8%
Expected Move21.3%17.7%26.6%17.7%26.6%
HV 20d75.7%66.4%88.8%88.8%73.1%
HV 60d72.3%70.0%76.0%70.0%76.0%
IV Rank58.9%40.6%83.0%40.6%83.0%
IV Percentile95.7%90.5%99.6%93.7%99.6%
Term Structure-4.4%-11.3%1.9%1.9%-4.9%
VWIV72.9%60.5%91.7%60.5%91.7%
Skew 25d14.4%11.0%17.9%12.8%16.7%
Skew 10d29.0%23.2%46.5%24.0%27.1%
Call IV 25d68.2%55.5%84.7%55.5%84.7%
Put IV 25d82.6%68.3%101.3%68.3%101.3%
Bid-Ask Spread %13.268.4916.6716.339.89
Gamma HHI0.150.120.190.150.13
Net GEX-13.0K-82.3K95.4K-13.2K52.6K
Net DEX23.4M18.1M26.4M23.9M20.8M
Net VEX-98.7K-123.1K-72.7K-123.1K-87.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.051.880.600.34
Total Volume2,764.23870911,4548031,280
Total OI76,288.76270,51988,02571,54687,811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$15.38$16.0061.8%17.7%88.8%40.6%60.5%12.8%1.9%-13.2K23.9M-123.1K0.6016.33N/AN/A50130239,99831,548
2011-09-02$14.72$16.0063.8%18.3%88.8%43.3%68.7%13.8%0.5%-32.5K25.1M-117.0K0.3913.34N/AN/A1,23448640,34031,722
2011-09-06$14.09$25.0076.9%20.6%78.0%61.3%71.8%15.2%-8.8%-47.1K26.0M-108.3K0.2216.67N/AN/A1,13424541,13231,811
2011-09-07$14.69$25.0065.1%18.6%79.4%45.1%66.4%13.6%-5.2%-25.7K24.9M-115.3K0.6215.49N/AN/A85953041,34631,969
2011-09-08$14.45$25.0071.1%19.9%78.5%53.3%67.8%12.4%-7.0%-25.5K25.0M-112.3K0.3116.20N/AN/A54016941,59032,115
2011-09-09$13.65$25.0074.9%21.2%77.8%58.4%77.0%14.2%-9.8%-52.7K26.0M-102.7K0.7512.23N/AN/A1,4071,05541,73832,182
2011-09-12$13.02$25.0088.4%22.2%78.3%76.9%79.5%16.1%-8.6%-82.3K26.4M-96.8K0.1410.30N/AN/A1,42520042,14032,661
2011-09-13$13.30$24.0078.8%21.7%77.6%63.8%69.1%14.2%-11.3%-67.4K25.0M-80.7K0.0713.37N/AN/A2,17515041,91429,708
2011-09-14$13.72$24.0065.5%20.0%76.4%45.6%67.8%14.0%-6.4%-41.1K24.7M-104.6K0.628.49N/AN/A1,9711,21343,79632,293
2011-09-15$14.12$23.0067.2%19.3%77.4%47.9%64.5%13.6%-4.8%-28.9K23.9M-112.5K0.5314.02N/AN/A1,45577545,40833,272
2011-09-16$13.57$22.0064.5%18.5%68.0%44.2%64.1%11.8%-4.4%-63.0K25.6M-101.6K0.4213.04N/AN/A1,28754045,76133,402
2011-09-19$13.51$22.0064.1%18.4%66.4%43.7%65.7%11.0%0.1%-32.6K23.7M-99.9K0.3513.24N/AN/A65923039,71230,807
2011-09-20$12.68$21.0065.5%18.8%69.8%45.6%62.8%12.4%0.6%-42.7K24.8M-87.5K0.4214.48N/AN/A1,34056140,13430,990
2011-09-21$11.79$20.0072.2%20.7%70.2%54.7%67.7%12.0%-4.3%-46.6K23.8M-77.7K0.0515.62N/AN/A3,05014540,81530,273
2011-09-22$10.69$17.0087.3%25.0%75.2%75.5%84.1%15.1%-5.0%-23.7K22.4M-72.7K0.2715.53N/AN/A4,4441,18243,08630,316
2011-09-23$10.92$16.0086.3%24.7%75.9%74.1%83.9%14.5%-5.9%7.6K20.6M-82.6K1.2514.43N/AN/A2,3242,90445,65930,471
2011-09-26$11.34$15.0085.5%24.5%77.6%73.0%78.1%16.2%-5.5%33.1K19.5M-88.7K0.2110.59N/AN/A4,9741,05547,29430,398
2011-09-27$11.89$15.0077.1%22.1%70.2%61.5%72.3%17.0%-0.6%95.4K18.1M-101.4K0.8911.94N/AN/A6,0485,40649,90331,134
2011-09-28$11.10$14.0085.1%24.4%71.2%72.5%82.7%17.0%0.1%79.5K20.7M-102.4K1.8811.46N/AN/A6531,22653,62734,398
2011-09-29$11.05$14.0086.2%24.7%71.0%73.9%85.1%17.9%-3.9%84.7K20.3M-98.0K0.3311.85N/AN/A68622953,84233,548
2011-09-30$10.26$14.0092.8%26.6%73.1%83.0%91.7%16.7%-4.9%52.6K20.8M-87.7K0.349.89N/AN/A95732354,23933,572