TEX Options History — October 2011

In October 2011, TEX traded between $9.61 and $17.86. ATM implied volatility averaged 78.3%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded below realized volatility by 10.6% (HV 20d: 88.9%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2011-10-27: Highest Volume — 13,571 contracts
  • 2011-10-27: Largest IV drop — 18.7% change
  • 2011-10-03: Highest IV Rank — 92.0%
  • 2011-10-03: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.48$9.61$17.86$9.61$16.64
Max Pain$12.71$12.00$14.00$14.00$14.00
ATM IV78.3%59.1%99.4%99.4%66.3%
Expected Move22.2%16.9%28.5%28.5%19.0%
HV 20d88.9%74.4%101.8%74.4%96.1%
HV 60d83.9%76.4%93.1%76.4%91.8%
IV Rank63.1%36.8%92.0%92.0%46.8%
IV Percentile90.4%76.2%99.6%99.6%82.5%
Term Structure-4.4%-9.9%1.1%-7.3%-1.1%
VWIV76.9%60.5%102.3%102.3%67.0%
Skew 25d13.8%8.2%17.3%17.3%9.0%
Skew 10d29.5%13.7%54.5%33.5%26.2%
Call IV 25d72.1%56.6%95.5%95.5%64.0%
Put IV 25d85.8%64.8%112.7%112.7%73.0%
Bid-Ask Spread %14.217.1920.157.1912.71
Gamma HHI0.250.110.830.110.18
Net GEX359.9K26.0K1.9M26.0K405.8K
Net DEX5.6M-22.4M21.1M21.1M-14.5M
Net VEX-138.8K-193.1K-77.8K-77.8K-188.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.101.310.440.19
Total Volume4,343.5241,08913,5711,0892,851
Total OI88,707.33368,539102,11488,27382,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$9.61$14.0099.4%28.5%74.4%92.0%102.3%17.3%-7.3%26.0K21.1M-77.8K0.447.19N/AN/A75833154,53533,738
2011-10-04$10.39$14.0098.2%28.2%81.7%90.4%100.0%16.4%-5.4%57.8K20.1M-91.4K0.608.41N/AN/A1,23774654,70633,825
2011-10-05$11.16$14.0088.8%25.5%85.1%77.6%85.0%15.0%-4.8%105.1K18.2M-105.8K0.2412.24N/AN/A2,10151355,29233,523
2011-10-06$12.06$14.0082.1%23.5%91.0%68.3%81.0%15.2%-2.7%187.9K15.8M-120.4K0.138.62N/AN/A1,60520656,03733,776
2011-10-07$11.69$12.0082.5%23.8%89.7%68.9%77.7%14.5%-3.7%172.4K16.1M-116.8K0.1117.78N/AN/A3,15834656,91633,824
2011-10-10$12.37$12.0084.9%23.5%91.2%72.2%81.5%16.8%-8.7%269.3K12.8M-128.5K0.2520.15N/AN/A2,89871959,40533,971
2011-10-11$12.69$12.0087.5%23.1%91.3%75.7%79.3%15.5%-5.4%308.6K10.4M-136.6K0.1315.85N/AN/A4,64059260,34934,370
2011-10-12$13.06$12.0084.2%22.5%91.2%71.2%74.9%14.9%-5.2%323.4K9.5M-137.6K0.4115.97N/AN/A1,66668759,71334,455
2011-10-13$13.12$12.0076.9%22.0%90.5%61.2%78.2%15.4%-3.9%335.1K9.0M-139.5K0.1018.77N/AN/A2,81627260,02934,636
2011-10-14$13.59$12.0071.8%20.6%90.5%54.2%70.3%13.6%-4.0%367.2K6.7M-144.1K0.3514.55N/AN/A1,69059659,67734,705
2011-10-17$12.67$12.0076.8%22.0%93.8%61.1%75.4%15.1%-3.8%347.7K13.5M-126.7K1.3118.72N/AN/A3,4854,58159,88334,978
2011-10-18$13.51$12.0072.9%20.9%93.9%55.7%75.6%13.4%-5.2%473.3K8.2M-137.2K0.7315.05N/AN/A2,2261,63660,74637,294
2011-10-19$13.65$12.0079.0%22.6%89.5%64.1%76.0%13.6%-8.3%459.6K7.0M-142.2K0.1118.12N/AN/A6,55273160,66037,921
2011-10-20$13.50$12.0081.5%23.4%80.9%67.5%80.0%12.8%-9.9%503.5K7.0M-142.5K1.1613.94N/AN/A9781,13463,87938,046
2011-10-21$13.94$12.0075.6%21.7%81.1%59.5%74.3%13.2%-6.0%1.9M4.0M-144.1K0.1214.49N/AN/A4,15051364,23737,877
2011-10-24$14.94$13.0069.8%20.0%83.2%51.5%66.6%13.9%-2.3%183.1K-1.8M-154.4K0.1611.41N/AN/A4,12266842,36026,179
2011-10-25$13.87$13.0073.8%21.2%87.8%57.0%72.2%13.1%-2.9%182.0K2.8M-144.0K0.5014.10N/AN/A1,58179144,24826,781
2011-10-26$14.94$13.0072.7%20.8%85.9%55.4%73.2%14.5%-3.5%235.5K-2.9M-159.4K0.4115.98N/AN/A6,5852,67644,76527,353
2011-10-27$17.73$13.0059.1%16.9%101.8%36.8%62.9%8.3%-0.0%314.5K-22.2M-185.1K0.4111.12N/AN/A9,6243,94747,33129,291
2011-10-28$17.86$13.0059.7%17.1%95.3%37.6%60.5%8.2%1.1%355.0K-22.4M-193.1K0.3513.30N/AN/A3,5571,24949,07330,085
2011-10-31$16.64$14.0066.3%19.0%96.1%46.8%67.0%9.0%-1.1%405.8K-14.5M-188.6K0.1912.71N/AN/A2,40145051,38431,001