TEX Options History — November 2011

In November 2011, TEX traded between $12.67 and $17.17. ATM implied volatility averaged 68.2%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded below realized volatility by 25.7% (HV 20d: 93.9%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2011-11-01: Highest Volume — 6,664 contracts
  • 2011-11-09: Largest IV spike — 22.9% change
  • 2011-11-01: Highest IV Rank — 59.8%
  • 2011-11-01: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.43$12.67$17.17$15.59$15.43
Max Pain$15.52$14.00$16.00$14.00$15.00
ATM IV68.2%58.8%75.9%75.9%62.5%
Expected Move19.7%17.9%21.7%21.7%17.9%
HV 20d93.9%68.3%103.4%99.4%82.0%
HV 60d87.8%85.0%89.7%88.8%89.7%
IV Rank49.3%36.5%59.8%59.8%41.6%
IV Percentile81.0%71.0%88.9%88.9%71.0%
Term Structure-0.6%-3.4%2.6%-3.2%1.3%
VWIV67.0%60.5%75.4%75.4%60.5%
Skew 25d10.9%7.0%13.4%9.9%9.9%
Skew 10d22.3%18.6%27.6%20.1%22.2%
Call IV 25d64.2%57.4%73.2%73.2%57.4%
Put IV 25d75.1%67.3%83.1%83.1%67.3%
Bid-Ask Spread %15.4512.4419.6014.7313.75
Gamma HHI0.180.110.440.180.12
Net GEX373.5K-15.5K718.3K376.6K131.5K
Net DEX-4.7M-21.6M14.1M-7.6M1.5M
Net VEX-177.7K-203.1K-132.7K-186.4K-171.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.111.600.160.45
Total Volume3,198.6676516,6646,6642,703
Total OI87,964.52478,06995,40983,93383,302

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$15.59$14.0075.9%21.7%99.4%59.8%75.4%9.9%-3.2%376.6K-7.6M-186.4K0.1614.73N/AN/A5,75990552,74731,186
2011-11-02$16.51$14.0071.5%20.5%98.6%53.9%72.5%7.0%-0.7%441.5K-15.2M-195.1K0.1114.82N/AN/A4,96054952,90731,249
2011-11-03$16.90$14.0067.0%19.2%96.2%47.7%67.6%8.7%1.1%566.2K-19.9M-203.1K0.1416.26N/AN/A3,50449556,44931,547
2011-11-04$16.95$16.0063.7%19.5%94.7%43.1%69.8%11.2%-2.7%577.9K-20.2M-202.9K1.2014.81N/AN/A1,0401,24656,69631,857
2011-11-07$16.86$16.0067.1%19.6%94.0%47.9%66.2%11.7%-3.4%565.1K-18.7M-197.4K0.2514.69N/AN/A52212956,97632,944
2011-11-08$17.17$16.0058.8%18.3%93.9%36.5%62.9%8.6%-1.8%603.2K-21.6M-195.9K1.6014.95N/AN/A1,7962,87157,06832,989
2011-11-09$15.56$16.0072.3%20.0%102.0%54.9%68.6%13.3%-0.6%465.5K-6.5M-194.8K0.7917.32N/AN/A2,9202,32158,32235,022
2011-11-10$15.54$16.0068.1%19.5%102.0%49.2%66.6%13.4%-1.1%441.8K-5.1M-192.7K0.5316.71N/AN/A1,69589758,20936,248
2011-11-11$16.53$16.0062.5%17.9%103.4%41.5%63.8%10.5%2.6%606.6K-15.0M-200.7K0.3919.20N/AN/A1,87972958,37936,496
2011-11-14$16.30$16.0066.9%19.2%99.5%47.5%63.8%11.9%-1.6%633.8K-13.0M-192.5K0.2918.90N/AN/A69719958,68836,549
2011-11-15$16.45$16.0065.9%18.9%97.6%46.1%65.9%11.5%-0.2%698.6K-14.2M-193.6K0.1414.39N/AN/A4,28759358,71736,639
2011-11-16$16.27$16.0067.8%19.4%97.9%48.7%64.6%12.0%-0.0%718.3K-11.9M-190.2K0.7318.25N/AN/A1,4291,05058,63136,778
2011-11-17$15.19$16.0070.9%20.3%101.5%53.0%71.2%13.0%-0.6%396.2K-534.9K-172.6K0.2019.60N/AN/A4,47688658,45336,410
2011-11-18$14.90$16.0065.4%18.7%101.4%45.5%62.7%10.4%0.8%520.4K2.7M-166.4K0.2114.40N/AN/A3,31069858,25936,729
2011-11-21$14.37$16.0071.4%20.5%99.1%53.6%67.3%13.1%-1.8%7.3K8.2M-158.1K0.5013.43N/AN/A1,55778346,28731,782
2011-11-22$14.11$16.0068.1%19.5%95.6%49.2%64.6%10.5%0.1%-5209.5M-152.0K0.2014.77N/AN/A60811946,76031,753
2011-11-23$13.10$16.0074.9%21.5%95.1%58.4%69.5%10.8%-0.3%-15.5K13.0M-136.6K0.2113.30N/AN/A4,02086246,95331,763
2011-11-25$12.67$15.0073.8%21.2%68.3%57.0%69.9%12.0%-0.9%18.6K14.1M-132.7K1.2314.30N/AN/A44654849,13532,097
2011-11-28$13.77$15.0068.9%19.7%76.6%50.2%67.9%9.7%0.2%44.5K10.3M-147.2K0.7513.44N/AN/A1,23192349,14232,519
2011-11-29$13.81$15.0068.7%19.7%73.7%50.0%66.3%10.5%-0.2%45.4K10.8M-149.9K0.5112.44N/AN/A1,01451649,38833,230
2011-11-30$15.43$15.0062.5%17.9%82.0%41.6%60.5%9.9%1.3%131.5K1.5M-171.0K0.4513.75N/AN/A1,85984449,72533,577