TEX Options History — December 2011

In December 2011, TEX traded between $12.32 and $16.86. ATM implied volatility averaged 61.3%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 22.2% (HV 20d: 83.5%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2011-12-01: Highest Volume — 7,400 contracts
  • 2011-12-12: Largest IV spike — 22.9% change
  • 2011-12-08: Highest IV Rank — 56.5%
  • 2011-12-14: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.32$12.32$16.86$16.29$13.51
Max Pain$15.62$15.00$16.00$15.00$15.00
ATM IV61.3%52.6%73.4%63.3%57.6%
Expected Move17.3%15.1%19.7%18.2%16.5%
HV 20d83.5%73.2%92.1%81.7%73.2%
HV 60d89.6%85.9%92.5%90.0%85.9%
IV Rank39.9%27.9%56.5%42.7%34.7%
IV Percentile68.3%59.9%86.1%71.4%60.7%
Term Structure4.8%-0.7%10.7%1.7%7.8%
VWIV58.8%49.4%66.0%64.0%59.4%
Skew 25d9.1%3.1%11.9%10.3%6.0%
Skew 10d22.4%9.2%34.6%24.0%13.3%
Call IV 25d56.4%48.7%62.3%59.1%55.7%
Put IV 25d65.6%57.7%73.3%69.4%61.8%
Bid-Ask Spread %11.976.9316.1015.9711.67
Gamma HHI0.160.100.260.130.26
Net GEX70.2K-72.7K274.9K216.9K79.1K
Net DEX7.9M-9.5M21.0M-5.1M9.2M
Net VEX-150.0K-182.5K-115.8K-179.6K-148.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.082.580.540.80
Total Volume2,5289987,4007,400998
Total OI85,672.8177,40792,37783,77088,151

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$16.29$15.0063.3%18.2%81.7%42.7%64.0%10.3%1.7%216.9K-5.1M-179.6K0.5415.97N/AN/A4,8102,59050,23733,533
2011-12-02$16.25$15.0062.7%18.0%81.2%41.9%61.2%9.3%-0.7%211.4K-4.5M-180.4K0.3815.67N/AN/A72827851,59835,108
2011-12-05$16.86$16.0063.0%17.1%82.4%42.3%61.5%10.9%3.6%274.9K-9.5M-182.5K0.6811.09N/AN/A1,41196251,63435,264
2011-12-06$16.56$16.0060.4%17.8%82.6%38.6%60.0%11.3%0.4%245.6K-6.6M-179.2K1.0911.46N/AN/A53458351,92535,500
2011-12-07$16.62$16.0060.1%18.0%82.3%38.3%61.7%10.4%-0.0%250.0K-6.9M-177.6K0.5610.05N/AN/A1,16665251,97135,675
2011-12-08$15.46$16.0073.4%19.2%78.7%56.5%66.0%11.0%0.9%120.7K2.7M-167.0K0.7914.16N/AN/A81564651,83535,559
2011-12-09$16.04$16.0058.0%17.2%79.8%35.4%49.4%10.5%3.7%155.4K-1.3M-168.0K2.5812.65N/AN/A6851,77051,98835,920
2011-12-12$15.01$16.0071.3%18.1%79.9%53.6%60.1%10.3%4.0%73.6K7.8M-157.7K0.7614.83N/AN/A2,1531,64252,18836,613
2011-12-13$14.01$16.0066.2%18.1%83.1%46.5%61.2%11.9%4.7%13.7K15.7M-147.4K0.5714.77N/AN/A1,63993653,27837,418
2011-12-14$12.90$16.0071.5%19.7%86.9%53.8%65.3%11.0%1.9%-68.9K19.9M-131.3K0.757.54N/AN/A1,25394453,71637,376
2011-12-15$12.64$16.0066.5%19.1%87.0%47.0%63.2%10.3%3.5%-72.7K21.0M-125.3K0.239.16N/AN/A1,36731554,21437,504
2011-12-16$12.81$16.0062.7%18.0%84.8%41.7%55.0%11.2%4.8%-52.5K21.0M-127.2K0.7016.10N/AN/A91764154,88237,495
2011-12-19$12.32$16.0059.5%17.1%85.4%37.4%57.3%7.0%10.5%-46.6K18.5M-115.8K0.759.58N/AN/A1,25394543,80833,599
2011-12-20$13.52$16.0052.7%15.1%92.1%28.1%52.9%9.6%9.0%-66.5K13.9M-135.7K0.2813.60N/AN/A2,13259444,33333,582
2011-12-21$13.55$16.0052.6%15.1%92.0%27.9%54.4%10.1%9.3%-55.7K12.7M-137.4K0.338.16N/AN/A1,28441945,27433,033
2011-12-22$13.97$15.0055.5%15.9%88.5%31.9%54.2%7.8%5.0%-50.9K8.6M-145.8K0.0811.64N/AN/A4,49536846,06132,703
2011-12-23$13.48$15.0053.4%15.3%88.6%29.0%53.0%6.5%10.7%56.7K10.3M-142.0K0.3613.05N/AN/A98235749,32232,933
2011-12-27$13.26$15.0055.1%15.8%83.6%31.3%55.5%3.9%9.9%71.0K11.6M-135.3K0.4712.18N/AN/A81638649,93433,004
2011-12-28$12.63$15.0061.1%17.5%85.2%39.6%60.7%3.1%5.2%61.8K14.5M-126.8K1.1211.20N/AN/A3,3833,78150,40833,297
2011-12-29$13.09$15.0060.7%17.4%75.3%39.1%57.9%8.6%4.5%56.7K12.7M-138.6K0.546.93N/AN/A94950951,88935,367
2011-12-30$13.51$15.0057.6%16.5%73.2%34.7%59.4%6.0%7.8%79.1K9.2M-148.6K0.8011.67N/AN/A55444452,48335,668