TEX Options History — January 2012

In January 2012, TEX traded between $14.43 and $20.97. ATM implied volatility averaged 56.8%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 5.7% (HV 20d: 62.4%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.63.

Notable Days

2012-01-11: Highest Volume — 17,035 contracts
2012-01-12: Largest IV spike — 15.1% change
2012-01-31: Highest IV Rank — 45.0%
2012-01-31: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.63	$14.43	$20.97	$14.43	$19.80
Max Pain	$14.70	$14.00	$16.00	$15.00	$16.00
ATM IV	56.8%	49.6%	65.0%	63.1%	65.0%
Expected Move	16.9%	15.4%	18.6%	18.1%	18.6%
HV 20d	62.4%	47.9%	77.9%	77.9%	53.8%
HV 60d	81.4%	71.9%	85.5%	85.5%	71.9%
IV Rank	33.7%	23.9%	45.0%	42.3%	45.0%
IV Percentile	59.6%	53.6%	71.0%	69.0%	71.0%
Term Structure	-2.0%	-8.6%	9.5%	3.8%	-8.6%
VWIV	59.3%	54.1%	67.4%	60.6%	67.4%
Skew 25d	8.1%	3.7%	11.6%	9.4%	6.0%
Skew 10d	14.8%	-2.0%	22.1%	-2.0%	11.4%
Call IV 25d	55.5%	51.0%	62.9%	57.5%	62.9%
Put IV 25d	63.6%	58.8%	68.9%	66.9%	68.9%
Bid-Ask Spread %	14.89	9.10	22.31	14.30	18.32
Gamma HHI	0.18	0.12	0.26	0.24	0.13
Net GEX	244.0K	72.7K	494.3K	91.0K	402.7K
Net DEX	-22.6M	-47.6M	2.2M	2.2M	-29.1M
Net VEX	-197.0K	-254.9K	-157.3K	-157.3K	-254.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.09	3.02	0.69	3.02
Total Volume	5,882	1,634	17,035	3,290	9,118
Total OI	85,711.35	57,331	106,666	88,475	74,359

Daily Data (20 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
2012-01-03	$14.43	$15.00	63.1%	18.1%	77.9%	42.3%	60.6%	9.4%	3.8%	91.0K	2.2M	-157.3K	0.69	14.30	N/A	N/A	1,942	1,348	52,641	35,834
2012-01-04	$14.85	$15.00	57.1%	16.4%	77.4%	34.1%	58.5%	7.1%	6.2%	90.5K	-1.2M	-161.7K	0.34	12.81	N/A	N/A	1,452	501	53,025	36,643
2012-01-05	$15.14	$15.00	55.4%	15.9%	77.8%	31.8%	55.5%	6.5%	9.5%	81.8K	-4.0M	-163.7K	0.82	9.10	N/A	N/A	1,664	1,372	53,099	36,742
2012-01-06	$14.97	$14.00	52.6%	17.8%	77.7%	27.9%	61.2%	11.6%	-2.3%	80.5K	-2.4M	-168.0K	0.95	15.10	N/A	N/A	838	796	53,925	37,939
2012-01-09	$14.90	$14.00	50.7%	17.4%	73.6%	25.3%	62.2%	11.2%	-2.4%	74.9K	-1.3M	-164.6K	0.61	13.07	N/A	N/A	1,185	725	54,460	38,384
2012-01-10	$15.44	$14.00	49.6%	17.2%	73.5%	23.9%	59.7%	10.6%	-1.6%	72.7K	-7.4M	-169.0K	0.73	9.96	N/A	N/A	1,213	886	54,936	38,898
2012-01-11	$16.31	$14.00	50.2%	17.5%	72.0%	24.7%	59.4%	9.3%	-4.5%	88.0K	-17.3M	-176.1K	0.14	18.89	N/A	N/A	14,977	2,058	55,326	39,189
2012-01-12	$17.07	$14.00	57.8%	16.6%	67.9%	35.1%	62.5%	9.5%	-1.8%	319.3K	-28.2M	-184.1K	0.41	13.11	N/A	N/A	4,352	1,792	59,054	39,654
2012-01-13	$16.80	$14.00	58.9%	16.9%	59.5%	36.6%	58.6%	8.6%	-2.0%	259.4K	-23.5M	-182.7K	0.30	13.88	N/A	N/A	2,675	816	57,925	40,288
2012-01-17	$16.89	$14.00	59.9%	17.2%	58.3%	38.0%	61.6%	8.6%	-3.4%	297.7K	-25.2M	-177.7K	0.09	14.91	N/A	N/A	6,692	577	58,762	40,456
2012-01-18	$17.98	$14.00	58.0%	16.6%	60.7%	35.4%	59.0%	8.8%	-2.7%	494.3K	-42.0M	-179.8K	0.32	13.20	N/A	N/A	2,906	938	62,064	40,606
2012-01-19	$18.75	$14.00	56.6%	16.2%	57.5%	33.4%	58.8%	9.6%	-3.4%	371.9K	-47.6M	-183.0K	1.03	12.51	N/A	N/A	6,972	7,154	62,270	41,147
2012-01-20	$18.56	$14.00	53.8%	15.4%	51.8%	29.6%	56.1%	9.8%	-3.2%	274.6K	-45.0M	-194.1K	0.45	13.06	N/A	N/A	3,271	1,462	63,819	42,847
2012-01-23	$18.71	$15.00	54.5%	15.6%	51.6%	30.6%	54.1%	9.3%	-2.8%	201.8K	-18.8M	-217.0K	1.03	17.83	N/A	N/A	1,367	1,404	30,149	27,182
2012-01-24	$19.30	$15.00	54.7%	15.7%	51.6%	30.9%	55.1%	7.8%	-1.6%	215.8K	-22.0M	-221.5K	0.15	22.31	N/A	N/A	9,196	1,416	30,880	28,000
2012-01-25	$20.97	$15.00	54.7%	15.7%	53.0%	30.9%	55.6%	4.8%	-3.4%	303.1K	-35.4M	-228.4K	0.54	14.04	N/A	N/A	5,791	3,130	33,013	28,974
2012-01-26	$20.33	$16.00	60.4%	17.3%	54.6%	38.6%	59.0%	4.8%	-5.0%	366.3K	-32.9M	-248.6K	0.36	15.44	N/A	N/A	7,365	2,629	37,253	30,867
2012-01-27	$20.89	$16.00	58.4%	16.8%	47.9%	36.0%	59.0%	5.3%	-5.1%	409.8K	-38.0M	-254.9K	0.34	18.57	N/A	N/A	1,768	599	39,246	32,125
2012-01-30	$20.41	$16.00	64.0%	18.3%	50.7%	43.5%	62.4%	3.7%	-6.5%	384.3K	-33.3M	-253.4K	0.31	17.33	N/A	N/A	2,509	784	39,831	32,415
2012-01-31	$19.80	$16.00	65.0%	18.6%	53.8%	45.0%	67.4%	6.0%	-8.6%	402.7K	-29.1M	-254.5K	3.02	18.32	N/A	N/A	2,270	6,848	41,586	32,773