TEX Options History — February 2012

In February 2012, TEX traded between $21.53 and $26.41. ATM implied volatility averaged 58.2%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 0.6% (HV 20d: 58.8%). Max pain ranged from $17.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2012-02-21: Highest Volume — 22,946 contracts
  • 2012-02-09: Largest IV drop — 20.9% change
  • 2012-02-07: Highest IV Rank — 61.6%
  • 2012-02-02: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.07$21.53$26.41$21.53$25.39
Max Pain$20.55$17.00$23.00$17.00$23.00
ATM IV58.2%44.5%77.2%65.1%47.8%
Expected Move15.9%12.8%18.9%18.7%13.7%
HV 20d58.8%53.5%63.0%56.2%53.5%
HV 60d70.4%62.9%74.1%73.7%62.9%
IV Rank35.6%16.9%61.6%45.1%21.3%
IV Percentile58.5%35.7%91.3%71.4%42.1%
Term Structure-1.0%-10.4%5.4%-10.4%3.6%
VWIV56.6%46.6%67.8%66.7%48.4%
Skew 25d6.1%4.1%7.7%6.1%6.2%
Skew 10d11.6%8.1%13.5%9.6%12.3%
Call IV 25d52.9%43.4%63.0%62.0%44.1%
Put IV 25d59.0%48.5%70.7%68.2%50.4%
Bid-Ask Spread %14.109.8418.8718.8711.04
Gamma HHI0.150.090.370.120.13
Net GEX694.5K357.9K2.2M578.7K472.2K
Net DEX-66.1M-109.9M-46.9M-46.9M-59.7M
Net VEX-293.5K-322.1K-254.8K-254.8K-318.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.233.051.301.22
Total Volume6,928.251,19622,9469,1994,349
Total OI89,518.5573,106116,56873,10689,802

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$21.53$17.0065.1%18.7%56.2%45.1%66.7%6.1%-10.4%578.7K-46.9M-254.8K1.3018.87N/AN/A4,0055,19442,66230,444
2012-02-02$21.96$18.0066.0%18.9%56.1%46.4%67.8%7.7%-9.8%498.7K-49.8M-266.0K0.6116.63N/AN/A1,24075244,27834,160
2012-02-03$22.81$19.0064.6%16.0%56.5%44.4%57.9%6.6%-2.3%541.2K-59.1M-264.7K0.3115.14N/AN/A11,0713,39744,77434,498
2012-02-06$23.22$18.0071.6%16.7%55.3%53.9%59.5%6.7%-2.4%438.8K-59.5M-260.7K0.7713.85N/AN/A1,9041,47243,48535,411
2012-02-07$21.93$19.0077.2%17.3%61.4%61.6%61.4%4.4%-3.7%536.6K-50.4M-280.4K1.9518.59N/AN/A2,8485,55948,42536,246
2012-02-08$22.27$19.0076.7%17.3%61.1%60.9%60.0%5.5%-2.9%423.8K-52.0M-283.4K0.9517.93N/AN/A1,3161,25148,97638,579
2012-02-09$23.10$19.0060.7%17.4%60.0%39.0%61.8%6.9%-2.8%492.0K-61.8M-286.2K0.7017.74N/AN/A4,5403,16549,53939,511
2012-02-10$22.47$20.0062.1%17.8%61.1%40.9%62.5%4.1%-2.2%429.0K-54.0M-295.9K0.3817.44N/AN/A2,6991,02051,08641,463
2012-02-13$23.73$20.0060.6%17.4%61.7%38.9%60.9%5.7%-3.8%704.5K-74.1M-290.2K0.2313.53N/AN/A6,0261,36253,95541,660
2012-02-14$23.54$20.0062.0%17.8%62.2%40.9%62.7%6.1%-3.1%854.9K-73.6M-301.1K0.6514.81N/AN/A1,9741,28157,61242,555
2012-02-15$23.53$20.0063.5%18.2%60.0%42.9%64.4%6.4%-3.8%928.1K-74.7M-305.3K1.8416.22N/AN/A5,84010,75059,67543,029
2012-02-16$25.11$20.0053.2%15.3%62.0%28.8%55.1%7.6%1.8%2.2M-103.7M-299.7K0.6012.28N/AN/A10,5136,28662,22349,368
2012-02-17$25.66$22.0050.2%14.4%61.3%24.6%52.1%6.0%2.1%1.9M-109.9M-307.1K0.4410.20N/AN/A2,5561,12663,35653,212
2012-02-21$26.41$22.0050.8%14.6%61.4%25.6%51.7%6.8%0.9%683.9K-77.1M-294.7K0.4611.22N/AN/A15,7597,18745,00834,617
2012-02-22$25.74$23.0048.0%13.8%63.0%21.7%49.6%5.8%3.0%357.9K-62.4M-291.0K2.9012.62N/AN/A1,1153,23841,49937,313
2012-02-23$25.73$23.0046.1%13.2%57.7%19.1%47.4%6.3%3.6%423.1K-62.5M-322.1K0.7213.44N/AN/A92466946,63341,070
2012-02-24$25.56$23.0045.4%13.0%56.0%18.1%46.6%5.7%4.6%439.5K-60.8M-319.4K1.3110.31N/AN/A51867846,66640,718
2012-02-27$25.85$23.0047.6%13.6%55.7%21.1%49.1%6.3%2.6%473.5K-64.3M-314.7K0.3010.20N/AN/A1,85555246,99241,035
2012-02-28$25.94$23.0044.5%12.8%54.3%16.9%47.1%4.7%5.4%520.2K-65.9M-315.0K3.059.84N/AN/A6351,93947,60141,235
2012-02-29$25.39$23.0047.8%13.7%53.5%21.3%48.4%6.2%3.6%472.2K-59.7M-318.5K1.2211.04N/AN/A1,9592,39048,02941,773