TEX Options History — March 2012

In March 2012, TEX traded between $21.90 and $25.97. ATM implied volatility averaged 48.0%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 3.8% (HV 20d: 51.9%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.63.

Notable Days

2012-03-28: Highest Volume — 11,244 contracts
2012-03-15: Largest IV spike — 35.4% change
2012-03-06: Highest IV Rank — 30.1%
2012-03-06: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.93	$21.90	$25.97	$25.34	$22.50
Max Pain	$22.14	$21.00	$23.00	$23.00	$22.00
ATM IV	48.0%	37.0%	54.1%	46.5%	52.0%
Expected Move	14.3%	13.3%	15.9%	13.3%	14.9%
HV 20d	51.9%	46.5%	55.1%	46.5%	52.2%
HV 60d	58.5%	53.8%	65.5%	62.9%	53.8%
IV Rank	21.7%	6.6%	30.1%	19.6%	27.1%
IV Percentile	38.8%	9.5%	49.2%	38.9%	46.0%
Term Structure	1.8%	-0.7%	5.1%	3.5%	2.3%
VWIV	50.5%	46.7%	57.4%	47.1%	51.0%
Skew 25d	7.3%	5.5%	8.6%	5.5%	6.9%
Skew 10d	13.3%	8.9%	15.7%	8.9%	10.8%
Call IV 25d	46.8%	43.2%	51.8%	44.1%	47.7%
Put IV 25d	54.1%	48.7%	60.4%	49.6%	54.6%
Bid-Ask Spread %	11.07	7.99	13.43	8.16	8.45
Gamma HHI	0.12	0.10	0.17	0.12	0.12
Net GEX	17.3K	-341.6K	654.9K	332.5K	-310.3K
Net DEX	-33.7M	-69.7M	-11.2M	-56.5M	-11.2M
Net VEX	-321.5K	-335.5K	-297.3K	-324.7K	-335.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.11	4.63	2.26	1.45
Total Volume	5,048.773	1,171	11,244	2,902	1,171
Total OI	97,351.5	84,901	111,779	91,897	111,779

Daily Data (22 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
2012-03-01	$25.34	$23.00	46.5%	13.3%	46.5%	19.6%	47.1%	5.5%	3.5%	332.5K	-56.5M	-324.7K	2.26	8.16	N/A	N/A	890	2,012	47,918	43,979
2012-03-02	$24.49	$23.00	46.8%	13.4%	48.6%	20.0%	46.7%	5.5%	5.1%	111.0K	-44.7M	-322.9K	1.78	11.96	N/A	N/A	1,453	2,583	47,933	45,092
2012-03-05	$23.31	$21.00	51.0%	15.1%	50.7%	25.8%	53.7%	7.7%	1.0%	-56.2K	-28.5M	-310.4K	4.63	12.86	N/A	N/A	1,317	6,098	48,197	45,760
2012-03-06	$21.90	$21.00	54.1%	15.9%	55.0%	30.1%	57.4%	8.6%	-0.4%	-51.0K	-13.5M	-297.3K	2.91	11.45	N/A	N/A	2,408	7,017	47,890	44,914
2012-03-07	$22.56	$21.00	50.1%	15.4%	52.2%	24.6%	54.0%	8.5%	0.7%	-41.4K	-22.4M	-305.8K	3.44	12.90	N/A	N/A	2,512	8,640	48,242	45,673
2012-03-08	$23.39	$23.00	50.4%	15.1%	53.4%	24.9%	52.8%	8.5%	0.4%	-127.3K	-27.7M	-333.2K	3.87	11.84	N/A	N/A	660	2,552	49,093	52,372
2012-03-09	$23.73	$22.00	42.7%	14.4%	52.1%	14.4%	50.6%	7.9%	1.1%	-24.5K	-34.6M	-325.9K	0.62	11.33	N/A	N/A	1,675	1,041	49,268	51,599
2012-03-12	$22.98	$22.00	50.0%	15.1%	52.5%	24.4%	54.6%	8.6%	-0.7%	-27.3K	-25.4M	-315.8K	1.87	9.32	N/A	N/A	664	1,242	50,124	50,657
2012-03-13	$24.41	$22.00	41.4%	14.5%	53.3%	12.6%	50.7%	8.0%	0.4%	271.4K	-46.1M	-320.7K	0.26	13.43	N/A	N/A	1,983	507	50,122	51,403
2012-03-14	$25.04	$22.00	37.0%	14.4%	53.8%	6.6%	50.9%	7.5%	0.6%	443.9K	-56.7M	-320.2K	0.37	11.55	N/A	N/A	1,593	595	50,476	51,462
2012-03-15	$25.97	$22.00	50.0%	14.3%	55.1%	24.4%	50.2%	7.3%	0.3%	654.9K	-69.7M	-320.4K	0.96	12.33	N/A	N/A	4,291	4,124	50,902	51,582
2012-03-16	$25.82	$22.00	47.7%	13.7%	50.4%	21.2%	47.3%	7.1%	1.7%	541.3K	-64.8M	-319.5K	0.11	12.61	N/A	N/A	2,869	307	49,508	53,461
2012-03-19	$25.53	$22.00	47.3%	13.6%	50.0%	20.8%	50.5%	6.3%	1.7%	140.1K	-44.6M	-310.5K	2.81	12.69	N/A	N/A	2,566	7,206	40,162	44,739
2012-03-20	$24.55	$22.00	48.7%	14.0%	50.6%	22.7%	48.8%	7.0%	1.9%	76.1K	-35.4M	-316.5K	0.64	10.43	N/A	N/A	2,501	1,613	42,330	45,284
2012-03-21	$24.48	$22.00	47.3%	13.6%	49.9%	20.8%	48.7%	6.8%	4.0%	-194.7K	-31.2M	-326.8K	0.65	9.92	N/A	N/A	3,622	2,358	40,642	50,083
2012-03-22	$23.52	$22.00	49.7%	14.2%	51.6%	23.9%	52.0%	7.0%	3.0%	-276.6K	-21.2M	-326.6K	0.68	11.37	N/A	N/A	3,333	2,258	42,031	50,683
2012-03-23	$23.99	$23.00	48.2%	13.8%	52.3%	21.9%	48.1%	7.4%	2.5%	-182.9K	-27.5M	-334.6K	0.54	8.44	N/A	N/A	1,117	605	44,776	51,950
2012-03-26	$24.06	$23.00	47.9%	13.7%	52.1%	21.5%	46.8%	6.5%	3.0%	-115.4K	-29.3M	-333.7K	1.59	9.77	N/A	N/A	502	800	46,906	52,247
2012-03-27	$23.55	$23.00	47.3%	13.6%	52.4%	20.7%	47.0%	7.0%	2.8%	-233.2K	-22.9M	-329.0K	0.73	7.99	N/A	N/A	733	532	47,119	52,591
2012-03-28	$22.72	$22.00	49.5%	14.2%	53.3%	23.7%	49.5%	8.0%	3.0%	-341.6K	-12.8M	-320.5K	2.75	12.33	N/A	N/A	3,001	8,243	47,092	52,630
2012-03-29	$22.69	$22.00	51.1%	14.7%	53.3%	25.9%	52.4%	7.4%	2.4%	-208.8K	-15.6M	-321.9K	1.04	12.43	N/A	N/A	4,832	5,047	49,082	51,980
2012-03-30	$22.50	$22.00	52.0%	14.9%	52.2%	27.1%	51.0%	6.9%	2.3%	-310.3K	-11.2M	-335.5K	1.45	8.45	N/A	N/A	477	694	52,938	58,841