TEX Options History — April 2012

In April 2012, TEX traded between $21.07 and $24.85. ATM implied volatility averaged 58.2%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 5.8% (HV 20d: 52.3%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2012-04-18: Highest Volume — 25,159 contracts
  • 2012-04-09: Largest IV spike — 19.6% change
  • 2012-04-23: Highest IV Rank — 48.9%
  • 2012-04-24: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.19$21.07$24.85$23.08$22.64
Max Pain$23.25$22.00$24.00$22.00$24.00
ATM IV58.2%50.0%67.9%50.0%53.7%
Expected Move16.7%14.3%19.5%14.3%15.4%
HV 20d52.3%43.6%59.9%50.3%59.9%
HV 60d55.0%52.8%57.4%53.9%53.2%
IV Rank35.5%24.4%48.9%24.4%29.0%
IV Percentile54.6%40.1%76.2%40.9%42.5%
Term Structure-3.4%-8.2%3.6%3.3%-2.4%
VWIV56.8%49.9%68.6%51.0%52.5%
Skew 25d8.1%5.0%11.8%7.0%7.2%
Skew 10d15.3%9.7%18.9%15.5%15.0%
Call IV 25d54.2%47.2%63.2%47.2%52.0%
Put IV 25d62.2%53.7%73.5%54.2%59.2%
Bid-Ask Spread %15.777.7329.028.9818.14
Gamma HHI0.190.110.440.110.16
Net GEX713.5K-610.3K3.6M-183.3K623.2K
Net DEX-28.4M-75.0M8.8M-19.2M-11.6M
Net VEX-339.9K-369.3K-306.0K-336.2K-335.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.091.580.480.25
Total Volume8,572.951,21225,1597,6899,791
Total OI120,701.593,995155,372111,944110,366

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$23.08$22.0050.0%14.3%50.3%24.4%51.0%7.0%3.3%-183.3K-19.2M-336.2K0.488.98N/AN/A5,1882,50152,91259,032
2012-04-03$23.26$22.0050.4%14.4%44.7%24.9%49.9%6.1%3.2%-30.4K-24.0M-343.1K0.7010.13N/AN/A96167555,09161,049
2012-04-04$22.59$23.0050.9%14.6%45.0%25.7%51.2%5.0%3.6%-236.0K-14.2M-336.6K0.357.73N/AN/A3,4441,21655,78661,254
2012-04-05$23.05$23.0050.0%14.3%43.6%24.4%50.0%5.3%3.6%-83.1K-21.0M-338.4K0.129.07N/AN/A3,77746255,98461,604
2012-04-09$22.25$24.0059.8%16.5%44.9%37.8%54.3%9.3%-4.4%-278.8K-8.6M-321.1K0.0912.39N/AN/A11,8701,01558,67161,740
2012-04-10$21.07$24.0061.7%17.7%47.4%40.4%57.3%8.8%-5.7%-610.3K8.8M-306.0K0.5916.13N/AN/A4,7032,77360,46061,953
2012-04-11$22.08$23.0056.6%16.7%45.2%33.4%57.7%8.8%-4.2%-294.2K-6.1M-318.3K0.9214.45N/AN/A1,3521,23961,61561,922
2012-04-12$23.39$23.0057.1%16.4%49.3%34.1%56.1%8.2%-3.3%813.2K-37.4M-345.8K0.2911.39N/AN/A6,8511,99567,51161,956
2012-04-13$22.29$23.0059.8%17.1%49.4%37.8%57.7%9.4%-4.5%198.8K-15.3M-337.6K0.3515.15N/AN/A90031268,93663,061
2012-04-16$22.19$23.0060.3%17.3%49.4%38.5%58.0%9.1%-5.1%27.7K-12.1M-317.4K1.1014.11N/AN/A2,4442,69668,68063,131
2012-04-17$23.51$23.0057.5%16.5%54.5%34.7%57.6%7.7%-3.9%1.1M-41.6M-330.9K0.1012.13N/AN/A10,1691,01869,63564,865
2012-04-18$24.85$23.0061.7%17.7%56.7%40.4%62.5%6.9%-6.9%2.1M-75.0M-333.0K0.2420.05N/AN/A20,2624,89769,72165,277
2012-04-19$24.22$23.0063.8%18.3%57.5%43.3%63.0%6.1%-6.8%3.6M-65.3M-345.6K0.6719.72N/AN/A9,9166,62783,30365,883
2012-04-20$24.57$23.0058.5%16.8%55.8%36.1%57.5%7.3%-4.7%2.2M-68.3M-359.8K0.3119.49N/AN/A10,7573,29282,69472,678
2012-04-23$23.54$23.0067.9%19.5%57.5%48.9%68.6%10.2%-7.7%987.9K-33.0M-354.0K1.5818.03N/AN/A1,8522,92654,51939,476
2012-04-24$24.45$24.0067.9%19.5%59.2%48.5%65.2%9.4%-7.5%1.2M-42.9M-369.3K0.2324.65N/AN/A4,6041,06656,34042,002
2012-04-25$23.90$24.0066.8%19.2%59.2%47.1%63.0%11.8%-8.2%987.9K-33.3M-361.9K0.4129.02N/AN/A10,7884,42055,17643,428
2012-04-26$23.35$24.0054.6%15.7%58.4%30.2%52.7%8.2%-3.2%963.4K-22.8M-350.8K0.9717.70N/AN/A5,2045,04860,78845,548
2012-04-27$23.49$24.0054.2%15.5%58.4%29.6%50.1%9.3%-3.8%1.2M-25.6M-356.7K0.5716.90N/AN/A1,56188763,58646,397
2012-04-30$22.64$24.0053.7%15.4%59.9%29.0%52.5%7.2%-2.4%623.2K-11.6M-335.3K0.2518.14N/AN/A7,8601,93163,73446,632