TEX Options History — May 2012

In May 2012, TEX traded between $16.28 and $24.03. ATM implied volatility averaged 64.4%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 5.5% (HV 20d: 59.0%). Max pain ranged from $19.00 to $24.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.71.

Notable Days

2012-05-17: Highest Volume — 25,702 contracts
2012-05-17: Largest IV spike — 16.9% change
2012-05-17: Highest IV Rank — 61.2%
2012-05-17: Largest Expected Move — 22.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.55	$16.28	$24.03	$23.18	$16.63
Max Pain	$21.41	$19.00	$24.00	$24.00	$19.00
ATM IV	64.4%	50.8%	77.1%	52.4%	74.9%
Expected Move	18.3%	14.6%	22.1%	15.0%	21.5%
HV 20d	59.0%	45.0%	72.3%	59.8%	71.9%
HV 60d	54.7%	50.0%	61.3%	52.9%	61.3%
IV Rank	43.8%	24.9%	61.2%	27.1%	58.1%
IV Percentile	64.9%	36.9%	90.5%	40.1%	85.7%
Term Structure	0.6%	-1.4%	4.2%	-0.6%	0.4%
VWIV	64.2%	49.1%	79.7%	54.1%	79.7%
Skew 25d	9.1%	6.3%	12.1%	7.7%	7.3%
Skew 10d	16.8%	11.8%	20.5%	18.8%	16.5%
Call IV 25d	60.0%	47.9%	73.8%	48.6%	73.8%
Put IV 25d	69.1%	55.0%	82.1%	56.2%	81.1%
Bid-Ask Spread %	11.94	9.68	15.20	10.23	15.11
Gamma HHI	0.16	0.10	0.24	0.17	0.10
Net GEX	-170.9K	-1.3M	1.3M	941.4K	23.6K
Net DEX	11.2M	-31.7M	51.0M	-18.9M	12.0M
Net VEX	-291.6K	-342.6K	-231.1K	-332.8K	-286.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	0.10	11.86	1.03	0.60
Total Volume	5,373.5	1,158	25,702	3,807	6,508
Total OI	106,246	89,911	135,162	109,376	103,417

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
2012-05-01	$23.18	$24.00	52.4%	15.0%	59.8%	27.1%	54.1%	7.7%	-0.6%	941.4K	-18.9M	-332.8K	1.03	10.23	N/A	N/A	1,879	1,928	63,061	46,315
2012-05-02	$24.03	$24.00	50.8%	14.6%	61.1%	24.9%	49.1%	7.0%	0.5%	1.3M	-31.7M	-342.6K	0.13	11.32	N/A	N/A	2,588	343	60,005	46,613
2012-05-03	$23.05	$24.00	53.9%	15.5%	62.1%	29.2%	51.7%	6.3%	-1.4%	613.9K	-15.7M	-325.1K	0.15	13.43	N/A	N/A	3,217	494	59,565	46,673
2012-05-04	$21.85	$23.00	56.3%	15.9%	64.5%	32.5%	55.3%	8.6%	-0.4%	-75.3K	387.9K	-307.4K	1.83	9.68	N/A	N/A	1,060	1,942	56,960	46,843
2012-05-07	$21.95	$22.00	58.1%	16.1%	63.4%	35.1%	53.9%	8.7%	0.1%	-175.2K	1.4M	-305.8K	0.57	12.00	N/A	N/A	739	419	57,105	48,586
2012-05-08	$21.66	$23.00	60.5%	16.5%	60.4%	38.3%	58.2%	7.5%	0.1%	-316.2K	5.1M	-300.6K	0.30	11.74	N/A	N/A	2,815	831	57,483	48,781
2012-05-09	$21.32	$22.00	63.7%	17.2%	58.2%	42.8%	58.7%	8.7%	-0.9%	-489.4K	9.5M	-293.6K	1.21	15.20	N/A	N/A	1,033	1,253	57,650	49,234
2012-05-10	$21.18	$23.00	59.2%	17.0%	53.8%	36.6%	63.0%	8.8%	-0.1%	-644.2K	12.4M	-290.0K	11.86	12.02	N/A	N/A	1,052	12,474	58,076	50,010
2012-05-11	$21.07	$23.00	58.4%	16.7%	51.3%	35.4%	60.1%	8.1%	0.3%	-796.9K	13.8M	-287.4K	3.36	13.91	N/A	N/A	1,101	3,695	58,818	50,321
2012-05-14	$20.61	$23.00	60.4%	17.3%	51.7%	38.2%	57.6%	9.4%	0.5%	-1.3M	23.4M	-290.3K	6.21	10.13	N/A	N/A	386	2,396	59,124	57,719
2012-05-15	$19.63	$23.00	62.8%	18.0%	48.7%	41.5%	63.7%	9.6%	-0.4%	-943.8K	33.4M	-276.1K	1.38	11.14	N/A	N/A	1,209	1,665	59,213	55,765
2012-05-16	$18.57	$23.00	66.0%	18.9%	45.0%	45.9%	65.4%	9.0%	-0.5%	-652.0K	40.6M	-257.8K	3.68	10.49	N/A	N/A	1,089	4,006	59,541	55,569
2012-05-17	$16.69	$23.00	77.1%	22.1%	55.6%	61.2%	77.3%	10.1%	-1.3%	-321.9K	51.0M	-231.1K	0.73	10.77	N/A	N/A	14,858	10,844	59,830	58,741
2012-05-18	$16.28	$19.00	77.0%	22.1%	54.2%	61.0%	74.9%	12.1%	-0.1%	-217.9K	49.1M	-254.9K	1.34	11.65	N/A	N/A	1,391	1,859	70,735	64,427
2012-05-21	$17.33	$19.00	71.5%	20.5%	61.0%	53.5%	74.8%	10.8%	1.4%	-251.3K	15.3M	-275.3K	0.35	10.72	N/A	N/A	4,537	1,576	41,482	48,429
2012-05-22	$17.23	$19.00	70.5%	20.2%	57.8%	52.1%	71.6%	10.1%	1.4%	-198.2K	14.1M	-282.1K	0.10	10.00	N/A	N/A	2,246	214	44,700	49,438
2012-05-23	$17.24	$19.00	69.8%	20.0%	58.1%	51.1%	68.1%	10.8%	1.8%	-183.7K	14.1M	-282.6K	0.58	10.42	N/A	N/A	1,969	1,144	45,453	49,517
2012-05-24	$17.18	$19.00	68.5%	19.7%	58.2%	49.4%	66.1%	8.9%	4.2%	-175.8K	13.6M	-285.2K	0.74	10.24	N/A	N/A	5,792	4,305	46,490	49,772
2012-05-25	$16.93	$19.00	67.7%	19.4%	57.7%	48.2%	65.8%	10.6%	2.0%	-45.3K	11.3M	-281.2K	0.65	13.94	N/A	N/A	744	482	48,722	47,673
2012-05-29	$18.80	$19.00	65.5%	18.8%	71.3%	45.2%	69.4%	9.1%	4.1%	52.9K	-7.9M	-320.7K	0.27	14.10	N/A	N/A	3,873	1,057	51,175	47,617
2012-05-30	$17.72	$19.00	72.9%	20.9%	72.3%	55.4%	73.0%	10.5%	2.4%	40.8K	862.3K	-306.3K	0.64	14.51	N/A	N/A	3,167	2,037	52,789	47,975
2012-05-31	$16.63	$19.00	74.9%	21.5%	71.9%	58.1%	79.7%	7.3%	0.4%	23.6K	12.0M	-286.9K	0.60	15.11	N/A	N/A	4,074	2,434	54,255	49,162