TEX Options History — June 2012 In June 2012, TEX traded between $15.65 and $19.14. ATM implied volatility averaged 70.9%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded below realized volatility by 13.0% (HV 20d: 83.9%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.12.
Notable Days 2012-06-19 : Highest Volume — 13,319 contracts2012-06-11 : Largest IV spike — 27.8% change2012-06-11 : Highest IV Rank — 76.8%2012-06-11 : Largest Expected Move — 23.5%Monthly Statistics Metric Avg Min Max Open Close Price $17.28 $15.65 $19.14 $15.79 $17.83 Max Pain $18.86 $18.00 $19.00 $19.00 $19.00 ATM IV 70.9% 56.8% 88.4% 81.5% 56.8% Expected Move 20.4% 16.3% 23.5% 23.4% 16.3% HV 20d 83.9% 71.3% 93.5% 72.4% 78.0% HV 60d 67.2% 61.0% 72.0% 61.6% 72.0% IV Rank 52.6% 33.2% 76.8% 67.2% 33.2% IV Percentile 70.7% 32.5% 97.6% 92.5% 32.5% Term Structure -0.9% -8.0% 7.9% -0.4% 7.2% VWIV 71.8% 58.9% 83.3% 81.4% 58.9% Skew 25d 9.4% 5.2% 12.8% 10.3% 5.2% Skew 10d 18.7% 10.8% 24.7% 19.5% 10.8% Call IV 25d 67.3% 54.9% 77.5% 77.5% 54.9% Put IV 25d 76.8% 60.1% 89.4% 87.8% 60.1% Bid-Ask Spread % 12.87 9.01 19.70 14.23 15.98 Gamma HHI 0.13 0.10 0.17 0.10 0.14 Net GEX 108.2K -183.6K 568.3K 76.4K 265.8K Net DEX 3.8M -17.8M 20.5M 16.3M -273.6K Net VEX -292.1K -321.1K -259.1K -272.9K -302.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.13 6.39 2.81 0.30 Total Volume 5,323.143 822 13,319 10,660 3,448 Total OI 113,218.619 95,679 124,340 106,698 117,772
Daily Data (21 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 2012-06-01 $15.79 $19.00 81.5% 23.4% 72.4% 67.2% 81.4% 10.3% -0.4% 76.4K 16.3M -272.9K 2.81 14.23 N/A N/A 2,795 7,865 56,767 49,931 2012-06-04 $15.65 $19.00 83.3% 23.4% 71.3% 69.7% 74.6% 12.8% -7.2% -48.6K 20.5M -268.1K 6.39 16.10 N/A N/A 1,169 7,470 57,232 53,398 2012-06-05 $16.35 $19.00 81.6% 22.8% 74.2% 67.4% 78.3% 12.3% -5.4% -143.0K 15.5M -287.5K 0.63 17.02 N/A N/A 1,279 802 57,609 56,773 2012-06-06 $18.15 $19.00 70.0% 21.8% 85.4% 51.4% 77.8% 11.9% -6.0% -84.6K -6.1M -321.1K 0.38 18.16 N/A N/A 4,184 1,570 58,552 56,786 2012-06-07 $17.81 $19.00 71.0% 21.5% 85.4% 52.8% 77.1% 11.1% -5.6% -43.1K -3.6M -316.4K 0.13 11.47 N/A N/A 3,419 428 60,256 57,262 2012-06-08 $17.75 $19.00 69.2% 21.4% 85.5% 50.3% 79.2% 10.6% -4.6% -67.3K -2.0M -312.6K 0.64 12.43 N/A N/A 1,471 937 60,208 57,353 2012-06-11 $16.27 $19.00 88.4% 23.5% 89.8% 76.8% 81.7% 12.6% -7.4% -77.5K 14.6M -274.3K 1.05 9.01 N/A N/A 2,748 2,873 61,956 57,417 2012-06-12 $17.30 $19.00 80.2% 23.1% 93.5% 65.5% 79.9% 8.2% -8.0% -87.2K 3.0M -296.8K 0.36 11.03 N/A N/A 1,201 429 62,593 58,817 2012-06-13 $16.84 $19.00 78.7% 22.9% 92.6% 63.4% 80.3% 11.9% -5.9% -183.6K 8.6M -284.0K 0.97 11.45 N/A N/A 643 621 62,787 59,622 2012-06-14 $17.75 $19.00 78.2% 22.4% 93.1% 62.7% 83.3% 8.9% -7.0% -50.1K -2.6M -298.7K 0.23 12.57 N/A N/A 7,385 1,701 62,606 59,782 2012-06-15 $18.34 $18.00 73.4% 21.1% 85.2% 56.2% 74.4% 9.4% -4.8% 493.0K -12.2M -306.1K 0.48 11.52 N/A N/A 3,952 1,904 64,487 59,853 2012-06-18 $18.65 $18.00 69.6% 19.9% 84.6% 50.8% 69.6% 6.4% -1.8% 508.1K -14.1M -306.3K 0.73 11.70 N/A N/A 2,864 2,098 54,192 41,487 2012-06-19 $19.14 $18.00 64.9% 18.6% 82.3% 44.4% 66.3% 6.6% -0.2% 568.3K -17.8M -310.8K 2.01 12.22 N/A N/A 4,422 8,897 54,892 42,824 2012-06-20 $18.84 $19.00 63.6% 18.2% 82.6% 42.6% 64.2% 6.9% 0.7% 507.3K -13.2M -317.6K 0.95 12.17 N/A N/A 2,282 2,159 58,020 46,841 2012-06-21 $17.55 $19.00 60.9% 17.4% 86.8% 38.8% 61.9% 7.9% 4.5% 314.9K 2.7M -293.6K 1.18 11.12 N/A N/A 3,715 4,373 58,845 47,541 2012-06-22 $17.48 $19.00 61.1% 17.5% 86.8% 39.1% 60.6% 6.9% 4.5% 224.6K 5.1M -289.4K 2.35 10.51 N/A N/A 642 1,508 58,914 49,728 2012-06-25 $16.12 $19.00 65.0% 18.6% 91.5% 44.5% 66.0% 8.6% 7.6% -4.3K 19.2M -259.1K 0.60 19.70 N/A N/A 4,771 2,866 59,036 50,906 2012-06-26 $16.17 $19.00 66.1% 19.0% 82.3% 46.1% 67.2% 10.7% 6.0% 12.8K 18.1M -260.3K 0.31 10.75 N/A N/A 3,388 1,062 61,225 52,067 2012-06-27 $16.44 $19.00 64.7% 18.5% 80.4% 44.1% 63.6% 9.5% 6.2% 19.9K 16.4M -267.6K 0.52 11.10 N/A N/A 3,708 1,915 61,123 52,558 2012-06-28 $16.74 $19.00 60.4% 17.3% 77.5% 38.2% 60.9% 9.3% 7.9% 70.8K 11.7M -287.8K 0.42 10.01 N/A N/A 577 245 63,489 54,084 2012-06-29 $17.83 $19.00 56.8% 16.3% 78.0% 33.2% 58.9% 5.2% 7.2% 265.8K -273.6K -302.9K 0.30 15.98 N/A N/A 2,658 790 63,638 54,134
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