TEX Options History — July 2012 In July 2012, TEX traded between $14.11 and $19.50. ATM implied volatility averaged 63.6%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 13.6% (HV 20d: 77.2%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.92.
Notable Days 2012-07-26 : Highest Volume — 23,788 contracts2012-07-26 : Largest IV drop — 32.5% change2012-07-25 : Highest IV Rank — 59.2%2012-07-25 : Largest Expected Move — 22.2%Monthly Statistics Metric Avg Min Max Open Close Price $16.80 $14.11 $19.50 $17.23 $19.50 Max Pain $17.57 $16.00 $19.00 $19.00 $16.00 ATM IV 63.6% 51.4% 77.4% 58.3% 55.3% Expected Move 18.5% 14.7% 22.2% 16.7% 15.8% HV 20d 77.2% 59.4% 111.7% 79.1% 109.1% HV 60d 74.7% 70.4% 88.9% 72.1% 88.2% IV Rank 39.7% 21.2% 59.2% 35.3% 26.8% IV Percentile 51.9% 15.5% 88.5% 35.7% 23.0% Term Structure -2.0% -9.8% 8.5% 8.5% 3.0% VWIV 64.2% 52.5% 74.2% 58.3% 55.3% Skew 25d 10.4% 4.2% 14.6% 7.2% 7.6% Skew 10d 21.7% 7.8% 32.9% 13.4% 26.0% Call IV 25d 59.4% 47.5% 70.7% 54.3% 50.6% Put IV 25d 69.7% 56.0% 83.3% 61.5% 58.2% Bid-Ask Spread % 13.26 9.54 20.99 9.54 11.92 Gamma HHI 0.16 0.11 0.46 0.13 0.13 Net GEX 100.9K -455.7K 645.1K 139.2K 455.4K Net DEX 6.8M -33.0M 34.0M 7.4M -32.6M Net VEX -253.9K -317.3K -191.5K -281.2K -279.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.15 2.52 0.88 2.52 Total Volume 5,137.905 1,253 23,788 1,740 5,573 Total OI 114,162.714 79,360 134,590 117,935 91,971
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 2012-07-02 $17.23 $19.00 58.3% 16.7% 79.1% 35.3% 58.3% 7.2% 8.5% 139.2K 7.4M -281.2K 0.88 9.54 N/A N/A 924 816 63,905 54,030 2012-07-03 $18.62 $19.00 55.5% 15.9% 82.2% 29.8% 57.8% 4.2% 4.9% 502.2K -11.6M -307.8K 0.23 10.25 N/A N/A 10,962 2,572 63,725 54,145 2012-07-05 $18.51 $18.00 58.6% 16.8% 73.6% 34.1% 59.7% 5.2% 3.1% 645.1K -14.4M -317.3K 1.34 12.50 N/A N/A 1,114 1,494 69,869 55,689 2012-07-06 $17.80 $18.00 58.5% 18.1% 74.7% 34.0% 62.7% 9.9% -2.1% 444.3K -2.6M -299.2K 0.48 17.25 N/A N/A 999 483 70,106 55,707 2012-07-09 $17.65 $18.00 61.1% 18.5% 74.8% 37.1% 65.9% 10.3% -1.9% 398.6K -142.4K -288.5K 0.75 12.71 N/A N/A 1,029 768 70,386 55,922 2012-07-10 $16.47 $18.00 65.8% 20.0% 72.2% 42.2% 67.0% 11.7% -4.0% 28.5K 17.8M -258.0K 0.55 16.72 N/A N/A 3,369 1,857 70,462 56,280 2012-07-11 $15.85 $18.00 63.9% 19.9% 69.7% 39.5% 71.5% 12.7% -4.4% -127.4K 25.6M -240.4K 1.83 13.16 N/A N/A 1,555 2,853 70,883 56,688 2012-07-12 $16.03 $18.00 69.5% 19.9% 69.4% 47.7% 69.4% 10.3% -4.0% -114.7K 23.3M -245.2K 1.02 11.90 N/A N/A 1,331 1,360 71,405 57,398 2012-07-13 $16.59 $18.00 64.3% 18.4% 67.8% 40.1% 63.9% 11.1% -0.7% -57.8K 16.8M -255.0K 0.20 12.39 N/A N/A 1,954 394 72,081 57,954 2012-07-16 $16.06 $18.00 67.7% 19.4% 67.1% 45.0% 65.4% 13.0% -3.7% -182.4K 24.3M -236.5K 1.16 10.44 N/A N/A 579 674 72,323 57,941 2012-07-17 $16.38 $18.00 66.9% 19.2% 67.3% 43.9% 66.0% 11.8% -4.5% -179.0K 21.2M -237.6K 0.15 12.40 N/A N/A 5,084 760 72,419 57,968 2012-07-18 $16.02 $18.00 65.2% 18.7% 66.4% 41.4% 64.8% 11.9% -3.2% -100.8K 24.2M -233.5K 1.32 11.57 N/A N/A 1,290 1,708 74,725 58,202 2012-07-19 $15.24 $18.00 69.2% 19.8% 67.9% 47.2% 69.0% 12.5% -7.0% -353.3K 34.0M -212.7K 1.10 12.70 N/A N/A 2,614 2,869 74,103 58,856 2012-07-20 $15.24 $18.00 69.7% 20.0% 64.1% 47.9% 68.3% 14.6% -7.3% -455.7K 31.8M -214.1K 0.82 11.10 N/A N/A 971 798 75,168 59,422 2012-07-23 $14.68 $17.00 72.5% 20.8% 65.0% 52.0% 69.6% 13.5% -7.4% -81.2K 16.7M -200.6K 0.50 16.74 N/A N/A 1,631 811 39,542 39,818 2012-07-24 $14.39 $17.00 76.1% 21.8% 59.4% 57.3% 73.4% 12.0% -7.1% -89.4K 18.5M -196.7K 0.81 16.34 N/A N/A 930 756 40,168 40,209 2012-07-25 $14.11 $17.00 77.4% 22.2% 59.5% 59.2% 74.2% 12.5% -9.8% -88.5K 18.8M -191.5K 0.49 20.99 N/A N/A 6,968 3,406 40,589 40,037 2012-07-26 $18.23 $16.00 52.2% 15.0% 110.7% 22.3% 56.2% 9.1% 3.7% 351.0K -16.8M -265.4K 0.38 13.13 N/A N/A 17,218 6,570 46,018 42,456 2012-07-27 $19.15 $16.00 51.4% 14.7% 111.7% 21.2% 52.5% 8.6% 2.6% 520.9K -33.0M -286.8K 0.43 14.23 N/A N/A 4,919 2,093 51,740 44,421 2012-07-30 $19.02 $16.00 57.1% 16.4% 109.8% 29.5% 58.0% 8.3% 0.4% 464.6K -25.9M -284.8K 2.25 10.61 N/A N/A 1,180 2,660 49,520 43,166 2012-07-31 $19.50 $16.00 55.3% 15.8% 109.1% 26.8% 55.3% 7.6% 3.0% 455.4K -32.6M -279.7K 2.52 11.92 N/A N/A 1,581 3,992 49,060 42,911
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