TEX Options History — August 2012

In August 2012, TEX traded between $18.60 and $22.07. ATM implied volatility averaged 49.5%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 34.3% (HV 20d: 83.8%). Max pain ranged from $16.00 to $21.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.70.

Notable Days

2012-08-07: Highest Volume — 12,198 contracts
2012-08-09: Largest IV drop — 8.7% change
2012-08-01: Highest IV Rank — 30.9%
2012-08-01: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.01	$18.60	$22.07	$19.27	$22.07
Max Pain	$19.61	$16.00	$21.00	$17.00	$21.00
ATM IV	49.5%	45.7%	58.1%	58.1%	48.6%
Expected Move	14.6%	13.3%	16.6%	16.6%	13.9%
HV 20d	83.8%	39.7%	106.7%	105.9%	41.0%
HV 60d	84.7%	77.4%	89.9%	88.2%	77.4%
IV Rank	19.6%	13.9%	30.9%	30.9%	18.6%
IV Percentile	11.2%	2.0%	29.0%	29.0%	10.3%
Term Structure	3.2%	0.1%	4.5%	0.1%	4.4%
VWIV	51.4%	45.6%	58.1%	58.1%	51.8%
Skew 25d	8.2%	6.2%	10.5%	6.8%	7.1%
Skew 10d	15.8%	9.4%	26.4%	19.8%	10.2%
Call IV 25d	47.3%	41.8%	54.3%	53.1%	44.7%
Put IV 25d	55.5%	50.5%	60.5%	59.8%	51.7%
Bid-Ask Spread %	14.70	10.70	22.70	15.74	22.70
Gamma HHI	0.18	0.10	0.53	0.11	0.13
Net GEX	682.1K	171.9K	1.8M	410.0K	561.4K
Net DEX	-41.1M	-71.7M	-16.0M	-27.3M	-37.0M
Net VEX	-285.7K	-299.6K	-273.7K	-284.4K	-289.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.23	2.18	2.18	0.87
Total Volume	3,779.435	866	12,198	4,279	2,618
Total OI	94,886.696	79,105	110,849	93,179	88,442

Daily Data (23 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
2012-08-01	$19.27	$17.00	58.1%	16.6%	105.9%	30.9%	58.1%	6.8%	0.1%	410.0K	-27.3M	-284.4K	2.18	15.74	N/A	N/A	1,346	2,933	49,441	43,738
2012-08-02	$18.60	$17.00	55.5%	15.9%	106.7%	27.2%	57.9%	6.2%	3.4%	384.8K	-19.7M	-278.3K	0.87	13.21	N/A	N/A	2,735	2,376	49,834	43,152
2012-08-03	$19.19	$17.00	51.6%	14.8%	106.2%	21.4%	50.1%	8.4%	4.3%	470.5K	-27.4M	-281.9K	0.31	10.98	N/A	N/A	4,495	1,394	51,141	44,167
2012-08-06	$19.91	$16.00	51.0%	15.7%	106.7%	20.5%	53.2%	9.7%	2.4%	672.5K	-38.5M	-279.7K	0.28	17.24	N/A	N/A	3,522	988	52,841	43,640
2012-08-07	$21.20	$17.00	48.5%	15.3%	104.7%	16.8%	53.4%	9.0%	2.0%	712.1K	-55.5M	-288.3K	0.31	16.65	N/A	N/A	9,324	2,874	54,451	43,812
2012-08-08	$21.25	$19.00	51.4%	15.6%	103.0%	23.1%	52.0%	10.0%	1.8%	1.1M	-60.7M	-299.6K	0.89	18.51	N/A	N/A	2,417	2,155	59,486	45,604
2012-08-09	$21.84	$20.00	47.0%	14.9%	103.1%	16.0%	53.5%	9.4%	1.9%	1.1M	-69.2M	-298.0K	1.78	12.01	N/A	N/A	708	1,263	59,938	45,334
2012-08-10	$21.96	$20.00	46.1%	14.7%	102.9%	14.7%	57.2%	9.2%	2.3%	1.1M	-71.2M	-294.7K	0.84	15.66	N/A	N/A	5,466	4,586	59,861	45,365
2012-08-13	$21.58	$20.00	48.5%	14.7%	102.2%	18.4%	53.6%	8.8%	2.1%	1.0M	-64.1M	-293.2K	0.43	18.76	N/A	N/A	1,462	624	59,885	49,759
2012-08-14	$21.19	$20.00	47.3%	15.1%	102.8%	16.5%	54.0%	10.5%	2.8%	1.2M	-58.9M	-292.8K	0.23	18.54	N/A	N/A	2,141	491	60,495	50,135
2012-08-15	$21.09	$20.00	45.7%	14.4%	102.2%	13.9%	50.7%	9.2%	3.9%	1.3M	-56.6M	-290.0K	0.58	15.52	N/A	N/A	930	543	60,502	50,347
2012-08-16	$21.65	$20.00	48.9%	14.0%	99.4%	19.2%	48.8%	8.5%	3.3%	1.2M	-64.7M	-283.1K	0.93	15.16	N/A	N/A	1,727	1,598	59,293	49,681
2012-08-17	$22.04	$20.00	46.7%	13.4%	99.2%	15.6%	45.6%	8.7%	3.2%	1.8M	-71.7M	-282.0K	0.39	14.38	N/A	N/A	4,230	1,645	59,366	49,540
2012-08-20	$21.76	$20.00	46.5%	13.3%	97.7%	15.3%	46.8%	7.8%	4.5%	369.1K	-30.3M	-279.6K	0.84	11.03	N/A	N/A	1,792	1,508	41,428	37,677
2012-08-21	$21.77	$20.00	47.2%	13.5%	96.9%	16.4%	48.1%	7.9%	4.2%	345.1K	-29.9M	-284.0K	0.86	14.90	N/A	N/A	1,266	1,088	42,286	39,008
2012-08-22	$21.42	$21.00	49.2%	14.1%	96.7%	19.6%	47.7%	6.8%	4.2%	310.9K	-27.1M	-282.9K	0.70	10.70	N/A	N/A	1,764	1,234	42,671	39,514
2012-08-23	$20.69	$21.00	49.0%	14.1%	43.1%	19.3%	49.5%	7.4%	3.8%	223.1K	-19.8M	-283.3K	0.67	12.83	N/A	N/A	932	621	43,466	40,234
2012-08-24	$20.53	$21.00	49.6%	14.2%	40.3%	20.3%	47.6%	7.6%	4.1%	201.5K	-18.4M	-282.1K	0.25	12.13	N/A	N/A	1,192	298	43,661	40,349
2012-08-27	$20.28	$21.00	52.2%	15.0%	40.5%	24.4%	52.7%	8.9%	3.7%	171.9K	-16.0M	-275.0K	0.45	11.91	N/A	N/A	597	269	44,016	40,465
2012-08-28	$20.36	$21.00	50.5%	14.5%	39.7%	21.7%	50.6%	7.4%	4.0%	191.4K	-16.6M	-273.7K	0.54	12.18	N/A	N/A	796	429	44,362	40,521
2012-08-29	$21.67	$21.00	50.0%	14.3%	44.6%	20.8%	49.4%	6.7%	3.6%	412.5K	-31.1M	-283.6K	0.38	12.85	N/A	N/A	4,048	1,529	44,823	40,721
2012-08-30	$21.81	$21.00	50.0%	14.3%	41.9%	20.9%	50.6%	6.4%	4.4%	472.2K	-33.3M	-292.0K	0.45	14.44	N/A	N/A	670	303	46,179	41,763
2012-08-31	$22.07	$21.00	48.6%	13.9%	41.0%	18.6%	51.8%	7.1%	4.4%	561.4K	-37.0M	-289.8K	0.87	22.70	N/A	N/A	1,400	1,218	46,594	41,848