TEX Options History — September 2012

In September 2012, TEX traded between $20.85 and $25.55. ATM implied volatility averaged 51.0%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 0.6% (HV 20d: 51.5%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.95.

Notable Days

  • 2012-09-27: Highest Volume — 12,500 contracts
  • 2012-09-06: Largest IV drop — 9.3% change
  • 2012-09-05: Highest IV Rank — 28.3%
  • 2012-09-05: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.26$20.85$25.55$21.88$22.58
Max Pain$20.84$19.00$22.00$21.00$22.00
ATM IV51.0%48.7%54.7%53.9%48.7%
Expected Move14.7%14.0%15.7%15.5%14.0%
HV 20d51.5%37.8%59.4%39.8%56.9%
HV 60d75.2%72.8%77.4%77.4%72.8%
IV Rank22.4%18.8%28.3%27.1%18.8%
IV Percentile20.2%10.7%29.4%27.4%10.7%
Term Structure4.2%0.7%8.9%0.7%7.6%
VWIV52.4%49.3%56.3%55.5%54.3%
Skew 25d6.4%4.5%8.8%7.4%4.9%
Skew 10d12.4%7.0%18.8%12.6%12.0%
Call IV 25d48.6%46.4%53.5%50.8%47.8%
Put IV 25d55.1%51.9%60.1%58.2%52.6%
Bid-Ask Spread %12.598.5321.8521.8514.28
Gamma HHI0.170.110.560.130.11
Net GEX749.5K220.3K1.9M502.3K270.9K
Net DEX-48.8M-81.3M-21.5M-34.3M-34.0M
Net VEX-277.3K-289.6K-266.6K-288.6K-289.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.142.001.391.59
Total Volume4,539.4211,49512,5004,1761,823
Total OI95,432.47482,299109,45489,80296,026

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$21.88$21.0053.9%15.5%39.8%27.1%55.5%7.4%0.7%502.3K-34.3M-288.6K1.3921.85N/AN/A1,7442,43247,11842,684
2012-09-05$20.85$21.0054.7%15.7%37.8%28.3%56.3%6.6%3.2%220.3K-21.5M-280.3K2.0012.51N/AN/A1,0742,14347,14143,962
2012-09-06$22.03$21.0049.6%14.2%42.7%20.2%49.8%7.2%4.1%471.6K-34.5M-283.5K0.3213.39N/AN/A2,35976447,16645,343
2012-09-07$23.36$19.0048.7%15.1%46.4%18.8%52.4%8.7%3.1%729.8K-52.0M-284.8K1.3012.53N/AN/A2,8723,74648,04645,392
2012-09-10$22.60$19.0050.6%15.1%48.2%21.9%50.8%8.8%3.0%638.1K-43.6M-281.1K1.0613.06N/AN/A76881548,52946,242
2012-09-11$22.97$19.0051.0%15.1%47.9%22.5%51.7%7.4%3.3%722.1K-47.6M-278.9K0.7910.84N/AN/A2,0911,65248,39246,483
2012-09-12$24.28$20.0052.8%15.2%50.6%25.4%54.1%7.6%2.0%892.7K-64.9M-277.8K0.2511.41N/AN/A3,9821,00449,53747,296
2012-09-13$25.14$20.0050.2%14.4%51.4%21.2%51.5%6.3%2.8%935.7K-75.3M-271.7K0.9612.80N/AN/A3,3253,19349,97647,752
2012-09-14$25.55$20.0050.0%14.3%51.0%20.9%52.8%6.8%3.2%906.8K-81.3M-274.5K1.7311.70N/AN/A1,6942,93551,43349,566
2012-09-17$24.37$21.0053.2%15.3%54.5%26.0%52.4%6.6%1.9%922.6K-65.3M-275.0K0.7111.12N/AN/A87462151,87250,879
2012-09-18$24.06$21.0052.0%14.9%54.5%24.0%51.5%5.7%3.3%971.2K-61.7M-273.1K0.1412.50N/AN/A2,79038852,18951,009
2012-09-19$24.65$21.0051.4%14.7%54.9%23.0%51.1%6.5%1.9%1.1M-73.0M-271.8K0.2412.13N/AN/A6,5651,58353,37151,058
2012-09-20$23.66$21.0050.7%14.5%56.9%22.0%52.1%5.4%4.6%1.9M-60.8M-278.5K1.5412.95N/AN/A3,2214,95056,66750,485
2012-09-21$23.69$22.0049.2%14.1%55.0%19.6%50.2%6.2%5.4%1.9M-56.4M-277.6K0.6712.00N/AN/A1,8031,20855,52253,932
2012-09-24$23.42$22.0050.1%14.4%55.2%21.1%49.3%4.5%5.9%375.8K-38.7M-270.6K0.349.90N/AN/A1,18039643,11639,183
2012-09-25$22.15$22.0050.9%14.6%59.1%22.3%51.7%4.7%7.0%320.0K-25.9M-266.6K1.5611.40N/AN/A1,1561,80143,91639,463
2012-09-26$21.89$22.0051.7%14.8%59.4%23.6%53.4%6.4%7.0%247.2K-22.3M-268.4K0.638.53N/AN/A2,9431,85444,20040,614
2012-09-27$22.74$22.0048.9%14.0%56.8%19.2%55.1%4.7%8.9%304.7K-33.5M-276.9K0.9014.28N/AN/A6,5865,91445,74941,908
2012-09-28$22.58$22.0048.7%14.0%56.9%18.8%54.3%4.9%7.6%270.9K-34.0M-289.6K1.5914.28N/AN/A7041,11949,35946,667