TEX Options History — October 2012

In October 2012, TEX traded between $21.89 and $24.44. ATM implied volatility averaged 53.1%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 7.6% (HV 20d: 45.5%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.25.

Notable Days

  • 2012-10-24: Highest Volume — 18,731 contracts
  • 2012-10-11: Largest IV spike — 22.2% change
  • 2012-10-24: Highest IV Rank — 50.2%
  • 2012-10-24: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.00$21.89$24.44$22.17$22.55
Max Pain$21.71$20.00$22.00$22.00$22.00
ATM IV53.1%43.8%62.8%50.2%51.4%
Expected Move15.9%13.0%18.0%14.4%14.7%
HV 20d45.5%38.8%57.3%57.2%40.0%
HV 60d62.5%46.0%72.4%72.4%46.2%
IV Rank30.7%13.2%50.2%21.2%28.1%
IV Percentile31.4%1.2%67.1%20.2%30.6%
Term Structure-0.9%-7.4%10.5%8.7%-1.4%
VWIV55.5%44.2%64.5%50.7%50.9%
Skew 25d6.8%3.5%8.5%5.3%5.9%
Skew 10d12.9%8.9%16.5%9.8%12.1%
Call IV 25d52.2%44.3%59.8%48.1%48.5%
Put IV 25d59.0%47.8%68.3%53.4%54.4%
Bid-Ask Spread %14.9411.9319.0716.1115.15
Gamma HHI0.150.100.340.100.13
Net GEX364.8K-155.7K1.5M181.3K622.5K
Net DEX-36.6M-66.7M-16.5M-27.9M-27.2M
Net VEX-265.6K-284.3K-246.8K-284.3K-261.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.2013.293.181.08
Total Volume6,391.4761,14318,7314,9363,547
Total OI98,742.71467,330117,47397,50492,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$22.17$22.0050.2%14.4%57.2%21.2%50.7%5.3%8.7%181.3K-27.9M-284.3K3.1816.11N/AN/A1,1813,75549,64247,862
2012-10-02$22.50$22.0049.7%14.2%57.3%20.3%50.3%5.4%8.5%147.1K-31.1M-282.9K0.9014.84N/AN/A60354049,76048,798
2012-10-03$22.44$22.0048.8%14.0%54.3%19.2%47.4%4.8%9.4%118.4K-30.3M-281.7K0.9916.62N/AN/A1,4001,38849,85049,086
2012-10-04$23.58$22.0045.2%13.0%53.6%15.9%44.2%3.5%10.5%409.8K-48.6M-281.3K1.9213.86N/AN/A1,0502,01250,61548,962
2012-10-05$23.86$20.0043.8%16.0%49.7%13.2%57.3%7.0%-1.7%462.8K-52.8M-279.5K3.0816.49N/AN/A1,7015,23250,89650,663
2012-10-08$23.72$20.0046.6%16.5%48.1%18.7%57.3%7.2%-3.3%167.7K-47.9M-277.7K0.2013.82N/AN/A1,24125351,01853,549
2012-10-09$22.85$20.0047.0%17.1%49.8%19.6%60.0%7.5%-4.3%157.8K-35.4M-272.2K1.8411.93N/AN/A9331,72151,29950,874
2012-10-10$22.34$22.0047.5%17.3%45.7%20.6%58.8%8.5%-3.7%-1.6K-27.0M-268.2K1.6515.92N/AN/A8631,42351,45151,747
2012-10-11$22.60$22.0058.1%16.7%43.8%41.1%58.4%8.0%-3.9%-77.4K-30.0M-268.1K0.2615.98N/AN/A2,83474751,58052,766
2012-10-12$22.43$22.0058.6%16.8%43.1%42.0%57.9%7.8%-2.7%-3.4K-27.8M-265.1K13.2913.90N/AN/A3534,69053,54952,974
2012-10-15$22.67$22.0058.7%16.8%40.6%42.2%59.1%7.8%-5.1%-155.7K-30.4M-255.1K4.5513.86N/AN/A6492,95653,50654,833
2012-10-16$23.28$22.0057.9%16.6%41.8%40.7%58.5%8.0%-3.5%116.4K-41.4M-255.5K7.8912.36N/AN/A1,46711,57853,45455,693
2012-10-17$24.44$22.0057.4%16.5%44.6%39.7%59.4%7.9%-3.9%952.8K-65.1M-253.0K1.1014.94N/AN/A6,9897,70953,56362,611
2012-10-18$24.28$22.0056.0%16.0%42.1%36.9%56.6%8.2%-3.4%1.5M-66.7M-255.7K1.4614.64N/AN/A1,9072,79355,88961,584
2012-10-19$23.60$22.0055.3%15.9%43.4%35.6%55.5%6.6%-2.5%1.0M-48.9M-246.8K0.4913.18N/AN/A3,4651,70455,63659,460
2012-10-22$23.68$22.0056.9%16.3%43.2%38.7%57.3%7.0%-4.7%492.6K-34.3M-247.1K0.5015.22N/AN/A7,6043,82737,91729,413
2012-10-23$23.17$22.0059.6%17.1%38.8%43.9%58.4%7.9%-4.6%470.1K-30.6M-254.3K0.6012.73N/AN/A2,4641,47940,28731,810
2012-10-24$22.85$22.0062.8%18.0%38.9%50.2%64.5%8.4%-7.4%463.8K-28.3M-256.5K1.0418.54N/AN/A9,1709,56141,09332,073
2012-10-25$21.89$22.0051.7%14.8%39.6%28.6%51.3%6.7%0.1%184.0K-16.5M-259.7K0.5914.56N/AN/A7,6124,47848,44240,847
2012-10-26$22.04$22.0051.6%14.8%39.7%28.4%50.8%3.8%0.6%362.8K-20.7M-271.2K0.6119.07N/AN/A5,8023,54052,31743,524
2012-10-31$22.55$22.0051.4%14.7%40.0%28.1%50.9%5.9%-1.4%622.5K-27.2M-261.5K1.0815.15N/AN/A1,7041,84350,08142,623