TEX Options History — November 2012

In November 2012, TEX traded between $21.00 and $24.34. ATM implied volatility averaged 47.9%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 2.1% (HV 20d: 45.8%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2012-11-26: Highest Volume — 6,801 contracts
  • 2012-11-19: Largest IV drop — 13.4% change
  • 2012-11-14: Highest IV Rank — 32.3%
  • 2012-11-15: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.02$21.00$24.34$23.46$24.19
Max Pain$22.52$22.00$23.00$22.00$23.00
ATM IV47.9%40.7%53.6%47.5%40.7%
Expected Move13.7%11.7%15.3%13.6%11.7%
HV 20d45.8%39.0%50.4%42.1%45.0%
HV 60d47.4%44.5%49.3%46.3%47.8%
IV Rank21.2%7.2%32.3%20.4%7.2%
IV Percentile17.5%0.4%40.9%8.7%0.4%
Term Structure1.9%-0.1%3.8%2.5%3.8%
VWIV47.6%40.6%52.5%49.1%41.3%
Skew 25d6.1%3.7%8.2%3.9%6.2%
Skew 10d12.1%4.9%19.7%5.8%19.7%
Call IV 25d45.0%37.9%50.3%46.1%37.9%
Put IV 25d51.1%44.1%56.8%50.0%44.1%
Bid-Ask Spread %14.8810.9720.3010.9717.96
Gamma HHI0.150.110.230.140.15
Net GEX614.2K-526.1K1.5M1.1M803.8K
Net DEX-28.3M-50.2M-2.7M-40.6M-36.3M
Net VEX-226.6K-264.3K-206.0K-263.2K-209.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.093.382.740.84
Total Volume2,519.8573246,8014,0874,650
Total OI84,856.85763,42399,26595,20670,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$23.46$22.0047.5%13.6%42.1%20.4%49.1%3.9%2.5%1.1M-40.6M-263.2K2.7410.97N/AN/A1,0922,99551,31043,896
2012-11-02$23.26$23.0048.4%13.9%42.2%22.2%48.4%3.7%1.6%994.2K-37.4M-264.3K0.5013.16N/AN/A1,36368151,70845,810
2012-11-05$23.74$23.0051.8%14.5%39.0%28.8%49.8%6.5%-0.1%1.3M-45.1M-261.4K0.3815.81N/AN/A62724052,31244,774
2012-11-06$24.05$23.0051.8%14.4%39.0%28.8%50.1%6.6%0.2%1.5M-50.2M-258.9K2.2915.00N/AN/A40893452,52344,797
2012-11-07$22.43$23.0052.3%14.9%46.3%29.7%52.5%6.5%0.9%698.5K-25.3M-248.2K1.0420.30N/AN/A82485452,41544,827
2012-11-08$21.99$23.0050.8%15.1%44.9%26.8%51.1%7.0%0.6%375.4K-17.9M-239.4K0.3912.48N/AN/A1,30351152,40845,277
2012-11-09$22.45$23.0049.5%15.2%44.9%24.4%50.2%6.5%0.3%829.6K-25.0M-242.1K0.1016.02N/AN/A3,38133653,46745,160
2012-11-12$22.65$23.0050.7%14.5%44.9%26.7%51.7%6.6%1.3%953.0K-26.7M-231.1K0.7518.33N/AN/A35826952,64845,312
2012-11-13$22.13$22.0052.6%14.8%45.5%30.3%50.5%6.3%1.0%492.4K-18.8M-222.5K3.3814.85N/AN/A8252,78952,82345,357
2012-11-14$21.13$22.0053.6%15.1%48.1%32.3%52.1%6.0%1.4%-389.3K-3.5M-209.4K3.1914.96N/AN/A6962,22152,86846,397
2012-11-15$21.00$23.0053.5%15.3%46.7%32.1%52.5%6.5%1.7%-526.1K-2.7M-206.0K2.2115.23N/AN/A9532,10252,26645,737
2012-11-16$21.36$22.0053.0%15.2%43.1%31.1%52.3%5.3%1.1%-54.0K-7.7M-206.1K2.6314.74N/AN/A4001,05052,54445,435
2012-11-19$22.71$22.0045.9%13.2%49.4%17.3%45.6%5.8%1.8%342.4K-23.0M-207.7K0.3311.89N/AN/A1,97865334,18929,234
2012-11-20$22.96$22.0045.1%12.9%48.8%15.9%44.0%6.0%2.7%438.3K-25.9M-211.5K0.4214.99N/AN/A1,04043235,57129,637
2012-11-21$23.76$22.0044.0%12.6%50.4%13.6%45.1%5.1%2.9%569.6K-32.5M-215.2K1.0712.45N/AN/A1,0891,16436,10729,855
2012-11-23$24.02$22.0043.1%12.3%49.8%11.9%43.5%5.3%3.2%630.2K-35.0M-215.9K0.4114.91N/AN/A34414036,73430,319
2012-11-26$24.34$22.0043.9%12.6%49.6%13.5%42.8%8.2%3.0%688.3K-37.9M-211.0K0.4212.19N/AN/A4,7732,02836,97730,415
2012-11-27$23.87$22.0042.9%12.3%47.4%11.6%43.9%7.4%3.1%619.7K-33.3M-212.8K1.0118.10N/AN/A3,0683,10037,48832,113
2012-11-28$23.83$23.0042.8%12.3%47.4%11.3%42.4%6.6%3.1%676.0K-33.1M-212.4K0.6512.49N/AN/A19612838,61831,563
2012-11-29$24.16$23.0041.3%11.9%47.0%8.5%40.6%6.5%3.4%772.3K-36.2M-210.6K0.0915.60N/AN/A8437938,72531,674
2012-11-30$24.19$23.0040.7%11.7%45.0%7.2%41.3%6.2%3.8%803.8K-36.3M-209.3K0.8417.96N/AN/A2,5312,11939,01331,691