TEX Options History — December 2012

In December 2012, TEX traded between $23.83 and $28.11. ATM implied volatility averaged 42.5%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 6.9% (HV 20d: 35.6%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2012-12-11: Highest Volume — 9,265 contracts
  • 2012-12-07: Largest IV drop — 11.9% change
  • 2012-12-28: Highest IV Rank — 18.7%
  • 2012-12-28: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.97$23.83$28.11$23.83$28.11
Max Pain$21.75$20.00$23.00$23.00$23.00
ATM IV42.5%37.0%46.6%42.9%46.4%
Expected Move12.4%11.8%13.4%12.3%13.3%
HV 20d35.6%29.4%45.3%45.3%37.5%
HV 60d42.1%39.1%46.7%46.7%41.2%
IV Rank10.7%0.1%18.7%11.6%18.4%
IV Percentile5.3%0.4%15.5%2.8%14.7%
Term Structure5.4%2.5%7.2%2.7%4.5%
VWIV44.6%42.0%48.8%42.3%48.8%
Skew 25d5.7%4.7%7.7%6.6%4.7%
Skew 10d11.3%9.5%16.8%13.5%10.1%
Call IV 25d41.2%37.9%44.8%39.8%44.8%
Put IV 25d46.9%45.4%49.5%46.4%49.5%
Bid-Ask Spread %12.117.1417.2416.0610.61
Gamma HHI0.210.120.300.160.15
Net GEX1.3M220.1K2.4M762.6K480.0K
Net DEX-53.5M-78.0M-32.9M-32.9M-59.4M
Net VEX-204.2K-218.9K-189.0K-213.7K-202.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.105.120.681.06
Total Volume2,967.652849,2652846,724
Total OI79,782.272,48490,68974,90277,628

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$23.83$23.0042.9%12.3%45.3%11.6%42.3%6.6%2.7%762.6K-32.9M-213.7K0.6816.06N/AN/A16911541,27733,625
2012-12-04$24.26$23.0043.0%12.3%45.2%11.7%42.8%7.6%2.5%905.2K-37.2M-209.5K0.5715.34N/AN/A57732941,04833,676
2012-12-05$24.48$23.0042.8%12.3%45.0%11.2%42.2%7.7%3.0%1.0M-40.0M-211.0K0.2417.24N/AN/A1,37932841,37133,874
2012-12-06$24.20$23.0042.0%12.1%36.9%9.9%42.0%6.8%2.8%943.0K-36.8M-206.9K0.8314.42N/AN/A29124241,59034,055
2012-12-07$24.86$20.0037.0%12.2%36.7%0.1%43.9%5.5%6.9%1.2M-44.5M-207.2K1.6514.00N/AN/A8481,39541,68934,194
2012-12-10$25.96$20.0037.9%12.3%38.7%1.7%45.5%5.5%6.6%1.5M-58.4M-202.1K0.3912.72N/AN/A2,11982441,92235,233
2012-12-11$25.69$20.0040.5%12.6%39.2%6.9%45.3%5.2%5.8%1.4M-54.8M-203.6K0.1014.68N/AN/A8,44582042,10035,510
2012-12-12$26.32$20.0039.9%12.5%38.1%5.6%43.3%5.2%5.3%2.2M-66.5M-208.4K0.9011.34N/AN/A1,2501,12449,38335,697
2012-12-13$25.78$20.0043.6%12.5%34.1%12.9%45.7%5.3%5.6%1.9M-56.2M-207.9K0.769.31N/AN/A51739546,99636,402
2012-12-14$25.48$20.0044.3%12.7%34.5%14.2%44.9%5.6%5.5%1.9M-51.1M-201.2K0.6510.03N/AN/A88957747,04036,486
2012-12-17$26.12$20.0043.1%12.4%34.8%12.0%43.7%4.8%5.9%2.2M-60.6M-196.0K0.739.49N/AN/A78357046,99436,761
2012-12-18$27.20$20.0042.1%12.1%31.3%9.9%46.4%5.8%5.7%2.4M-78.0M-189.0K5.129.59N/AN/A9264,74547,13336,774
2012-12-19$26.92$22.0042.2%12.1%32.1%10.3%46.1%5.3%6.1%2.2M-72.1M-198.7K2.7513.73N/AN/A1,0442,86947,47340,753
2012-12-20$26.92$23.0041.3%11.8%30.6%8.5%43.3%5.3%7.2%2.0M-71.1M-198.7K1.3013.48N/AN/A66286047,74242,535
2012-12-21$26.78$23.0042.8%12.3%30.8%11.4%43.3%5.6%5.6%978.3K-69.5M-198.5K0.3610.12N/AN/A6,4632,30947,80542,884
2012-12-24$26.73$23.0042.2%12.1%30.8%10.2%43.9%6.3%7.0%375.2K-46.6M-202.9K2.087.14N/AN/A19941435,31137,173
2012-12-26$26.68$23.0044.9%12.9%29.6%15.3%45.6%4.8%6.1%358.3K-46.3M-200.3K1.818.94N/AN/A1,3302,40335,32737,395
2012-12-27$26.82$23.0044.0%12.6%29.4%13.6%45.2%5.3%6.2%328.7K-46.6M-206.9K1.7810.39N/AN/A1,2572,24336,03439,130
2012-12-28$26.32$23.0046.6%13.4%30.5%18.7%47.4%5.1%6.3%220.1K-41.1M-218.9K2.1913.65N/AN/A28863136,75940,865
2012-12-31$28.11$23.0046.4%13.3%37.5%18.4%48.8%4.7%4.5%480.0K-59.4M-202.9K1.0610.61N/AN/A3,2653,45936,85940,769