TEX Options History — January 2013

In January 2013, TEX traded between $28.43 and $33.00. ATM implied volatility averaged 40.4%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 1.0% (HV 20d: 41.4%). Max pain ranged from $23.00 to $30.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-01-25: Highest Volume — 30,269 contracts
  • 2013-01-10: Largest IV spike — 26.8% change
  • 2013-01-10: Highest IV Rank — 18.0%
  • 2013-01-08: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.97$28.43$33.00$29.65$32.38
Max Pain$28.24$23.00$30.00$23.00$30.00
ATM IV40.4%35.5%45.1%38.6%44.2%
Expected Move12.1%10.8%13.1%11.1%12.7%
HV 20d41.4%34.3%55.0%39.8%48.5%
HV 60d41.3%38.8%44.7%42.4%44.4%
IV Rank9.0%0.0%18.0%3.1%16.4%
IV Percentile6.8%0.0%17.9%1.2%17.9%
Term Structure3.1%-0.4%7.9%7.0%7.1%
VWIV42.6%38.8%46.7%40.7%45.7%
Skew 25d5.6%3.3%6.9%4.4%5.2%
Skew 10d11.9%8.9%19.5%10.7%9.3%
Call IV 25d39.9%36.0%43.6%37.0%42.0%
Put IV 25d45.5%41.4%49.0%41.4%47.2%
Bid-Ask Spread %13.529.8419.8610.6817.24
Gamma HHI0.230.110.320.220.14
Net GEX1.1M-113.4K1.8M870.3K1.2M
Net DEX-62.4M-80.9M-11.0M-76.2M-62.4M
Net VEX-241.0K-325.3K-192.5K-192.5K-324.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.123.411.000.77
Total Volume5,640.3331,05830,2694,2214,003
Total OI82,887.61950,773104,70082,62779,676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$29.65$23.0038.6%11.1%39.8%3.1%40.7%4.4%7.0%870.3K-76.2M-192.5K1.0010.68N/AN/A2,1112,11038,81443,813
2013-01-03$29.06$23.0038.6%11.1%41.2%3.2%38.9%4.6%7.9%857.1K-70.2M-198.1K0.1413.42N/AN/A6,07282939,48141,931
2013-01-04$29.58$27.0035.6%12.7%41.3%0.0%43.5%6.5%0.9%1.2M-76.5M-198.5K0.1214.73N/AN/A3,54444041,05342,367
2013-01-07$29.66$27.0036.4%13.1%40.7%1.5%46.6%5.4%-0.2%1.5M-80.9M-204.4K0.2913.34N/AN/A2,77579243,79942,473
2013-01-08$29.36$27.0037.0%13.1%40.8%2.5%46.7%5.9%0.4%1.4M-78.9M-212.3K0.6414.58N/AN/A64741144,81442,883
2013-01-09$29.36$27.0035.5%12.9%38.7%0.0%45.1%6.9%0.2%1.5M-79.0M-208.7K0.6612.85N/AN/A2,0061,32844,90843,110
2013-01-10$29.34$27.0045.1%12.9%38.3%18.0%44.7%6.3%-0.4%1.6M-79.0M-212.9K0.5514.48N/AN/A2,6001,42146,15844,138
2013-01-11$29.44$28.0043.1%12.4%37.7%14.4%42.6%6.6%2.0%1.8M-80.6M-215.9K3.4111.34N/AN/A2,1197,21947,90545,293
2013-01-14$28.70$30.0043.9%12.6%38.2%15.9%43.2%6.6%0.9%1.2M-61.4M-234.6K0.3311.59N/AN/A4,9101,62148,80351,095
2013-01-15$28.85$30.0042.4%12.1%37.7%13.0%42.6%6.4%1.4%1.4M-63.9M-238.3K1.4410.59N/AN/A8671,24950,18052,172
2013-01-16$29.01$30.0041.9%12.0%37.0%12.1%41.4%6.3%1.8%1.3M-65.2M-238.9K0.3012.16N/AN/A2,49875850,39252,702
2013-01-17$29.28$29.0040.7%11.7%34.7%9.8%40.6%5.9%3.0%1.7M-71.4M-235.1K0.419.84N/AN/A1,75271051,52352,811
2013-01-18$29.53$29.0037.6%10.8%34.3%4.0%38.8%5.8%4.2%1.0M-74.2M-232.3K0.8215.05N/AN/A1,2161,00351,71152,989
2013-01-22$29.17$29.0039.0%11.2%34.8%6.6%39.3%5.7%0.9%110.2K-17.8M-226.0K1.2114.32N/AN/A2,2772,76424,21626,557
2013-01-23$28.77$29.0038.3%11.0%35.2%5.3%39.1%6.2%1.0%-9.4K-14.4M-241.7K1.7812.30N/AN/A7841,39625,92428,634
2013-01-24$28.43$29.0039.8%11.4%35.6%8.0%40.0%6.0%-0.0%-113.4K-11.0M-242.6K1.3714.25N/AN/A2,2743,10726,28429,487
2013-01-25$32.05$29.0041.4%11.9%54.5%11.2%42.3%4.7%6.5%624.2K-47.0M-253.3K0.4412.25N/AN/A21,0729,19728,00831,769
2013-01-28$33.00$30.0044.5%12.8%55.0%17.0%44.4%3.3%6.8%1.4M-73.5M-305.5K0.5619.86N/AN/A7,7054,28839,42835,382
2013-01-29$32.72$30.0041.9%12.0%54.4%12.1%43.3%4.5%6.9%1.5M-70.0M-319.4K1.5814.82N/AN/A1,4082,22841,99136,901
2013-01-30$31.98$30.0043.6%12.5%51.5%15.2%45.0%5.1%6.7%1.1M-56.4M-325.3K0.4914.28N/AN/A1,97596141,15837,907
2013-01-31$32.38$30.0044.2%12.7%48.5%16.4%45.7%5.2%7.1%1.2M-62.4M-324.5K0.7717.24N/AN/A2,2631,74041,31038,366