TEX Options History — February 2013

In February 2013, TEX traded between $30.98 and $35.23. ATM implied volatility averaged 45.8%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 3.9% (HV 20d: 49.8%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-02-12: Highest Volume — 11,532 contracts
  • 2013-02-20: Largest IV drop — 17.9% change
  • 2013-02-11: Highest IV Rank — 28.4%
  • 2013-02-11: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.20$30.98$35.23$32.91$32.81
Max Pain$31.58$31.00$32.00$31.00$32.00
ATM IV45.8%39.3%50.5%41.2%40.8%
Expected Move13.5%11.3%14.5%14.0%11.7%
HV 20d49.8%43.4%58.2%47.8%44.3%
HV 60d42.2%39.2%44.9%44.4%44.3%
IV Rank19.5%7.2%28.4%10.7%10.0%
IV Percentile25.5%4.8%47.6%6.7%7.1%
Term Structure-3.4%-5.9%1.3%-4.7%0.9%
VWIV47.3%39.4%51.9%48.9%40.0%
Skew 25d5.0%1.3%6.6%6.5%4.2%
Skew 10d9.0%-1.1%12.7%11.3%7.3%
Call IV 25d44.8%39.6%47.4%45.2%39.6%
Put IV 25d49.7%41.3%53.5%51.7%43.7%
Bid-Ask Spread %16.1012.1822.0415.5714.57
Gamma HHI0.160.070.630.140.11
Net GEX1.4M257.1K5.5M1.3M810.3K
Net DEX-65.9M-114.4M-21.9M-70.3M-45.6M
Net VEX-294.1K-317.8K-265.4K-317.8K-299.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.202.150.200.66
Total Volume4,022.21199411,5326,5752,328
Total OI79,361.21163,97092,33880,96275,311

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$32.91$31.0041.2%14.0%47.8%10.7%48.9%6.5%-4.7%1.3M-70.3M-317.8K0.2015.57N/AN/A5,4971,07841,72839,234
2013-02-04$32.00$31.0045.4%14.4%49.1%18.6%50.8%6.1%-5.0%1.1M-55.5M-311.1K1.6317.48N/AN/A50782540,85539,544
2013-02-05$32.68$31.0044.6%14.3%49.5%17.2%51.9%6.6%-4.7%1.2M-65.1M-302.7K2.1517.20N/AN/A6041,29640,64639,764
2013-02-06$32.96$31.0043.0%14.1%49.2%14.1%50.8%5.9%-4.2%1.4M-70.2M-298.8K0.2917.51N/AN/A76922541,04240,805
2013-02-07$32.94$31.0049.6%14.2%49.2%26.5%51.5%6.5%-4.6%1.5M-70.6M-296.6K1.2618.24N/AN/A8391,05441,33740,899
2013-02-08$33.51$31.0048.3%13.8%49.3%24.1%47.8%5.8%-4.6%1.6M-79.2M-294.2K0.4717.38N/AN/A1,89588341,78741,504
2013-02-11$33.28$31.0050.5%14.5%49.5%28.4%50.1%6.3%-5.9%1.9M-78.5M-282.8K0.6019.43N/AN/A3,1321,88142,71941,813
2013-02-12$34.84$31.0049.7%14.2%49.9%26.7%49.6%5.7%-5.9%2.0M-106.3M-265.4K0.4415.86N/AN/A8,0333,49943,71243,156
2013-02-13$35.23$32.0048.3%13.9%49.9%24.2%49.1%4.9%-4.9%2.2M-114.4M-284.8K1.5214.82N/AN/A1,5742,39747,42844,642
2013-02-14$35.00$32.0048.8%14.0%50.2%25.0%49.5%5.1%-5.4%2.7M-110.1M-284.0K0.8814.57N/AN/A1,3151,15847,69544,267
2013-02-15$34.92$32.0048.0%13.8%50.4%23.6%47.7%4.7%-5.0%5.5M-106.5M-283.1K0.6717.40N/AN/A2,1541,44647,56744,771
2013-02-19$34.91$32.0047.9%13.7%50.5%23.4%48.2%4.3%-5.6%1.1M-66.0M-277.1K1.8916.43N/AN/A2,8545,38734,08129,889
2013-02-20$32.49$32.0039.3%11.3%57.6%7.2%39.4%1.3%1.3%491.3K-38.0M-287.9K0.6722.04N/AN/A4,1602,76835,56833,169
2013-02-21$31.73$32.0044.1%12.6%58.2%16.2%43.0%4.1%-1.2%404.7K-29.3M-293.7K0.3712.18N/AN/A6,0382,26236,94433,493
2013-02-22$32.47$32.0043.1%12.4%58.2%14.4%41.7%4.3%-0.4%584.2K-39.2M-302.0K0.3414.64N/AN/A1,52851437,61234,098
2013-02-25$30.98$32.0047.9%13.7%43.4%23.3%47.9%4.1%-2.7%257.1K-21.9M-296.2K0.7314.05N/AN/A1,7911,30837,73534,376
2013-02-26$32.19$32.0047.3%13.6%44.3%22.3%46.6%4.3%-2.1%558.0K-37.3M-303.3K0.3713.76N/AN/A1,68962238,84234,870
2013-02-27$32.96$32.0043.1%12.4%45.1%14.4%43.9%4.0%-0.4%855.2K-47.9M-305.5K1.4412.88N/AN/A45665639,96934,991
2013-02-28$32.81$32.0040.8%11.7%44.3%10.0%40.0%4.2%0.9%810.3K-45.6M-299.9K0.6614.57N/AN/A1,40392540,04835,263