TEX Options History — March 2013

In March 2013, TEX traded between $31.93 and $36.66. ATM implied volatility averaged 38.0%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 5.3% (HV 20d: 43.3%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2013-03-18: Highest Volume — 8,415 contracts
  • 2013-03-08: Largest IV drop — 12.6% change
  • 2013-03-04: Highest IV Rank — 14.5%
  • 2013-03-04: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.36$31.93$36.66$32.60$34.42
Max Pain$30.55$29.00$32.00$32.00$32.00
ATM IV38.0%33.5%43.2%41.0%38.0%
Expected Move11.0%10.3%12.1%11.7%10.9%
HV 20d43.3%36.3%47.6%44.2%36.8%
HV 60d44.7%43.8%45.9%44.1%44.0%
IV Rank7.0%0.0%14.5%10.3%8.2%
IV Percentile5.3%0.0%17.9%7.5%7.1%
Term Structure4.3%0.1%7.2%0.1%7.2%
VWIV39.1%35.5%43.8%40.1%38.3%
Skew 25d4.3%3.2%5.1%4.8%4.5%
Skew 10d8.5%5.9%13.4%13.4%9.3%
Call IV 25d36.6%34.1%40.8%39.3%35.8%
Put IV 25d40.9%38.3%45.5%44.2%40.3%
Bid-Ask Spread %13.158.8016.4516.4511.01
Gamma HHI0.140.090.250.110.14
Net GEX967.8K541.8K1.5M602.5K743.0K
Net DEX-58.0M-72.6M-33.4M-41.1M-49.1M
Net VEX-262.2K-297.5K-237.5K-297.5K-262.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.226.200.800.85
Total Volume2,442.859408,4159611,592
Total OI69,412.953,34878,04875,86463,614

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$32.60$32.0041.0%11.7%44.2%10.3%40.1%4.8%0.1%602.5K-41.1M-297.5K0.8016.45N/AN/A53442739,84236,022
2013-03-04$31.93$29.0043.2%12.1%44.4%14.5%43.8%4.6%1.0%541.8K-33.4M-283.5K1.6911.57N/AN/A8571,44939,95135,146
2013-03-05$33.55$30.0041.9%11.5%46.7%12.2%40.9%4.2%1.3%1.0M-55.6M-281.3K0.3315.98N/AN/A3,1021,00839,91435,733
2013-03-06$33.24$30.0039.7%11.6%46.3%7.9%41.3%4.4%2.2%911.4K-50.6M-274.8K1.5814.03N/AN/A9651,52039,85736,078
2013-03-07$33.50$30.0040.3%11.3%46.3%9.1%40.5%4.6%3.1%1.0M-54.4M-275.8K1.1013.69N/AN/A44749340,54736,534
2013-03-08$34.52$30.0035.2%10.6%47.5%0.0%41.0%4.8%3.3%1.5M-70.6M-268.0K1.858.80N/AN/A6771,25440,74636,531
2013-03-11$34.38$30.0037.0%10.7%47.2%3.4%38.5%5.1%3.5%1.3M-68.9M-256.8K1.2913.14N/AN/A1,3701,76740,89736,689
2013-03-12$33.77$30.0033.7%10.5%47.6%0.0%37.6%4.3%4.1%970.3K-58.7M-251.2K0.5615.06N/AN/A62335240,89736,760
2013-03-13$34.24$30.0033.5%10.5%44.8%0.0%36.8%4.5%3.8%1.2M-67.2M-247.2K0.2414.38N/AN/A1,09826640,94436,847
2013-03-14$34.45$30.0036.0%10.3%44.7%4.6%36.4%4.2%4.5%1.1M-71.1M-242.5K0.6813.22N/AN/A1,44097940,97136,508
2013-03-15$34.30$30.0036.4%10.4%44.7%5.3%35.5%3.8%4.5%1.3M-69.9M-240.1K0.4211.62N/AN/A1,51262841,31236,736
2013-03-18$35.45$30.0038.2%11.0%46.3%8.7%37.9%3.3%4.8%876.3K-61.6M-237.5K0.2212.71N/AN/A6,8701,54528,21025,138
2013-03-19$35.21$30.0039.1%11.2%46.3%10.3%39.2%3.6%4.3%1.1M-61.1M-254.9K1.7315.16N/AN/A8161,40831,24826,082
2013-03-20$36.66$30.0036.6%10.5%39.8%5.8%38.2%3.9%5.8%1.1M-72.6M-249.8K1.0513.37N/AN/A1,2771,34431,49127,220
2013-03-21$35.74$30.0037.7%10.8%40.0%7.7%38.9%3.9%6.4%1.0M-64.4M-259.3K6.2012.41N/AN/A6624,10731,73327,740
2013-03-22$35.21$32.0037.9%10.9%40.1%8.1%38.0%3.2%6.4%775.3K-56.1M-268.1K0.7912.18N/AN/A59146631,92430,315
2013-03-25$34.03$32.0039.3%11.3%38.1%10.7%38.9%4.7%6.2%660.7K-44.8M-265.1K1.2810.85N/AN/A1,1691,49931,96130,115
2013-03-26$34.98$32.0037.6%10.8%37.0%7.6%41.3%4.3%7.2%763.5K-54.4M-264.2K2.2913.34N/AN/A29467232,28830,692
2013-03-27$34.96$32.0037.0%10.6%36.3%6.5%38.2%4.6%7.2%788.9K-54.2M-263.0K0.3813.93N/AN/A1,28649132,43630,589
2013-03-28$34.42$32.0038.0%10.9%36.8%8.2%38.3%4.5%7.2%743.0K-49.1M-262.6K0.8511.01N/AN/A86273032,80930,805