TEX Options History — April 2013

In April 2013, TEX traded between $27.22 and $32.88. ATM implied volatility averaged 49.0%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 8.2% (HV 20d: 40.8%). Max pain ranged from $29.00 to $34.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.94.

Notable Days

2013-04-09: Highest Volume — 9,600 contracts
2013-04-25: Largest IV drop — 26.0% change
2013-04-18: Highest IV Rank — 49.8%
2013-04-18: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.88	$27.22	$32.88	$32.88	$28.60
Max Pain	$31.45	$29.00	$34.00	$32.00	$30.00
ATM IV	49.0%	38.7%	60.8%	41.6%	39.5%
Expected Move	14.4%	11.1%	17.4%	11.9%	11.3%
HV 20d	40.8%	36.5%	45.8%	40.5%	41.1%
HV 60d	44.8%	41.5%	48.7%	43.9%	41.5%
IV Rank	28.3%	9.6%	49.8%	14.9%	11.0%
IV Percentile	44.0%	9.1%	79.8%	15.9%	11.1%
Term Structure	-3.3%	-10.1%	6.2%	6.2%	2.0%
VWIV	50.2%	38.5%	59.7%	42.0%	39.9%
Skew 25d	5.6%	2.4%	8.3%	4.5%	4.7%
Skew 10d	10.2%	5.6%	15.0%	10.3%	5.6%
Call IV 25d	47.9%	37.2%	58.0%	40.8%	38.0%
Put IV 25d	53.5%	42.3%	64.3%	45.4%	42.7%
Bid-Ask Spread %	14.29	9.68	19.98	12.30	12.18
Gamma HHI	0.10	0.08	0.16	0.11	0.08
Net GEX	227.4K	-273.0K	806.3K	479.5K	132.5K
Net DEX	-11.9M	-32.7M	15.7M	-32.7M	-10.4M
Net VEX	-238.5K	-261.6K	-220.4K	-255.6K	-223.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.21	4.19	0.27	0.39
Total Volume	2,841.045	627	9,600	2,895	869
Total OI	63,003.909	40,528	77,122	64,210	47,188

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-04-01	$32.88	$32.00	41.6%	11.9%	40.5%	14.9%	42.0%	4.5%	6.2%	479.5K	-32.7M	-255.6K	0.27	12.30	N/A	N/A	2,283	612	33,027	31,183
2013-04-02	$32.19	$32.00	42.1%	12.1%	40.6%	15.7%	41.8%	2.4%	6.2%	483.6K	-27.0M	-252.8K	4.19	13.31	N/A	N/A	919	3,854	34,371	31,479
2013-04-03	$31.28	$32.00	45.0%	12.9%	37.4%	21.1%	45.7%	4.6%	4.9%	193.9K	-16.1M	-250.8K	1.65	16.74	N/A	N/A	1,556	2,562	34,725	32,431
2013-04-04	$31.84	$31.00	43.5%	12.5%	38.1%	18.3%	43.5%	3.9%	6.0%	448.5K	-24.8M	-253.5K	0.32	13.39	N/A	N/A	1,958	622	34,931	31,476
2013-04-05	$31.11	$34.00	46.2%	14.8%	38.6%	23.2%	53.9%	6.4%	-6.0%	397.2K	-18.8M	-252.9K	1.26	12.61	N/A	N/A	1,955	2,454	36,159	31,685
2013-04-08	$31.07	$33.00	47.3%	15.0%	36.5%	25.1%	52.9%	6.8%	-6.3%	507.0K	-20.3M	-253.5K	1.18	11.49	N/A	N/A	922	1,084	37,139	31,614
2013-04-09	$31.91	$33.00	44.0%	14.8%	38.2%	19.1%	52.1%	6.6%	-5.8%	806.3K	-30.3M	-254.4K	0.68	13.12	N/A	N/A	5,713	3,887	37,645	31,861
2013-04-10	$31.57	$33.00	43.2%	14.5%	38.0%	17.7%	51.5%	6.1%	-5.9%	771.7K	-26.2M	-261.6K	0.53	12.20	N/A	N/A	1,458	775	40,841	34,115
2013-04-11	$31.26	$33.00	51.4%	14.7%	37.5%	32.7%	52.1%	6.1%	-6.5%	693.2K	-22.6M	-254.0K	0.60	16.31	N/A	N/A	681	409	40,667	33,692
2013-04-12	$30.46	$33.00	52.3%	15.0%	38.0%	34.2%	51.2%	6.0%	-6.9%	295.5K	-11.6M	-246.4K	0.21	15.69	N/A	N/A	1,760	374	40,894	33,638
2013-04-15	$28.17	$33.00	60.1%	17.2%	45.8%	48.4%	58.8%	5.2%	-9.9%	-251.2K	11.0M	-221.5K	0.85	19.69	N/A	N/A	3,184	2,715	41,098	33,724
2013-04-16	$28.60	$31.00	56.8%	16.3%	43.9%	42.5%	56.5%	5.8%	-8.5%	-243.4K	7.0M	-226.6K	2.01	15.24	N/A	N/A	769	1,548	42,429	34,207
2013-04-17	$27.71	$31.00	59.0%	16.9%	44.5%	46.4%	59.7%	6.4%	-8.6%	-251.0K	13.0M	-223.4K	1.22	11.38	N/A	N/A	1,280	1,557	42,498	34,189
2013-04-18	$27.22	$31.00	60.8%	17.4%	40.0%	49.8%	59.7%	6.3%	-10.1%	-273.0K	15.7M	-220.4K	0.67	12.77	N/A	N/A	1,134	757	42,554	34,340
2013-04-19	$27.61	$31.00	58.2%	16.7%	41.1%	45.0%	58.8%	4.9%	-8.7%	-220.4K	13.7M	-222.6K	0.30	15.32	N/A	N/A	1,341	400	42,704	34,418
2013-04-22	$28.46	$30.00	59.2%	17.0%	43.8%	46.8%	57.8%	6.5%	-8.0%	107.2K	-11.3M	-226.9K	0.24	14.10	N/A	N/A	1,300	315	21,661	18,867
2013-04-23	$28.73	$30.00	55.9%	16.0%	43.5%	40.7%	56.5%	8.3%	-6.0%	144.2K	-12.6M	-228.9K	0.46	18.35	N/A	N/A	863	396	22,371	19,070
2013-04-24	$29.53	$30.00	53.8%	15.4%	43.5%	37.1%	53.1%	6.0%	-6.6%	203.1K	-17.0M	-234.7K	1.15	16.80	N/A	N/A	2,152	2,479	23,021	19,297
2013-04-25	$29.16	$29.00	39.8%	11.4%	43.4%	11.6%	40.0%	5.1%	2.3%	228.8K	-15.0M	-229.8K	1.26	19.98	N/A	N/A	930	1,172	24,560	21,086
2013-04-26	$28.92	$30.00	38.7%	11.1%	43.3%	9.6%	39.4%	5.1%	2.7%	169.8K	-12.6M	-227.5K	0.63	11.71	N/A	N/A	539	338	24,798	21,609
2013-04-29	$29.07	$30.00	40.2%	11.5%	41.3%	12.2%	38.5%	4.9%	1.0%	179.2K	-13.5M	-226.6K	0.70	9.68	N/A	N/A	368	259	25,037	21,787
2013-04-30	$28.60	$30.00	39.5%	11.3%	41.1%	11.0%	39.9%	4.7%	2.0%	132.5K	-10.4M	-223.0K	0.39	12.18	N/A	N/A	626	243	25,173	22,015