TEX Options History — May 2013

In May 2013, TEX traded between $27.56 and $35.87. ATM implied volatility averaged 39.7%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 2.1% (HV 20d: 41.8%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2013-05-16: Highest Volume — 9,084 contracts
  • 2013-05-16: Largest IV spike — 10.8% change
  • 2013-05-24: Highest IV Rank — 15.5%
  • 2013-05-24: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.46$27.56$35.87$27.56$35.87
Max Pain$30.86$29.00$33.00$30.00$33.00
ATM IV39.7%36.4%42.0%40.6%41.1%
Expected Move11.5%10.9%12.0%11.6%11.8%
HV 20d41.8%35.3%50.9%41.8%35.4%
HV 60d42.4%39.8%44.9%41.8%39.9%
IV Rank11.3%5.3%15.5%13.0%14.0%
IV Percentile14.3%2.4%25.8%14.3%23.0%
Term Structure1.1%0.1%2.2%1.3%0.3%
VWIV41.1%38.1%44.2%42.8%41.6%
Skew 25d4.7%3.6%5.6%4.0%4.9%
Skew 10d9.4%6.0%11.8%9.2%9.7%
Call IV 25d38.5%36.9%40.4%40.4%39.8%
Put IV 25d43.2%41.5%45.0%44.4%44.7%
Bid-Ask Spread %13.2210.1417.4713.1812.86
Gamma HHI0.100.080.140.080.11
Net GEX363.9K-90.8K680.6K50.3K273.6K
Net DEX-34.2M-53.1M-4.8M-4.8M-53.1M
Net VEX-260.9K-307.2K-215.3K-215.3K-286.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.168.330.970.67
Total Volume2,5805849,0841,2065,708
Total OI53,547.54547,41161,89847,41158,994

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$27.56$30.0040.6%11.6%41.8%13.0%42.8%4.0%1.3%50.3K-4.8M-215.3K0.9713.18N/AN/A61159525,41122,000
2013-05-02$28.00$30.0040.6%11.6%41.6%13.0%40.9%3.6%1.3%73.7K-7.1M-219.0K0.7013.30N/AN/A43130225,35122,459
2013-05-03$29.84$30.0040.2%11.5%47.9%12.2%40.4%4.1%1.1%279.3K-19.1M-231.1K0.6314.61N/AN/A2,1471,34925,39722,554
2013-05-06$31.25$29.0040.8%11.7%50.9%13.4%41.8%5.4%1.2%462.9K-29.0M-242.4K0.6015.04N/AN/A1,30178426,53823,374
2013-05-07$31.81$29.0039.4%11.6%50.4%10.8%42.2%4.5%0.6%553.7K-33.3M-246.5K0.4810.14N/AN/A1,93792626,99423,719
2013-05-08$32.12$29.0038.3%11.5%50.3%8.7%42.0%4.9%0.9%646.1K-35.7M-244.5K1.3611.46N/AN/A35748627,25223,906
2013-05-09$31.75$29.0037.8%11.5%50.4%8.0%40.0%4.7%0.6%625.7K-33.2M-242.6K1.4612.69N/AN/A26839227,33923,853
2013-05-10$31.51$29.0037.7%11.5%49.5%7.7%39.2%5.3%1.0%599.4K-31.2M-240.1K2.4012.71N/AN/A4291,03127,45323,896
2013-05-13$31.24$29.0041.6%11.4%39.9%14.8%40.2%4.6%2.1%564.1K-28.9M-236.7K0.2116.63N/AN/A2,28148027,72924,454
2013-05-14$32.04$29.0038.2%11.2%40.4%8.6%39.4%4.5%1.7%680.6K-36.7M-242.2K1.6512.25N/AN/A38363228,47224,542
2013-05-15$31.85$30.0036.4%11.1%38.2%5.3%39.3%4.5%2.2%622.2K-34.7M-243.1K0.8813.07N/AN/A1,1831,04128,58224,848
2013-05-16$32.01$30.0040.3%11.6%37.1%12.5%42.9%4.8%0.1%643.1K-35.5M-243.7K3.2513.10N/AN/A2,1396,94528,59925,502
2013-05-17$32.90$32.0039.0%11.2%37.6%10.2%39.2%4.4%1.7%609.1K-40.6M-272.6K1.0515.51N/AN/A2,2962,40429,93031,968
2013-05-20$33.65$32.0038.0%10.9%37.1%8.4%38.1%4.6%1.7%206.9K-37.0M-275.0K0.3313.19N/AN/A1,31644025,25726,084
2013-05-21$34.73$32.0038.4%11.0%38.0%9.1%40.2%5.1%1.2%332.7K-44.6M-274.6K0.8213.03N/AN/A2,2381,84625,80326,365
2013-05-22$33.85$32.0039.2%11.2%39.4%10.5%39.9%4.7%2.1%232.2K-39.0M-290.1K1.5211.73N/AN/A1,4182,15626,90527,126
2013-05-23$34.01$33.0041.1%11.8%38.7%14.0%43.8%5.6%0.9%225.7K-39.3M-296.4K8.3317.47N/AN/A4333,60727,33127,487
2013-05-24$33.41$33.0042.0%12.0%39.4%15.5%43.2%4.8%0.3%-90.8K-31.9M-307.2K1.4514.85N/AN/A28941927,54830,312
2013-05-28$34.59$33.0040.7%11.7%40.5%13.2%44.2%5.1%0.6%70.2K-42.1M-297.8K0.1611.57N/AN/A2,06633627,69630,689
2013-05-29$34.97$33.0040.9%11.7%39.5%13.5%41.9%4.9%0.6%164.2K-46.7M-302.7K1.1012.19N/AN/A36840628,73330,753
2013-05-30$35.26$33.0040.4%11.6%35.3%12.6%41.1%4.9%1.0%181.5K-47.8M-289.2K0.8910.22N/AN/A30927527,80431,037
2013-05-31$35.87$33.0041.1%11.8%35.4%14.0%41.6%4.9%0.3%273.6K-53.1M-286.7K0.6712.86N/AN/A3,4272,28127,94131,053