TEX Options History — June 2013

In June 2013, TEX traded between $26.01 and $35.61. ATM implied volatility averaged 48.4%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 4.4% (HV 20d: 44.0%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.05.

Notable Days

  • 2013-06-17: Highest Volume — 13,426 contracts
  • 2013-06-05: Largest IV spike — 10.6% change
  • 2013-06-24: Highest IV Rank — 46.2%
  • 2013-06-24: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.23$26.01$35.61$35.61$26.30
Max Pain$31.70$31.00$35.00$34.00$31.00
ATM IV48.4%43.4%53.8%43.4%47.1%
Expected Move13.8%12.5%15.4%12.5%13.5%
HV 20d44.0%29.1%51.0%30.3%48.2%
HV 60d43.7%39.8%46.1%39.9%45.3%
IV Rank30.9%18.2%46.2%18.2%31.1%
IV Percentile56.6%35.7%80.6%35.7%51.2%
Term Structure1.2%-0.9%5.1%-0.7%5.1%
VWIV48.4%44.7%53.5%45.2%46.8%
Skew 25d5.8%4.1%6.9%4.6%4.6%
Skew 10d11.2%6.1%14.1%9.6%7.7%
Call IV 25d45.7%42.1%51.9%42.1%45.5%
Put IV 25d51.5%46.7%57.1%46.7%50.1%
Bid-Ask Spread %14.2911.3619.0413.9417.66
Gamma HHI0.190.110.550.110.12
Net GEX-667.2K-2.5M297.4K297.4K-469.5K
Net DEX277.5K-51.0M51.0M-51.0M18.9M
Net VEX-278.6K-314.2K-233.1K-295.6K-238.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.238.242.180.80
Total Volume3,867.0561313,4261,4321,804
Total OI68,593.4560,57880,63061,87165,571

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$35.61$34.0043.4%12.5%30.3%18.2%45.2%4.6%-0.7%297.4K-51.0M-295.6K2.1813.94N/AN/A45098229,78132,090
2013-06-04$34.76$34.0045.1%12.9%29.1%21.3%45.9%5.2%-0.8%123.6K-42.6M-301.3K1.9114.78N/AN/A8091,54729,90432,759
2013-06-05$32.47$35.0049.9%14.3%38.6%30.0%53.5%6.6%-0.9%-338.6K-19.5M-307.3K3.3415.04N/AN/A1,4284,77630,23933,905
2013-06-06$32.50$35.0049.5%14.2%38.5%29.2%48.4%6.2%-0.5%-502.2K-17.3M-314.2K0.8916.16N/AN/A92782830,25035,980
2013-06-07$33.15$31.0045.7%13.1%38.8%22.3%44.7%6.9%0.8%-429.3K-24.6M-313.6K0.5213.21N/AN/A1,07455930,66736,342
2013-06-10$33.61$31.0046.5%13.0%38.8%23.8%46.9%6.9%0.6%-319.7K-30.0M-305.9K0.7211.49N/AN/A35625731,05736,578
2013-06-11$32.30$31.0049.1%13.6%41.6%28.4%47.2%6.6%0.3%-634.1K-15.6M-301.9K2.6215.17N/AN/A25466631,19336,641
2013-06-12$31.44$31.0050.8%14.2%41.8%31.5%50.9%5.6%-0.7%-769.9K-6.0M-295.8K4.1011.66N/AN/A8233,37831,23537,002
2013-06-13$32.39$31.0046.6%13.4%43.1%24.0%50.0%5.9%0.9%-913.9K-14.3M-304.1K8.2413.06N/AN/A5454,48931,45739,649
2013-06-14$31.74$31.0045.9%13.2%43.7%26.7%45.3%5.5%1.2%-1.2M-5.3M-305.7K0.2313.86N/AN/A84819131,65942,392
2013-06-17$29.29$31.0047.1%13.5%50.8%30.1%46.2%6.1%1.7%-1.1M24.5M-273.9K1.6511.36N/AN/A5,0578,36932,19442,370
2013-06-18$29.52$31.0046.6%13.4%49.9%29.5%47.0%5.4%2.2%-980.9K18.3M-278.8K1.6313.66N/AN/A1,7552,85833,16443,191
2013-06-19$29.28$31.0048.6%13.9%47.9%34.4%48.7%6.8%1.3%-737.1K19.7M-274.1K1.7015.27N/AN/A1,3242,24733,83842,815
2013-06-20$27.90$31.0051.2%14.7%49.6%40.4%51.6%6.6%-0.1%-1.2M33.2M-262.4K2.7019.04N/AN/A1,9185,18634,12043,602
2013-06-21$26.67$31.0052.4%15.0%50.8%43.3%51.8%6.5%-0.1%-2.5M51.0M-250.7K3.3714.95N/AN/A2,4548,25934,90045,730
2013-06-24$26.01$31.0053.8%15.4%51.0%46.2%51.7%5.2%1.9%-396.2K18.2M-233.1K0.6613.67N/AN/A2,8641,89029,87930,699
2013-06-25$26.45$31.0051.1%14.7%49.1%40.3%50.2%5.9%3.2%-427.0K16.7M-239.0K0.8212.36N/AN/A69657331,32631,540
2013-06-26$26.37$31.0049.6%14.2%48.5%36.8%48.8%4.1%4.3%-415.3K17.1M-234.9K0.8012.33N/AN/A45136231,53531,374
2013-06-27$26.93$31.0047.2%13.5%49.5%31.3%46.8%4.1%3.5%-438.7K14.1M-241.2K2.1217.05N/AN/A1,3092,77831,70931,532
2013-06-28$26.30$31.0047.1%13.5%48.2%31.1%46.8%4.6%5.1%-469.5K18.9M-238.1K0.8017.66N/AN/A1,00080432,68532,886