TEX Options History — July 2013

In July 2013, TEX traded between $26.92 and $29.48. ATM implied volatility averaged 44.9%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 4.7% (HV 20d: 40.2%). Max pain ranged from $27.00 to $31.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2013-07-16: Highest Volume — 4,941 contracts
  • 2013-07-25: Largest IV drop — 14.8% change
  • 2013-07-16: Highest IV Rank — 36.7%
  • 2013-07-08: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.22$26.92$29.48$26.92$29.48
Max Pain$27.95$27.00$31.00$31.00$28.00
ATM IV44.9%38.6%49.6%46.3%39.4%
Expected Move13.2%11.1%14.8%13.3%11.3%
HV 20d40.2%30.7%50.6%50.1%32.2%
HV 60d43.4%40.0%45.5%45.5%40.0%
IV Rank26.7%11.7%36.7%29.3%20.3%
IV Percentile42.6%11.5%67.5%46.8%15.9%
Term Structure-0.6%-3.1%5.7%5.0%0.6%
VWIV45.5%37.3%52.2%45.5%38.3%
Skew 25d6.1%2.0%8.4%5.1%3.7%
Skew 10d11.4%7.7%14.6%11.1%7.7%
Call IV 25d42.9%34.9%47.4%44.1%37.2%
Put IV 25d49.0%40.4%54.7%49.2%40.9%
Bid-Ask Spread %16.7012.2624.3318.1622.80
Gamma HHI0.160.090.480.130.12
Net GEX-325.4K-1.3M442.1K-407.3K442.1K
Net DEX-1.3M-22.2M14.2M14.1M-22.2M
Net VEX-240.3K-248.9K-230.0K-238.4K-248.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.1210.201.780.33
Total Volume1,724.5453754,9411,3522,193
Total OI61,543.09145,47975,56665,39051,290

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$26.92$31.0046.3%13.3%50.1%29.3%45.5%5.1%5.0%-407.3K14.1M-238.4K1.7818.16N/AN/A48686633,12232,268
2013-07-02$27.20$31.0045.7%13.1%50.6%27.8%43.0%4.0%5.7%-417.1K12.7M-242.1K0.9512.26N/AN/A19218333,42932,763
2013-07-03$27.10$31.0045.6%13.1%46.2%27.6%45.4%4.9%5.0%-427.1K13.9M-238.1K1.4415.02N/AN/A20229033,50032,787
2013-07-05$27.65$27.0042.2%14.1%47.2%19.9%49.9%6.9%-0.2%-459.6K9.8M-240.5K0.6418.74N/AN/A99663333,60932,970
2013-07-08$27.38$27.0044.4%14.8%46.1%25.0%49.8%7.3%-2.7%-510.5K11.9M-238.6K0.5617.65N/AN/A30016834,27733,398
2013-07-09$28.08$27.0042.4%14.0%47.0%20.4%48.0%6.7%-2.0%-485.4K5.2M-241.0K0.9016.64N/AN/A90181234,26733,086
2013-07-10$27.40$27.0043.6%14.3%46.0%23.2%49.2%7.0%-1.8%-520.9K11.3M-234.4K0.7420.39N/AN/A61845534,77633,268
2013-07-11$28.34$27.0048.8%14.0%47.7%34.9%52.2%8.2%-2.5%-493.3K3.0M-239.5K1.7215.54N/AN/A8271,42334,59433,231
2013-07-12$28.47$27.0048.8%14.0%46.1%35.0%46.7%8.4%-1.3%-549.8K2.3M-241.2K0.9815.72N/AN/A49148234,77134,269
2013-07-15$28.05$27.0048.7%14.0%45.9%34.8%48.5%7.4%-2.4%-664.8K6.8M-236.2K1.3414.63N/AN/A36648935,03534,678
2013-07-16$27.39$27.0049.6%14.2%37.4%36.7%48.5%6.9%-2.5%-752.6K14.2M-230.0K10.2019.63N/AN/A4414,50035,19834,905
2013-07-17$28.36$27.0048.7%14.0%39.6%34.7%48.2%6.7%-2.6%-1.3M6.3M-237.8K1.2313.80N/AN/A1,4681,80235,41338,124
2013-07-18$29.17$27.0048.0%13.8%40.9%33.2%47.4%7.2%-2.2%-433.1K-5.3M-243.7K0.6717.50N/AN/A1,6761,11735,48639,276
2013-07-19$29.04$28.0048.3%13.8%36.9%33.8%48.7%7.8%-3.0%-1.3M-4.8M-241.0K0.8613.95N/AN/A1,6291,40136,02039,546
2013-07-22$29.00$28.0047.8%13.7%32.5%32.7%47.1%6.7%-2.9%136.4K-17.0M-243.9K0.6515.87N/AN/A78650823,41622,063
2013-07-23$29.44$28.0046.8%13.4%30.7%30.3%46.3%7.5%-2.7%189.4K-19.4M-246.5K0.7213.04N/AN/A47534323,98222,302
2013-07-24$28.64$28.0046.0%13.2%32.7%28.5%45.4%6.6%-3.1%138.4K-15.2M-242.7K1.5313.68N/AN/A7041,07624,26222,296
2013-07-25$28.33$28.0039.1%11.2%33.0%13.0%38.2%3.9%-0.0%110.5K-13.2M-237.7K1.1724.33N/AN/A80994524,79122,894
2013-07-26$28.49$28.0038.6%11.1%32.4%11.7%37.3%5.5%1.1%132.4K-13.8M-238.9K0.3918.27N/AN/A68627025,16623,363
2013-07-29$28.13$28.0040.0%11.5%31.4%14.9%38.7%3.4%-0.1%83.1K-12.3M-239.7K0.1214.32N/AN/A2,90234225,68523,430
2013-07-30$28.78$28.0038.9%11.2%31.4%18.7%39.2%2.0%0.3%323.4K-17.4M-245.0K0.6315.43N/AN/A42126627,32923,613
2013-07-31$29.48$28.0039.4%11.3%32.2%20.3%38.3%3.7%0.6%442.1K-22.2M-248.9K0.3322.80N/AN/A1,64654727,47623,814