TEX Options History — August 2013

In August 2013, TEX traded between $29.00 and $32.02. ATM implied volatility averaged 37.4%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 5.9% (HV 20d: 31.5%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2013-08-21: Highest Volume — 3,971 contracts
  • 2013-08-08: Largest IV drop — 7.7% change
  • 2013-08-30: Highest IV Rank — 19.5%
  • 2013-08-30: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.60$29.00$32.02$30.31$29.00
Max Pain$30.18$28.00$31.00$28.00$31.00
ATM IV37.4%35.4%39.2%38.3%39.2%
Expected Move10.8%10.3%11.2%11.0%11.2%
HV 20d31.5%27.1%34.8%33.1%32.7%
HV 60d40.2%38.5%40.9%40.2%38.5%
IV Rank13.5%6.5%19.5%16.4%19.5%
IV Percentile9.5%1.2%23.0%9.9%23.0%
Term Structure2.1%1.0%2.5%1.0%2.5%
VWIV37.4%33.3%39.4%38.6%38.8%
Skew 25d3.4%2.2%4.8%3.5%3.8%
Skew 10d7.9%4.8%18.1%18.1%9.7%
Call IV 25d36.5%35.0%38.3%36.7%38.3%
Put IV 25d39.9%37.5%42.1%40.2%42.1%
Bid-Ask Spread %16.1412.5919.2816.6817.43
Gamma HHI0.160.110.600.110.12
Net GEX904.7K318.8K3.6M579.1K318.8K
Net DEX-28.6M-50.5M-9.2M-28.5M-9.2M
Net VEX-246.2K-254.6K-235.4K-253.3K-235.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.127.980.311.24
Total Volume1,511.55393,9713,5462,152
Total OI52,810.72747,26557,35151,78353,220

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$30.31$28.0038.3%11.0%33.1%16.4%38.6%3.5%1.0%579.1K-28.5M-253.3K0.3116.68N/AN/A2,70684027,71224,071
2013-08-02$30.68$29.0037.1%10.6%32.7%12.5%36.2%3.0%2.0%767.9K-31.8M-254.6K0.3315.44N/AN/A1,45448028,48624,178
2013-08-05$30.71$30.0037.6%11.0%32.3%14.3%38.9%4.7%2.2%805.0K-32.1M-250.2K0.5315.43N/AN/A37519828,71524,342
2013-08-06$30.33$30.0039.0%11.2%32.1%18.8%39.4%4.8%1.9%784.2K-29.3M-247.1K0.1217.33N/AN/A1,32615628,89124,377
2013-08-07$29.77$30.0038.3%11.1%31.4%16.6%38.1%4.1%2.1%762.8K-25.1M-246.0K1.2116.00N/AN/A24429529,42824,447
2013-08-08$30.92$30.0035.4%10.8%32.0%6.5%37.6%4.5%1.7%1.1M-35.6M-247.7K0.3916.38N/AN/A72227829,56424,522
2013-08-09$30.99$30.0035.5%10.8%32.0%6.9%38.1%3.9%1.7%1.1M-36.2M-245.4K0.4117.12N/AN/A44017929,66724,521
2013-08-12$30.73$30.0035.6%10.7%31.6%7.5%37.8%3.7%1.5%1.2M-34.2M-241.1K1.0419.14N/AN/A30031329,75424,674
2013-08-13$31.11$30.0038.4%10.6%29.8%16.8%37.1%3.2%2.5%1.2M-37.2M-241.2K0.1419.03N/AN/A2,81038229,79224,937
2013-08-14$30.94$30.0035.6%10.6%28.1%7.2%37.1%3.1%2.3%1.5M-38.9M-248.5K0.5618.57N/AN/A1,19566531,96925,229
2013-08-15$31.47$30.0038.1%10.9%27.1%16.0%38.2%3.1%2.1%1.3M-44.6M-249.4K1.0316.90N/AN/A64366031,87425,247
2013-08-16$32.02$30.0036.8%10.5%27.3%11.3%36.8%3.1%2.0%3.6M-50.5M-248.8K0.3712.71N/AN/A1,41452732,01825,333
2013-08-19$30.81$30.0037.4%10.7%31.3%13.3%37.3%3.5%2.1%663.9K-28.2M-245.5K1.7912.73N/AN/A44479427,36219,903
2013-08-20$31.36$30.0036.8%10.5%31.5%11.3%37.2%2.6%2.5%716.7K-32.0M-245.3K0.8513.65N/AN/A42636427,64220,329
2013-08-21$30.43$30.0038.5%11.0%31.8%17.1%37.4%3.1%1.8%612.4K-25.6M-245.8K7.9817.93N/AN/A4423,52927,92320,554
2013-08-22$30.97$31.0036.7%10.5%31.8%11.0%36.8%2.4%2.3%561.9K-24.0M-252.7K6.9613.11N/AN/A1611,12028,17622,861
2013-08-23$30.82$31.0035.9%10.3%31.9%8.2%36.0%2.5%2.5%532.1K-21.5M-251.4K3.4718.94N/AN/A22979428,26423,498
2013-08-26$30.99$31.0037.5%10.8%31.3%13.8%37.7%2.2%1.9%580.4K-23.5M-249.1K1.0719.28N/AN/A38240728,45423,340
2013-08-27$29.69$31.0038.3%11.0%34.8%16.6%33.3%2.8%2.4%431.4K-13.9M-241.0K1.6613.17N/AN/A34557428,49623,527
2013-08-28$29.88$31.0037.9%10.9%33.8%15.1%36.9%3.1%2.3%467.4K-15.6M-241.2K4.8715.45N/AN/A17384328,52423,476
2013-08-29$29.31$31.0039.2%11.2%33.0%19.5%38.7%3.8%2.0%354.5K-11.0M-236.8K1.4812.59N/AN/A59387928,58323,956
2013-08-30$29.00$31.0039.2%11.2%32.7%19.5%38.8%3.8%2.5%318.8K-9.2M-235.4K1.2417.43N/AN/A9591,19329,01924,201