TEX Options History — September 2013

In September 2013, TEX traded between $28.28 and $34.37. ATM implied volatility averaged 37.9%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 5.2% (HV 20d: 32.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.73.

Notable Days

  • 2013-09-20: Highest Volume — 9,466 contracts
  • 2013-09-04: Largest IV drop — 6.9% change
  • 2013-09-03: Highest IV Rank — 28.5%
  • 2013-09-16: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.29$28.28$34.37$28.28$33.60
Max Pain$32.89$30.00$35.00$31.00$35.00
ATM IV37.9%35.7%41.8%41.8%37.0%
Expected Move12.2%10.9%13.5%12.0%12.6%
HV 20d32.8%26.3%36.9%33.6%26.4%
HV 60d34.1%31.0%38.6%38.5%31.0%
IV Rank15.3%7.5%28.5%28.5%12.1%
IV Percentile15.1%3.6%36.9%36.9%10.3%
Term Structure4.0%1.3%6.4%1.3%6.2%
VWIV43.1%38.3%50.7%41.1%50.7%
Skew 25d4.1%3.4%5.1%3.7%3.9%
Skew 10d9.5%7.1%11.5%9.0%9.4%
Call IV 25d36.7%33.9%39.9%39.9%36.2%
Put IV 25d40.8%37.9%43.9%43.7%40.1%
Bid-Ask Spread %10.005.9918.2718.276.99
Gamma HHI0.150.090.270.100.13
Net GEX300.2K-456.9K990.6K190.2K188.6K
Net DEX-34.7M-64.4M-4.2M-4.2M-35.9M
Net VEX-256.9K-273.7K-225.1K-225.1K-263.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.364.102.651.12
Total Volume3,072.452799,4662,610757
Total OI63,276.5554,27272,58454,27263,674

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$28.28$31.0041.8%12.0%33.6%28.5%41.1%3.7%1.3%190.2K-4.2M-225.1K2.6518.27N/AN/A7151,89529,37624,896
2013-09-04$28.69$31.0038.9%11.2%34.1%18.7%38.8%3.4%3.2%245.9K-6.9M-233.5K1.2212.07N/AN/A62776229,53525,484
2013-09-05$29.47$31.0039.2%11.2%35.1%19.5%38.3%3.8%2.6%433.4K-12.7M-243.2K0.3611.38N/AN/A1,31746829,87525,783
2013-09-06$30.27$30.0040.2%11.8%33.6%23.1%46.4%4.2%3.3%609.2K-20.6M-252.5K0.5910.88N/AN/A3,0861,81830,54225,909
2013-09-09$31.17$30.0039.8%11.7%35.3%21.8%40.8%4.5%2.9%990.6K-30.4M-257.5K4.1010.15N/AN/A6182,53632,09327,231
2013-09-10$31.37$30.0039.9%11.7%35.2%22.0%41.2%4.9%2.5%813.8K-30.0M-258.0K1.5011.22N/AN/A2,3473,52932,25628,636
2013-09-11$31.24$31.0038.0%11.5%35.0%15.6%40.7%4.0%3.1%400.2K-24.4M-261.8K1.0912.75N/AN/A1,4681,59932,22530,941
2013-09-12$31.25$31.0040.1%11.5%34.9%22.5%45.1%4.3%2.8%208.1K-23.4M-260.6K2.2110.89N/AN/A8621,90832,07231,844
2013-09-13$31.95$30.0038.1%10.9%35.3%15.7%40.4%3.9%4.0%117.6K-32.3M-262.6K3.8812.42N/AN/A1,2144,70932,63832,969
2013-09-16$33.07$0.0038.1%13.5%36.9%16.0%46.7%4.3%3.7%-192.8K-44.0M-251.7K1.4613.59N/AN/A1,3241,93133,31335,486
2013-09-17$32.94$35.0037.5%13.0%33.8%13.9%44.0%4.0%3.9%-173.0K-44.1M-254.8K3.509.35N/AN/A9433,30233,76735,515
2013-09-18$33.84$35.0036.1%12.8%34.5%8.9%46.9%5.1%4.7%-456.9K-55.8M-255.4K0.6512.92N/AN/A1,8801,22433,98738,221
2013-09-19$34.37$35.0036.3%12.8%32.2%9.5%0.0%3.8%4.3%398.2K-64.4M-254.1K1.057.39N/AN/A1,0331,08134,44637,986
2013-09-20$34.37$35.0037.5%12.9%32.0%13.8%42.6%3.5%3.4%769.9K-63.2M-252.7K0.856.92N/AN/A5,1214,34534,29438,290
2013-09-23$33.78$35.0036.6%12.8%32.8%10.8%44.9%4.3%5.1%389.6K-40.5M-267.2K2.595.99N/AN/A1,1432,95829,50730,186
2013-09-24$34.01$35.0036.3%12.8%32.8%9.6%0.0%3.8%5.2%240.7K-40.0M-272.8K0.776.89N/AN/A83764630,23032,116
2013-09-25$34.04$35.0035.9%12.5%27.7%8.3%41.1%3.9%5.8%294.3K-40.5M-273.7K2.736.75N/AN/A23363530,65132,331
2013-09-26$34.09$35.0035.9%12.7%27.8%8.3%0.0%4.0%6.4%280.0K-41.2M-269.2K1.637.15N/AN/A10617330,77332,781
2013-09-27$33.98$35.0035.7%12.8%26.3%7.5%0.0%4.9%6.2%256.3K-39.6M-268.6K0.686.09N/AN/A17812130,83332,839
2013-09-30$33.60$35.0037.0%12.6%26.4%12.1%50.7%3.9%6.2%188.6K-35.9M-263.8K1.126.99N/AN/A35740030,83332,841