TEX Options History — October 2013

In October 2013, TEX traded between $32.96 and $35.64. ATM implied volatility averaged 41.1%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 12.2% (HV 20d: 28.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.05.

Notable Days

2013-10-23: Highest Volume — 9,420 contracts
2013-10-24: Largest IV drop — 30.4% change
2013-10-23: Highest IV Rank — 62.1%
2013-10-10: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.41	$32.96	$35.64	$33.95	$34.95
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	41.1%	35.0%	51.7%	36.5%	35.0%
Expected Move	12.7%	12.5%	13.0%	12.7%	12.6%
HV 20d	28.9%	23.4%	35.8%	23.4%	34.8%
HV 60d	30.9%	30.0%	32.3%	30.9%	31.7%
IV Rank	26.2%	5.8%	62.1%	10.5%	5.8%
IV Percentile	38.8%	0.8%	91.3%	7.9%	0.8%
Term Structure	-1.5%	-8.1%	5.9%	5.9%	1.1%
VWIV	46.3%	41.2%	52.4%	48.8%	44.1%
Skew 25d	5.7%	3.2%	7.6%	3.2%	3.4%
Skew 10d	11.6%	5.9%	15.4%	8.2%	5.9%
Call IV 25d	39.9%	33.6%	48.3%	35.8%	33.6%
Put IV 25d	45.6%	37.0%	55.1%	39.0%	37.0%
Bid-Ask Spread %	8.20	5.82	11.22	7.48	5.98
Gamma HHI	0.13	0.09	0.24	0.14	0.11
Net GEX	481.4K	-231.9K	960.3K	258.7K	568.2K
Net DEX	-45.3M	-62.0M	-26.0M	-39.5M	-48.0M
Net VEX	-290.0K	-317.4K	-265.1K	-265.1K	-300.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.15	4.09	1.05	0.85
Total Volume	3,161.826	532	9,420	532	1,239
Total OI	68,926.957	53,388	76,317	64,046	69,049

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-10-01	$33.95	$35.00	36.5%	12.7%	23.4%	10.5%	48.8%	3.2%	5.9%	258.7K	-39.5M	-265.1K	1.05	7.48	N/A	N/A	259	273	30,997	33,049
2013-10-02	$34.41	$35.00	37.7%	12.8%	23.4%	14.5%	49.2%	3.9%	5.2%	359.7K	-43.9M	-265.3K	1.66	7.39	N/A	N/A	805	1,340	31,094	33,144
2013-10-03	$33.73	$35.00	37.4%	12.6%	24.6%	13.3%	0.0%	4.7%	5.8%	129.1K	-36.1M	-267.4K	2.35	5.91	N/A	N/A	461	1,084	31,386	34,208
2013-10-04	$34.79	$35.00	35.3%	12.6%	25.1%	6.3%	41.2%	6.3%	-1.9%	367.1K	-46.5M	-273.2K	0.19	6.83	N/A	N/A	884	170	31,660	35,190
2013-10-07	$34.38	$35.00	39.3%	12.8%	24.5%	20.1%	0.0%	6.1%	-3.0%	301.8K	-42.7M	-270.1K	1.73	5.82	N/A	N/A	1,252	2,166	31,811	35,233
2013-10-08	$33.64	$35.00	42.8%	13.0%	26.2%	31.7%	42.6%	7.3%	-4.1%	96.7K	-34.7M	-282.0K	0.27	9.55	N/A	N/A	3,659	1,004	32,975	37,071
2013-10-09	$33.55	$35.00	43.0%	12.9%	26.2%	32.3%	45.6%	6.9%	-4.5%	207.1K	-34.8M	-293.1K	0.35	9.48	N/A	N/A	2,609	914	34,291	37,700
2013-10-10	$34.78	$35.00	45.9%	13.0%	28.5%	42.4%	45.3%	7.2%	-2.9%	674.6K	-50.3M	-305.9K	0.40	10.41	N/A	N/A	3,762	1,494	35,603	38,488
2013-10-11	$34.49	$35.00	45.2%	12.8%	28.2%	40.1%	0.0%	7.0%	-2.4%	893.5K	-49.4M	-302.4K	0.15	9.24	N/A	N/A	1,685	261	37,845	38,455
2013-10-14	$34.31	$35.00	46.3%	12.7%	25.9%	43.6%	41.6%	7.3%	-3.3%	756.3K	-46.6M	-291.7K	0.18	11.22	N/A	N/A	1,439	261	37,503	37,986
2013-10-15	$33.56	$35.00	46.2%	12.9%	27.2%	43.4%	52.4%	7.1%	-4.0%	302.3K	-36.0M	-293.1K	0.98	7.74	N/A	N/A	769	750	36,947	38,129
2013-10-16	$33.59	$35.00	45.7%	12.7%	25.4%	41.6%	51.7%	7.6%	-3.6%	277.9K	-35.1M	-289.0K	1.07	10.37	N/A	N/A	542	578	37,309	38,617
2013-10-17	$32.96	$35.00	44.7%	12.9%	25.5%	38.4%	0.0%	7.3%	-3.3%	-231.9K	-26.0M	-276.5K	0.39	7.55	N/A	N/A	1,096	430	37,034	38,612
2013-10-18	$34.09	$35.00	43.1%	12.8%	28.5%	32.7%	50.3%	5.2%	-2.5%	71.3K	-42.0M	-282.9K	0.23	10.87	N/A	N/A	2,117	482	37,486	38,831
2013-10-21	$34.24	$35.00	46.7%	12.6%	27.8%	44.9%	42.1%	7.0%	-5.2%	654.4K	-39.3M	-280.5K	0.20	7.16	N/A	N/A	3,505	711	28,455	24,933
2013-10-22	$35.26	$35.00	44.8%	12.7%	29.6%	38.8%	42.1%	5.8%	-5.2%	895.1K	-54.5M	-283.7K	0.43	9.41	N/A	N/A	4,697	2,013	31,452	25,404
2013-10-23	$34.07	$35.00	51.7%	12.7%	32.3%	62.1%	44.8%	6.7%	-8.1%	960.3K	-50.2M	-305.3K	3.45	6.92	N/A	N/A	2,116	7,304	35,488	27,139
2013-10-24	$35.59	$35.00	36.0%	12.6%	35.8%	8.5%	49.9%	4.7%	0.0%	713.7K	-62.0M	-316.7K	1.09	10.22	N/A	N/A	2,639	2,879	36,650	32,684
2013-10-25	$35.57	$35.00	35.3%	12.5%	35.7%	6.3%	46.2%	4.9%	-0.0%	732.7K	-60.6M	-317.4K	1.25	6.38	N/A	N/A	1,738	2,181	36,819	33,072
2013-10-28	$35.64	$35.00	35.7%	12.5%	35.4%	7.8%	0.0%	4.8%	-0.9%	794.8K	-60.8M	-306.4K	0.46	7.25	N/A	N/A	1,478	683	36,422	32,446
2013-10-29	$35.10	$35.00	35.8%	12.6%	35.8%	8.5%	48.9%	3.7%	1.2%	637.4K	-54.1M	-302.6K	1.42	7.64	N/A	N/A	2,132	3,019	36,345	32,568
2013-10-30	$34.86	$35.00	35.7%	12.7%	35.7%	8.1%	0.0%	3.6%	0.6%	651.2K	-48.3M	-298.7K	4.09	7.79	N/A	N/A	362	1,480	35,409	32,331
2013-10-31	$34.95	$35.00	35.0%	12.6%	34.8%	5.8%	44.1%	3.4%	1.1%	568.2K	-48.0M	-300.5K	0.85	5.98	N/A	N/A	670	569	35,348	33,701