TEX Options History — November 2013

In November 2013, TEX traded between $34.02 and $36.56. ATM implied volatility averaged 33.8%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 3.7% (HV 20d: 37.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2013-11-13: Highest Volume — 4,197 contracts
  • 2013-11-13: Largest IV drop — 19.2% change
  • 2013-11-11: Highest IV Rank — 18.4%
  • 2013-11-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.32$34.02$36.56$34.65$36.32
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV33.8%30.6%38.1%34.2%31.5%
Expected Move12.3%11.9%12.5%12.5%11.9%
HV 20d37.5%33.2%41.0%33.2%34.7%
HV 60d32.9%30.9%34.7%30.9%31.4%
IV Rank7.4%0.0%18.4%2.9%3.1%
IV Percentile4.1%0.0%25.4%0.8%1.6%
Term Structure1.7%1.1%2.7%1.6%1.5%
VWIV44.0%40.6%50.4%40.6%42.0%
Skew 25d4.3%2.2%5.8%2.2%4.1%
Skew 10d9.8%3.1%21.7%3.1%10.3%
Call IV 25d32.2%29.3%34.3%34.0%29.3%
Put IV 25d36.6%32.7%39.6%36.2%33.4%
Bid-Ask Spread %5.734.728.916.707.42
Gamma HHI0.120.080.320.110.10
Net GEX453.1K-937.4K1.1M523.2K868.5K
Net DEX-45.5M-68.8M-29.8M-44.0M-52.1M
Net VEX-270.3K-301.2K-249.5K-301.2K-249.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.137.940.130.38
Total Volume1,449.54284,1971,433827
Total OI65,288.7557,06571,53869,71061,755

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$34.65$35.0034.2%12.5%33.2%2.9%40.6%2.2%1.6%523.2K-44.0M-301.2K0.136.70N/AN/A1,26816535,49934,211
2013-11-04$36.56$35.0034.6%12.2%38.0%4.3%44.4%5.0%1.1%1.1M-68.8M-286.3K0.636.67N/AN/A1,01964335,63334,253
2013-11-05$36.00$35.0035.6%12.3%37.5%7.7%44.8%4.7%1.8%828.1K-57.6M-289.1K0.576.61N/AN/A44325234,25734,465
2013-11-06$35.80$35.0034.6%12.5%37.6%4.3%45.1%5.1%1.5%782.4K-55.0M-286.2K1.215.03N/AN/A51962734,20034,504
2013-11-07$34.02$35.0036.3%12.4%40.1%10.5%41.7%5.4%1.1%130.0K-29.8M-288.9K2.015.65N/AN/A5331,07134,17134,983
2013-11-08$34.79$35.0033.0%12.3%40.9%0.0%0.0%5.1%1.9%297.7K-39.2M-285.3K1.214.92N/AN/A41450034,16635,124
2013-11-11$34.86$35.0038.1%12.5%40.8%18.4%0.0%5.8%1.6%300.8K-40.9M-277.8K7.944.75N/AN/A2311,83334,11435,308
2013-11-12$34.73$35.0037.8%12.4%40.0%17.3%0.0%5.6%1.5%-282.9K-35.7M-277.5K0.295.18N/AN/A62418234,23036,879
2013-11-13$35.72$35.0030.6%12.4%41.0%0.0%50.4%5.3%1.8%348.0K-54.8M-270.5K1.575.94N/AN/A1,6362,56134,61436,924
2013-11-14$35.65$35.0034.7%12.4%40.3%13.8%50.3%4.5%1.3%440.2K-53.1M-268.3K0.654.92N/AN/A57937533,93135,844
2013-11-15$35.23$35.0035.1%12.4%39.0%15.2%0.0%4.7%1.5%-937.4K-49.9M-263.5K0.534.99N/AN/A2,1371,13333,95635,956
2013-11-18$34.88$35.0034.3%12.3%39.2%12.2%0.0%4.0%1.8%491.1K-38.1M-260.7K1.605.03N/AN/A7731,24028,38828,677
2013-11-19$34.25$35.0034.0%12.2%38.3%11.4%0.0%5.0%2.4%333.3K-31.6M-260.4K1.065.30N/AN/A53356628,84929,487
2013-11-20$34.05$35.0033.5%12.3%36.3%9.6%41.4%4.6%2.7%327.2K-30.4M-256.9K0.738.91N/AN/A42831329,13629,459
2013-11-21$35.11$35.0032.4%12.2%34.5%6.0%41.0%3.9%1.6%526.3K-39.2M-259.0K0.896.03N/AN/A43438829,37329,738
2013-11-22$35.70$35.0031.5%12.2%35.0%3.0%42.6%3.2%1.9%688.1K-45.1M-258.4K2.126.15N/AN/A8911,88629,60929,791
2013-11-25$36.00$35.0031.3%12.1%35.1%2.5%41.8%2.7%2.2%708.2K-47.6M-255.5K0.244.90N/AN/A87821329,68831,334
2013-11-26$35.88$35.0031.6%12.2%34.7%3.4%42.5%3.1%1.7%726.4K-47.4M-256.8K0.154.72N/AN/A3905730,20231,383
2013-11-27$36.20$35.0031.0%12.1%34.7%1.6%47.0%3.0%2.0%825.4K-50.7M-253.8K0.984.77N/AN/A21621230,29131,393
2013-11-29$36.32$35.0031.5%11.9%34.7%3.1%42.0%4.1%1.5%868.5K-52.1M-249.5K0.387.42N/AN/A59922830,34331,412