TEX Options History — December 2013

In December 2013, TEX traded between $36.24 and $41.99. ATM implied volatility averaged 31.7%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 6.3% (HV 20d: 25.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2013-12-31: Highest Volume — 4,349 contracts
  • 2013-12-06: Largest IV drop — 6.3% change
  • 2013-12-03: Highest IV Rank — 12.1%
  • 2013-12-05: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.13$36.24$41.99$36.83$41.99
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV31.7%28.8%34.2%33.0%30.6%
Expected Move11.8%11.4%12.1%12.0%11.5%
HV 20d25.4%21.9%34.7%34.7%23.6%
HV 60d31.2%30.7%31.8%31.1%30.7%
IV Rank5.2%0.0%12.1%8.1%5.6%
IV Percentile2.5%0.0%5.2%2.8%2.4%
Term Structure3.6%0.2%5.6%0.2%4.6%
VWIV44.9%39.5%49.8%46.3%44.4%
Skew 25d3.5%1.9%5.0%4.4%2.8%
Skew 10d8.2%3.8%16.3%16.3%8.0%
Call IV 25d30.6%28.2%32.8%31.4%29.8%
Put IV 25d34.1%30.7%36.3%35.7%32.6%
Bid-Ask Spread %10.014.4216.564.4210.62
Gamma HHI0.120.090.190.100.11
Net GEX1.3M555.0K1.8M992.0K1.3M
Net DEX-65.6M-76.7M-49.1M-56.2M-74.5M
Net VEX-217.2K-251.4K-186.4K-246.4K-188.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.213.893.013.89
Total Volume1,438.6193414,3493,7404,349
Total OI61,014.85752,26366,50261,81354,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$36.83$35.0033.0%12.0%34.7%8.1%46.3%4.4%0.2%992.0K-56.2M-246.4K3.014.42N/AN/A9332,80730,48831,325
2013-12-03$36.24$35.0034.2%12.0%29.7%12.1%41.3%3.9%0.2%555.0K-49.1M-251.4K1.798.99N/AN/A32257630,74433,462
2013-12-04$36.38$35.0034.1%12.1%29.1%11.7%42.4%3.4%0.8%698.9K-50.7M-248.2K0.2210.42N/AN/A3928730,72932,776
2013-12-05$36.47$35.0033.7%12.1%29.1%10.5%49.8%4.0%0.2%761.6K-51.6M-247.8K0.449.27N/AN/A23610530,86732,790
2013-12-06$37.79$35.0031.6%11.9%24.4%3.5%45.5%4.3%3.4%1.1M-66.0M-236.3K1.449.08N/AN/A1,5962,29330,96232,812
2013-12-09$38.72$35.0032.1%11.9%24.6%5.2%46.7%5.0%3.0%1.2M-75.3M-230.9K0.599.86N/AN/A1,22972131,70334,522
2013-12-10$38.44$35.0033.4%11.9%25.0%9.2%0.0%3.4%3.4%1.2M-73.6M-230.5K1.8710.08N/AN/A6311,18031,87634,626
2013-12-11$37.55$35.0033.1%12.0%26.8%8.3%46.0%4.2%4.0%1.0M-63.0M-236.1K1.709.95N/AN/A44575531,97934,438
2013-12-12$37.87$35.0032.6%11.9%25.3%6.9%44.8%4.4%4.3%1.1M-51.1M-234.8K0.9710.22N/AN/A26726028,11234,618
2013-12-13$38.42$35.0033.0%12.0%25.6%7.9%44.7%4.2%3.8%1.3M-56.7M-229.7K0.349.31N/AN/A32110828,25534,618
2013-12-16$39.06$35.0032.8%11.8%25.3%7.5%0.0%4.3%4.2%1.6M-65.4M-214.0K0.4212.91N/AN/A83934928,33434,619
2013-12-17$39.52$35.0032.5%11.8%24.7%6.3%0.0%3.9%4.0%1.7M-70.0M-215.0K1.3611.07N/AN/A43258628,93034,715
2013-12-18$40.14$35.0031.6%11.8%23.1%3.5%49.7%3.3%5.3%1.8M-76.7M-201.8K1.3516.56N/AN/A50568329,06135,204
2013-12-19$39.96$35.0030.6%11.7%23.0%0.1%39.5%3.2%5.2%1.7M-74.9M-203.6K0.9610.73N/AN/A27526528,87834,969
2013-12-20$39.70$35.0030.0%11.6%21.9%0.0%40.0%3.6%5.6%1.7M-72.2M-200.0K0.408.70N/AN/A1,18547928,91735,128
2013-12-23$41.06$35.0030.0%11.5%23.8%0.0%48.6%2.7%4.0%1.2M-67.6M-191.1K0.339.26N/AN/A1,36045224,64627,617
2013-12-24$41.09$35.0029.4%11.5%23.9%0.0%47.5%2.3%5.2%1.3M-68.5M-192.5K0.7410.24N/AN/A23917625,19127,959
2013-12-26$41.28$35.0029.2%11.6%23.6%0.0%40.9%1.9%5.4%1.3M-70.2M-189.5K0.2110.15N/AN/A54411225,22128,090
2013-12-27$41.63$35.0028.8%11.6%23.6%0.0%44.9%2.5%4.9%1.3M-72.6M-186.4K1.039.35N/AN/A29630425,42228,158
2013-12-30$41.60$35.0029.6%11.4%23.7%2.6%44.4%2.4%4.9%1.3M-71.5M-187.3K0.549.06N/AN/A98653125,50228,412
2013-12-31$41.99$35.0030.6%11.5%23.6%5.6%0.0%2.8%4.6%1.3M-74.5M-188.1K3.8910.62N/AN/A8893,46025,90828,729