TEX Options History — July 2014 In July 2014, TEX traded between $34.51 and $42.31. ATM implied volatility averaged 31.1%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 1.2% (HV 20d: 29.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.95.
Notable Days 2014-07-24 : Highest Volume — 7,632 contracts2014-07-10 : Largest IV spike — 27.6% change2014-07-18 : Highest IV Rank — 40.4%2014-07-31 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $39.13 $34.51 $42.31 $41.56 $34.51 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 31.1% 24.7% 35.6% 25.5% 32.3% Expected Move 10.2% 10.1% 10.5% 10.2% 10.5% HV 20d 29.9% 25.3% 39.3% 26.3% 38.9% HV 60d 28.8% 26.9% 31.5% 30.1% 31.2% IV Rank 23.5% 0.0% 40.4% 0.4% 28.2% IV Percentile 30.5% 0.0% 58.7% 0.4% 39.7% Term Structure -0.7% -4.2% 7.2% 6.5% -0.9% VWIV 36.7% 32.2% 42.8% 34.6% 39.9% Skew 25d 3.3% 0.4% 5.9% 2.4% 2.7% Skew 10d 6.9% 2.9% 18.1% 5.8% 2.9% Call IV 25d 30.7% 22.9% 35.1% 25.0% 31.5% Put IV 25d 34.0% 27.1% 38.9% 27.4% 34.2% Bid-Ask Spread % 12.70 10.10 14.61 14.61 13.19 Gamma HHI 0.14 0.07 0.32 0.11 0.14 Net GEX -590.8K -1.7M 523.0K -379.3K -764.9K Net DEX 5.0M -17.2M 32.2M -10.4M 32.2M Net VEX -287.8K -308.3K -259.8K -307.4K -278.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.21 2.94 1.21 1.51 Total Volume 2,138.636 251 7,632 994 2,479 Total OI 50,343.455 40,330 56,292 50,601 56,292
Daily Data (22 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 2014-07-01 $41.56 $35.00 25.5% 10.2% 26.3% 0.4% 34.6% 2.4% 6.5% -379.3K -10.4M -307.4K 1.21 14.61 N/A N/A 449 545 20,385 30,216 2014-07-02 $41.64 $35.00 24.7% 10.2% 26.3% 0.0% 40.7% 2.4% 7.2% -341.9K -11.1M -307.4K 0.69 13.89 N/A N/A 255 175 20,536 30,390 2014-07-03 $42.31 $35.00 24.9% 10.1% 25.3% 1.0% 32.6% 4.6% 6.4% -263.8K -16.2M -304.8K 0.51 14.56 N/A N/A 508 258 20,703 30,442 2014-07-07 $41.22 $35.00 27.6% 10.1% 27.1% 10.7% 40.3% 1.7% -1.1% -453.6K -6.1M -296.5K 1.66 12.58 N/A N/A 128 212 20,751 30,604 2014-07-08 $41.40 $35.00 27.9% 10.1% 26.3% 12.0% 42.8% 3.6% -1.9% -344.2K -6.7M -298.5K 0.41 12.32 N/A N/A 562 232 20,809 30,587 2014-07-09 $41.58 $35.00 26.4% 10.1% 25.8% 6.3% 38.0% 3.1% -1.3% -218.7K -9.6M -292.8K 0.50 14.42 N/A N/A 167 84 20,994 30,689 2014-07-10 $40.01 $35.00 33.7% 10.3% 28.9% 33.2% 35.0% 2.6% -1.7% -807.6K 5.3M -289.1K 0.70 13.50 N/A N/A 289 201 21,016 30,693 2014-07-11 $39.69 $35.00 33.9% 10.3% 26.5% 34.2% 32.6% 4.1% -1.9% -1.0M 9.2M -290.6K 0.24 12.68 N/A N/A 617 147 21,091 30,739 2014-07-14 $39.73 $35.00 34.1% 10.3% 25.4% 35.0% 0.0% 3.7% -2.2% -1.0M 7.8M -280.7K 2.14 13.00 N/A N/A 692 1,479 21,294 30,762 2014-07-15 $39.05 $35.00 34.4% 10.3% 26.3% 36.0% 32.2% 3.8% -2.2% -1.3M 14.4M -282.0K 0.22 10.96 N/A N/A 1,346 294 21,926 30,975 2014-07-16 $39.34 $35.00 35.6% 10.2% 26.4% 40.4% 38.1% 5.9% -3.7% -1.3M 12.5M -285.5K 0.41 11.44 N/A N/A 1,228 501 22,712 31,188 2014-07-17 $38.41 $35.00 35.3% 10.4% 27.8% 39.2% 37.2% 2.3% -2.1% -1.7M 21.3M -278.7K 0.71 11.90 N/A N/A 1,150 811 22,940 31,213 2014-07-18 $39.00 $35.00 35.6% 10.2% 28.0% 40.4% 32.5% 4.9% -4.0% -1.2M 15.7M -282.5K 0.30 12.71 N/A N/A 2,823 860 23,004 31,681 2014-07-21 $39.62 $35.00 34.2% 10.2% 26.3% 35.4% 0.0% 4.6% -3.0% 338.5K -9.6M -292.8K 0.21 12.25 N/A N/A 1,621 341 18,576 21,754 2014-07-22 $40.48 $35.00 35.1% 10.1% 27.4% 38.6% 37.4% 4.4% -3.7% 523.0K -17.2M -297.0K 2.48 13.12 N/A N/A 1,334 3,311 19,411 22,042 2014-07-23 $40.48 $35.00 34.9% 10.1% 26.8% 38.0% 0.0% 4.9% -4.2% 246.1K -14.7M -308.3K 0.52 13.73 N/A N/A 1,047 547 20,315 25,006 2014-07-24 $37.42 $35.00 30.5% 10.1% 39.0% 21.5% 36.3% 3.6% -1.7% -466.4K 11.5M -287.4K 1.12 11.47 N/A N/A 3,599 4,033 20,908 25,330 2014-07-25 $36.58 $35.00 28.6% 10.1% 39.3% 14.7% 36.7% 2.3% 0.3% -417.6K 14.6M -270.7K 0.62 10.10 N/A N/A 1,878 1,171 22,748 24,893 2014-07-28 $36.07 $35.00 28.9% 10.2% 37.4% 15.8% 36.8% 0.4% 0.4% -484.9K 17.8M -269.0K 2.94 10.74 N/A N/A 685 2,015 23,592 25,463 2014-07-29 $35.17 $35.00 30.1% 10.2% 37.9% 20.0% 36.7% 1.7% -0.2% -780.4K 25.9M -259.8K 0.81 11.82 N/A N/A 1,132 918 23,739 27,049 2014-07-30 $35.65 $35.00 29.1% 10.3% 38.1% 16.5% 36.4% 3.8% 0.6% -812.3K 23.3M -272.0K 0.92 14.33 N/A N/A 2,571 2,355 24,374 27,724 2014-07-31 $34.51 $35.00 32.3% 10.5% 38.9% 28.2% 39.9% 2.7% -0.9% -764.9K 32.2M -278.6K 1.51 13.19 N/A N/A 986 1,493 26,570 29,722
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