TEX Options History — October 2014

In October 2014, TEX traded between $26.60 and $31.98. ATM implied volatility averaged 40.7%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 3.7% (HV 20d: 44.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.37.

Notable Days

2014-10-08: Highest Volume — 8,726 contracts
2014-10-13: Largest IV spike — 25.2% change
2014-10-13: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.14	$26.60	$31.98	$31.25	$28.74
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	40.7%	28.9%	55.7%	31.4%	32.7%
Expected Move	10.6%	9.5%	12.2%	9.6%	9.8%
HV 20d	44.4%	30.2%	67.8%	30.2%	67.8%
HV 60d	34.5%	29.5%	43.7%	29.9%	43.7%
IV Rank	55.3%	19.7%	100.0%	28.4%	28.9%
IV Percentile	80.1%	25.8%	100.0%	46.8%	59.9%
Term Structure	-2.2%	-6.4%	5.7%	3.2%	0.1%
VWIV	36.6%	31.0%	41.4%	33.1%	35.8%
Skew 25d	5.4%	2.0%	10.4%	2.6%	6.0%
Skew 10d	11.8%	3.8%	26.2%	4.8%	10.9%
Call IV 25d	38.7%	29.4%	49.6%	30.3%	30.9%
Put IV 25d	44.1%	31.5%	55.7%	32.9%	36.9%
Bid-Ask Spread %	30.64	22.89	40.48	23.67	27.65
Gamma HHI	0.13	0.08	0.19	0.13	0.15
Net GEX	-168.3K	-834.7K	329.1K	-748.2K	172.6K
Net DEX	44.3M	22.9M	57.0M	45.8M	44.1M
Net VEX	-284.8K	-316.6K	-234.3K	-288.2K	-270.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.09	4.68	4.68	1.35
Total Volume	3,824.565	216	8,726	1,550	5,909
Total OI	68,847.696	60,200	78,580	63,909	69,808

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
2014-10-01	$31.25	$35.00	31.4%	9.6%	30.2%	28.4%	33.1%	2.6%	3.2%	-748.2K	45.8M	-288.2K	4.68	23.67	N/A	N/A	273	1,277	29,589	34,320
2014-10-02	$31.98	$35.00	30.4%	9.5%	32.0%	24.8%	32.4%	2.1%	4.8%	-834.7K	42.4M	-309.4K	0.92	23.07	N/A	N/A	1,347	1,238	29,678	35,175
2014-10-03	$31.87	$35.00	28.9%	9.5%	32.0%	19.7%	32.9%	2.0%	5.7%	-798.6K	40.9M	-314.6K	0.28	25.41	N/A	N/A	432	119	30,599	35,759
2014-10-06	$31.41	$35.00	32.1%	9.7%	32.1%	31.0%	37.1%	3.5%	-2.5%	-770.4K	45.6M	-296.9K	1.87	22.89	N/A	N/A	1,185	2,214	30,721	35,725
2014-10-07	$29.63	$35.00	34.4%	10.1%	34.7%	39.1%	35.0%	4.2%	-2.6%	-609.9K	57.0M	-271.7K	1.24	24.25	N/A	N/A	830	1,032	31,009	37,747
2014-10-08	$30.36	$35.00	33.5%	10.0%	36.6%	36.0%	37.9%	5.8%	-3.5%	-655.0K	54.2M	-285.1K	0.67	24.43	N/A	N/A	5,238	3,488	31,353	37,867
2014-10-09	$29.04	$35.00	38.3%	10.6%	38.4%	52.8%	31.0%	3.4%	-3.1%	-351.8K	53.9M	-285.9K	0.09	25.18	N/A	N/A	4,934	459	34,675	37,969
2014-10-10	$27.38	$35.00	44.5%	11.3%	42.2%	74.5%	37.3%	4.9%	-4.2%	-97.5K	56.9M	-262.2K	0.57	30.25	N/A	N/A	2,691	1,545	38,618	37,773
2014-10-13	$26.99	$35.00	55.6%	11.7%	37.0%	100.0%	40.3%	2.4%	-5.4%	-72.8K	54.9M	-265.5K	1.28	32.67	N/A	N/A	647	827	40,024	37,896
2014-10-14	$27.85	$35.00	55.7%	11.4%	38.7%	100.0%	37.7%	7.7%	-3.5%	-46.1K	53.8M	-278.1K	0.54	33.37	N/A	N/A	5,061	2,748	40,108	38,036
2014-10-15	$26.60	$35.00	52.8%	12.2%	40.8%	90.8%	41.4%	6.1%	-6.4%	-104.1K	56.8M	-263.2K	1.45	34.26	N/A	N/A	2,046	2,965	40,323	38,257
2014-10-16	$27.76	$35.00	48.9%	11.9%	44.8%	79.0%	38.7%	10.4%	-5.6%	-69.4K	53.3M	-272.3K	1.42	39.96	N/A	N/A	431	610	39,484	38,083
2014-10-17	$27.90	$35.00	44.2%	11.4%	45.1%	64.4%	38.9%	4.4%	-2.8%	-94.0K	50.3M	-281.4K	0.79	40.48	N/A	N/A	625	492	39,687	38,316
2014-10-20	$27.66	$35.00	45.4%	11.3%	44.9%	68.1%	39.4%	7.2%	-3.2%	-29.3K	40.8M	-263.6K	1.75	40.35	N/A	N/A	1,258	2,204	27,654	32,546
2014-10-21	$28.86	$35.00	41.9%	10.8%	48.3%	57.3%	38.1%	7.0%	-2.8%	80.7K	36.8M	-279.2K	1.11	34.54	N/A	N/A	3,086	3,436	28,008	32,705
2014-10-22	$28.14	$35.00	44.4%	11.0%	48.4%	64.9%	37.9%	5.1%	-2.8%	48.9K	37.2M	-284.2K	1.13	30.59	N/A	N/A	2,258	2,542	29,555	34,082
2014-10-23	$29.44	$35.00	42.7%	10.6%	51.8%	59.7%	36.8%	6.1%	-3.6%	171.5K	30.4M	-307.2K	1.95	31.54	N/A	N/A	1,176	2,290	29,509	34,383
2014-10-24	$29.55	$35.00	40.6%	10.4%	51.7%	53.4%	35.9%	6.6%	-2.5%	192.7K	29.8M	-308.4K	1.52	31.08	N/A	N/A	1,528	2,330	29,638	34,446
2014-10-27	$29.31	$35.00	43.8%	10.6%	51.6%	63.1%	34.6%	7.4%	-4.8%	203.6K	32.7M	-296.3K	0.46	36.62	N/A	N/A	148	68	30,061	34,513
2014-10-28	$30.49	$35.00	41.5%	10.3%	53.7%	56.1%	37.2%	7.4%	-4.4%	329.1K	22.9M	-316.6K	2.28	29.03	N/A	N/A	334	762	30,128	34,570
2014-10-29	$30.53	$35.00	36.7%	10.1%	53.4%	41.2%	35.7%	5.5%	-1.3%	316.7K	25.0M	-314.1K	2.08	36.80	N/A	N/A	1,967	4,092	30,272	35,245
2014-10-30	$27.38	$35.00	35.5%	10.3%	64.8%	37.5%	36.0%	6.1%	-0.0%	-104.7K	53.1M	-234.3K	2.06	26.64	N/A	N/A	2,560	5,263	30,788	36,795
2014-10-31	$28.74	$35.00	32.7%	9.8%	67.8%	28.9%	35.8%	6.0%	0.1%	172.6K	44.1M	-270.7K	1.35	27.65	N/A	N/A	2,512	3,397	31,761	38,047