TEX Options History — November 2014 In November 2014, TEX traded between $27.70 and $30.98. ATM implied volatility averaged 33.4%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 26.4% (HV 20d: 59.9%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.46.
Notable Days 2014-11-10 : Highest Volume — 11,213 contracts2014-11-06 : Largest IV drop — 9.6% change2014-11-05 : Highest IV Rank — 39.1%2014-11-13 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $29.22 $27.70 $30.98 $29.09 $28.70 Max Pain $33.11 $32.00 $35.00 $35.00 $32.00 ATM IV 33.4% 30.9% 36.0% 34.5% 34.2% Expected Move 10.4% 9.9% 10.9% 9.9% 10.5% HV 20d 59.9% 45.5% 68.0% 68.0% 45.5% HV 60d 46.0% 43.6% 49.0% 43.6% 49.0% IV Rank 31.1% 23.2% 39.1% 34.3% 33.4% IV Percentile 66.0% 43.3% 80.2% 74.2% 73.0% Term Structure -0.2% -2.0% 0.8% -1.3% -0.6% VWIV 35.2% 33.7% 37.5% 35.6% 37.5% Skew 25d 3.9% 1.1% 5.9% 5.7% 1.1% Skew 10d 8.0% -4.9% 16.0% 7.9% -4.9% Call IV 25d 32.3% 30.2% 35.2% 31.7% 34.2% Put IV 25d 36.2% 33.2% 40.0% 37.5% 35.3% Bid-Ask Spread % 25.86 22.43 36.43 29.38 36.43 Gamma HHI 0.18 0.12 0.27 0.15 0.17 Net GEX 600.1K 10.4K 1.5M 274.8K 239.3K Net DEX 32.2M 5.2M 49.3M 39.8M 39.4M Net VEX -319.9K -370.4K -257.5K -286.0K -314.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.46 0.29 3.49 1.37 0.76 Total Volume 4,340.947 328 11,213 5,435 1,073 Total OI 78,601.421 70,876 86,522 70,876 78,564
Daily Data (19 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 2014-11-03 $29.09 $35.00 34.5% 9.9% 68.0% 34.3% 35.6% 5.7% -1.3% 274.8K 39.8M -286.0K 1.37 29.38 N/A N/A 2,293 3,142 32,595 38,281 2014-11-04 $27.74 $35.00 35.6% 10.3% 66.9% 37.7% 34.0% 5.8% -0.6% 31.7K 49.2M -257.5K 1.46 26.23 N/A N/A 1,957 2,848 32,944 38,345 2014-11-05 $27.70 $35.00 36.0% 10.2% 66.1% 39.1% 34.3% 3.3% -2.0% 10.4K 49.3M -258.1K 1.84 25.21 N/A N/A 1,604 2,950 33,151 38,665 2014-11-06 $28.69 $35.00 32.6% 10.1% 65.8% 28.5% 34.2% 5.9% 0.1% 209.4K 44.8M -270.9K 1.90 23.05 N/A N/A 1,449 2,753 33,044 39,002 2014-11-07 $28.85 $35.00 31.8% 10.1% 62.1% 26.0% 33.7% 5.8% 0.8% 242.1K 42.5M -277.5K 1.95 26.19 N/A N/A 1,236 2,409 33,193 38,982 2014-11-10 $29.27 $35.00 34.0% 10.7% 61.9% 32.9% 35.5% 3.7% 0.7% 371.9K 37.4M -286.8K 0.29 23.72 N/A N/A 8,696 2,517 33,263 38,969 2014-11-11 $29.48 $35.00 33.6% 10.6% 61.1% 31.6% 34.9% 4.5% 0.6% 470.7K 35.7M -283.6K 0.78 26.29 N/A N/A 3,098 2,421 33,404 38,745 2014-11-12 $29.36 $32.00 32.1% 10.6% 58.4% 27.1% 36.5% 4.2% -0.3% 990.5K 25.0M -347.3K 3.49 24.04 N/A N/A 1,378 4,814 42,500 39,112 2014-11-13 $28.25 $32.00 34.8% 10.9% 58.6% 35.2% 36.9% 3.6% -0.1% 519.2K 39.8M -330.6K 2.11 25.14 N/A N/A 2,377 5,024 42,560 40,907 2014-11-14 $28.18 $32.00 34.3% 10.8% 58.5% 33.8% 36.3% 3.6% 0.4% 553.5K 41.0M -326.2K 0.34 25.67 N/A N/A 409 137 43,698 41,088 2014-11-17 $28.23 $32.00 34.3% 10.7% 58.4% 33.8% 35.2% 3.4% 0.3% 567.3K 40.7M -319.4K 1.89 23.96 N/A N/A 1,194 2,261 43,866 41,208 2014-11-18 $29.76 $32.00 33.9% 10.4% 59.5% 32.6% 34.8% 4.1% -0.3% 1.3M 21.4M -356.9K 1.70 23.37 N/A N/A 1,926 3,276 43,987 41,289 2014-11-19 $29.23 $32.00 33.5% 10.5% 59.1% 31.2% 35.8% 4.0% 0.4% 1.0M 30.9M -344.5K 0.59 25.50 N/A N/A 490 291 44,283 41,709 2014-11-20 $29.79 $32.00 33.2% 10.3% 57.3% 30.3% 34.8% 4.1% -0.6% 1.5M 21.3M -353.1K 1.85 23.14 N/A N/A 1,694 3,131 43,911 41,462 2014-11-21 $30.74 $32.00 32.3% 10.1% 58.3% 27.6% 34.0% 2.1% -0.8% 1.4M 5.2M -370.4K 1.70 28.05 N/A N/A 3,164 5,363 44,369 42,153 2014-11-24 $30.87 $32.00 31.8% 10.1% 58.2% 26.0% 35.1% 3.8% -0.2% 541.0K 13.7M -369.6K 0.77 24.84 N/A N/A 698 539 37,060 40,416 2014-11-25 $30.98 $32.00 30.9% 10.1% 56.6% 23.2% 33.9% 1.9% 0.5% 561.9K 13.4M -369.7K 1.76 22.43 N/A N/A 1,281 2,257 37,384 40,855 2014-11-26 $30.29 $32.00 32.1% 10.3% 57.2% 27.1% 35.7% 4.2% -0.6% 527.0K 22.0M -356.1K 1.22 28.65 N/A N/A 148 180 37,500 40,963 2014-11-28 $28.70 $32.00 34.2% 10.5% 45.5% 33.4% 37.5% 1.1% -0.6% 239.3K 39.4M -314.2K 0.76 36.43 N/A N/A 610 463 37,522 41,042
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