TEX Options History — December 2014

In December 2014, TEX traded between $25.69 and $28.64. ATM implied volatility averaged 37.4%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 2.7% (HV 20d: 40.1%). Max pain ranged from $27.00 to $32.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.35.

Notable Days

2014-12-15: Highest Volume — 7,538 contracts
2014-12-08: Largest IV spike — 12.3% change
2014-12-15: Highest IV Rank — 66.9%
2014-12-17: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.52	$25.69	$28.64	$27.72	$27.88
Max Pain	$30.81	$27.00	$32.00	$32.00	$28.00
ATM IV	37.4%	32.2%	45.0%	37.2%	33.7%
Expected Move	11.7%	10.9%	12.9%	11.0%	11.7%
HV 20d	40.1%	33.3%	43.8%	43.8%	34.7%
HV 60d	49.2%	47.9%	50.0%	49.4%	49.9%
IV Rank	43.5%	27.3%	66.9%	42.8%	31.8%
IV Percentile	77.3%	54.0%	94.8%	82.1%	64.3%
Term Structure	3.2%	-1.4%	7.9%	-0.9%	7.2%
VWIV	39.6%	35.1%	44.6%	35.8%	41.0%
Skew 25d	3.8%	1.9%	5.9%	2.5%	4.8%
Skew 10d	10.2%	3.3%	19.3%	3.3%	14.5%
Call IV 25d	36.2%	31.3%	44.0%	37.3%	32.5%
Put IV 25d	40.0%	34.6%	48.1%	39.8%	37.3%
Bid-Ask Spread %	29.76	21.98	48.24	33.04	28.14
Gamma HHI	0.15	0.12	0.20	0.15	0.17
Net GEX	-5.2K	-252.8K	265.8K	58.5K	43.5K
Net DEX	47.0M	36.6M	56.6M	48.3M	42.4M
Net VEX	-241.4K	-286.4K	-215.2K	-286.4K	-218.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.34	2.16	1.94	0.57
Total Volume	3,965.136	244	7,538	3,105	414
Total OI	75,952.636	69,352	80,223	78,744	70,864

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
2014-12-01	$27.72	$32.00	37.2%	11.0%	43.8%	42.8%	35.8%	2.5%	-0.9%	58.5K	48.3M	-286.4K	1.94	33.04	N/A	N/A	1,055	2,050	37,587	41,157
2014-12-02	$27.67	$32.00	36.7%	11.0%	43.5%	41.1%	35.8%	2.5%	-0.4%	46.2K	48.9M	-284.4K	1.41	23.87	N/A	N/A	2,058	2,906	37,729	41,238
2014-12-03	$28.40	$32.00	36.4%	11.0%	41.2%	40.3%	36.5%	2.4%	-1.4%	203.8K	41.7M	-280.1K	1.31	25.21	N/A	N/A	2,180	2,855	36,914	40,562
2014-12-04	$28.03	$32.00	36.3%	11.0%	41.5%	40.0%	38.3%	2.7%	-1.1%	104.5K	45.8M	-265.9K	0.77	24.37	N/A	N/A	225	174	37,036	40,633
2014-12-05	$28.10	$32.00	34.1%	10.9%	39.5%	33.0%	35.1%	3.8%	2.8%	107.8K	45.4M	-267.3K	1.62	24.74	N/A	N/A	1,515	2,452	37,063	40,765
2014-12-08	$27.32	$32.00	38.3%	11.2%	40.5%	46.0%	36.4%	1.9%	2.4%	-88.2K	51.9M	-243.5K	2.06	23.49	N/A	N/A	1,469	3,023	37,175	40,821
2014-12-09	$27.89	$32.00	37.9%	11.5%	40.9%	44.9%	39.4%	4.2%	3.1%	55.8K	47.4M	-255.3K	1.57	21.98	N/A	N/A	1,794	2,824	37,252	40,797
2014-12-10	$26.75	$32.00	41.9%	11.9%	43.0%	57.3%	38.6%	3.1%	1.9%	-196.3K	53.8M	-236.7K	1.14	24.65	N/A	N/A	1,960	2,227	37,280	40,955
2014-12-11	$26.86	$32.00	40.2%	11.8%	43.2%	51.9%	40.5%	3.5%	1.1%	-169.1K	53.3M	-237.9K	1.05	28.99	N/A	N/A	2,167	2,285	37,486	41,059
2014-12-12	$26.49	$32.00	44.0%	12.6%	41.4%	63.6%	42.1%	5.1%	-0.2%	-199.5K	54.8M	-231.8K	0.83	37.65	N/A	N/A	3,016	2,503	37,589	41,062
2014-12-15	$26.19	$32.00	45.0%	12.8%	41.5%	66.9%	42.6%	5.9%	-0.2%	-229.8K	56.6M	-223.1K	0.70	27.48	N/A	N/A	4,443	3,095	38,837	41,267
2014-12-16	$25.69	$32.00	43.7%	12.8%	41.8%	62.8%	43.7%	3.4%	1.1%	-230.4K	55.5M	-215.2K	1.13	29.79	N/A	N/A	2,871	3,256	40,210	40,013
2014-12-17	$26.26	$32.00	42.7%	12.9%	37.4%	59.6%	44.6%	5.3%	1.9%	-252.8K	56.1M	-216.1K	1.52	35.24	N/A	N/A	1,707	2,589	39,136	40,714
2014-12-18	$27.01	$32.00	39.7%	12.3%	39.0%	50.4%	42.5%	4.7%	3.1%	-187.0K	51.5M	-226.5K	2.16	32.21	N/A	N/A	1,660	3,585	37,879	40,689
2014-12-19	$27.97	$32.00	36.5%	11.9%	40.7%	40.7%	42.4%	5.4%	5.8%	-20.1K	45.8M	-236.2K	2.16	31.13	N/A	N/A	1,133	2,449	37,955	40,482
2014-12-22	$27.39	$0.00	36.5%	12.3%	39.0%	40.6%	40.9%	4.4%	7.0%	-18.2K	45.0M	-222.7K	1.18	48.24	N/A	N/A	1,811	2,144	32,677	37,393
2014-12-23	$28.07	$27.00	33.3%	11.5%	40.3%	30.6%	38.7%	4.3%	6.4%	85.3K	40.6M	-228.3K	1.12	32.29	N/A	N/A	2,209	2,484	32,762	36,590
2014-12-24	$27.96	$28.00	32.2%	11.4%	40.2%	27.3%	39.1%	3.7%	7.7%	109.2K	37.7M	-238.1K	1.89	32.62	N/A	N/A	1,275	2,408	33,249	36,840
2014-12-26	$28.44	$28.00	32.6%	11.6%	40.4%	28.5%	39.2%	3.3%	7.9%	215.7K	37.0M	-235.6K	1.72	31.90	N/A	N/A	1,307	2,244	33,261	36,869
2014-12-29	$28.64	$28.00	32.4%	11.4%	35.7%	27.9%	39.5%	3.6%	7.6%	265.8K	36.6M	-230.8K	1.50	31.65	N/A	N/A	1,268	1,899	33,363	36,928
2014-12-30	$28.61	$28.00	32.7%	11.3%	33.3%	29.0%	38.6%	4.2%	7.1%	181.8K	39.1M	-230.9K	0.34	26.04	N/A	N/A	182	62	33,437	37,383
2014-12-31	$27.88	$28.00	33.7%	11.7%	34.7%	31.8%	41.0%	4.8%	7.2%	43.5K	42.4M	-218.6K	0.57	28.14	N/A	N/A	264	150	33,465	37,399