TEX Options History — January 2014

In January 2014, TEX traded between $37.92 and $42.36. ATM implied volatility averaged 34.3%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 5.3% (HV 20d: 29.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2014-01-31: Highest Volume — 4,941 contracts
  • 2014-01-16: Largest IV spike — 33.3% change
  • 2014-01-31: Highest IV Rank — 47.5%
  • 2014-01-24: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.60$37.92$42.36$41.11$41.00
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV34.3%25.7%42.3%32.4%42.3%
Expected Move11.4%11.2%11.6%11.4%11.5%
HV 20d29.0%24.2%38.7%24.3%38.7%
HV 60d30.8%28.3%32.6%30.9%31.3%
IV Rank21.1%0.0%47.5%11.2%47.5%
IV Percentile23.2%0.0%67.5%6.7%67.5%
Term Structure-0.6%-2.9%3.6%3.2%-2.5%
VWIV41.4%38.2%46.7%43.8%38.9%
Skew 25d3.8%2.1%5.0%3.4%5.0%
Skew 10d7.8%3.4%11.5%8.5%11.1%
Call IV 25d34.6%30.6%40.1%31.1%40.1%
Put IV 25d38.4%32.7%45.0%34.4%45.0%
Bid-Ask Spread %10.718.3119.458.9910.96
Gamma HHI0.170.060.630.160.08
Net GEX486.7K-68.3K2.9M590.5K446.4K
Net DEX-47.4M-80.4M-14.2M-61.9M-29.8M
Net VEX-199.0K-216.3K-185.5K-207.0K-216.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.155.101.551.82
Total Volume1,2753624,9411,4284,941
Total OI47,459.42927,19662,39758,00032,874

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$41.11$35.0032.4%11.4%24.3%11.2%43.8%3.4%3.2%590.5K-61.9M-207.0K1.558.99N/AN/A55986926,07231,928
2014-01-03$41.28$35.0032.1%11.4%24.3%10.5%39.9%2.1%3.6%526.0K-63.7M-206.6K0.2610.03N/AN/A46712226,41232,483
2014-01-06$39.77$35.0032.8%11.5%28.8%12.5%42.1%5.0%-0.7%640.3K-49.4M-206.2K1.809.56N/AN/A6011,07926,58932,531
2014-01-07$39.91$35.0031.1%11.5%26.3%7.2%0.0%4.2%-0.2%564.9K-49.9M-206.5K0.158.40N/AN/A3144826,75232,844
2014-01-08$40.94$35.0030.4%11.5%26.4%5.2%43.5%3.3%-0.8%372.0K-60.9M-203.2K0.2410.28N/AN/A76118026,75332,870
2014-01-09$41.15$35.0029.5%11.4%26.2%2.2%38.8%4.0%-0.3%332.7K-64.3M-203.1K1.8110.60N/AN/A31456927,11933,000
2014-01-10$41.36$35.0029.2%11.4%24.2%1.4%40.1%4.2%-0.4%223.3K-66.9M-199.4K0.5310.77N/AN/A68536327,22833,354
2014-01-13$40.49$35.0032.8%11.5%25.8%12.7%0.0%4.4%-1.1%207.0K-57.3M-196.6K0.529.76N/AN/A72637727,59433,631
2014-01-14$41.42$35.0030.5%11.4%26.5%5.3%38.3%4.1%-0.4%-68.3K-68.7M-196.5K0.3310.28N/AN/A56418627,84433,718
2014-01-15$42.22$35.0025.7%11.3%26.7%0.0%38.9%3.4%0.2%407.2K-78.8M-187.7K0.5610.45N/AN/A1,33574327,89133,661
2014-01-16$42.06$35.0034.2%11.2%26.6%24.3%38.2%3.7%-0.1%464.7K-78.8M-187.0K0.728.31N/AN/A48435028,22933,812
2014-01-17$42.14$35.0033.6%11.3%26.2%22.7%40.7%4.6%-0.1%2.9M-80.4M-189.3K0.2710.83N/AN/A64117128,35934,038
2014-01-21$42.36$35.0034.8%11.2%26.1%25.9%43.2%3.0%-0.7%564.0K-35.0M-185.5K1.019.15N/AN/A52953414,98812,208
2014-01-22$41.42$35.0034.5%11.3%27.4%25.2%46.7%3.8%-0.4%508.0K-31.4M-187.3K1.7410.51N/AN/A34760515,32112,679
2014-01-23$40.34$35.0036.0%11.4%26.5%29.6%41.9%4.0%-1.1%421.5K-26.4M-187.6K5.109.08N/AN/A10051015,41512,944
2014-01-24$37.92$35.0038.6%11.6%34.2%36.9%42.6%3.2%-1.5%244.2K-16.4M-186.5K2.7312.96N/AN/A8992,45015,44913,255
2014-01-27$37.98$35.0039.8%11.6%34.1%40.2%43.4%3.6%-1.9%114.5K-14.2M-201.6K0.8211.78N/AN/A56045915,65915,165
2014-01-28$39.21$35.0039.4%11.3%36.2%39.1%0.0%3.8%-2.3%212.6K-19.8M-206.1K0.2311.86N/AN/A89820816,02515,424
2014-01-29$38.73$35.0040.5%11.5%36.4%42.1%41.9%3.6%-2.5%236.7K-18.7M-208.6K1.7119.45N/AN/A16227716,68015,540
2014-01-30$39.81$35.0040.6%11.4%37.8%42.5%42.6%3.4%-2.9%316.1K-23.0M-209.9K0.1510.89N/AN/A68510316,70315,607
2014-01-31$41.00$35.0042.3%11.5%38.7%47.5%38.9%5.0%-2.5%446.4K-29.8M-216.3K1.8210.96N/AN/A1,7543,18717,19015,684