TEX Options History — March 2014

In March 2014, TEX traded between $41.00 and $44.74. ATM implied volatility averaged 31.7%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 0.7% (HV 20d: 31.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2014-03-05: Highest Volume — 2,135 contracts
  • 2014-03-26: Largest IV spike — 8.1% change
  • 2014-03-14: Highest IV Rank — 26.7%
  • 2014-03-14: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.02$41.00$44.74$44.05$44.30
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV31.7%28.5%35.0%33.7%29.7%
Expected Move10.9%10.7%11.1%10.9%10.7%
HV 20d31.0%25.5%40.4%40.4%34.6%
HV 60d35.4%34.3%37.5%34.9%37.5%
IV Rank17.2%8.1%26.7%22.9%11.5%
IV Percentile11.2%0.4%26.6%18.7%3.6%
Term Structure3.5%0.1%6.7%0.1%6.3%
VWIV39.0%35.2%42.8%35.8%42.8%
Skew 25d4.1%2.8%4.8%3.5%3.5%
Skew 10d8.7%6.4%13.4%13.4%7.1%
Call IV 25d30.2%27.5%33.1%32.1%28.0%
Put IV 25d34.2%31.2%37.6%35.6%31.5%
Bid-Ask Spread %8.616.6512.1312.138.15
Gamma HHI0.150.120.170.120.17
Net GEX583.9K66.0K1.2M680.0K1.1M
Net DEX-32.6M-49.9M-13.3M-43.8M-43.6M
Net VEX-278.5K-289.0K-265.7K-287.5K-265.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.306.020.681.71
Total Volume1,015.2862982,1359531,116
Total OI46,354.04842,50348,51745,03545,260

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$44.05$35.0033.7%10.9%40.4%22.9%35.8%3.5%0.1%680.0K-43.8M-287.5K0.6812.13N/AN/A56638721,71923,316
2014-03-04$44.74$35.0031.6%10.8%37.7%17.0%35.2%4.2%0.1%763.2K-49.9M-281.0K1.5110.19N/AN/A40761521,87323,532
2014-03-05$43.87$35.0032.0%10.9%35.2%18.0%41.6%3.8%1.1%641.4K-42.7M-283.5K6.0210.50N/AN/A3041,83122,06123,885
2014-03-06$44.63$35.0031.1%10.8%30.1%15.4%0.0%4.3%1.1%675.5K-46.7M-286.1K0.958.38N/AN/A20719621,72524,487
2014-03-07$44.25$35.0030.7%10.8%30.0%14.3%0.0%4.7%3.0%738.7K-44.2M-284.6K4.528.70N/AN/A15067821,80624,372
2014-03-10$43.79$35.0031.7%10.8%30.3%17.2%37.0%4.6%2.1%662.1K-39.4M-286.5K5.536.65N/AN/A15887321,78224,860
2014-03-11$43.38$35.0033.0%11.0%30.5%21.0%0.0%3.8%3.2%571.7K-35.5M-285.5K1.597.89N/AN/A36057121,80725,306
2014-03-12$42.62$35.0032.5%11.0%29.9%19.5%37.6%4.6%2.6%382.4K-26.8M-289.0K0.838.78N/AN/A54845421,83525,712
2014-03-13$41.38$35.0034.5%11.0%28.9%25.2%0.0%4.1%2.2%89.2K-15.0M-288.0K1.659.07N/AN/A53788621,98325,949
2014-03-14$41.00$35.0035.0%11.1%29.0%26.7%37.7%4.5%1.6%66.0K-13.3M-283.6K0.4811.07N/AN/A30314522,31625,812
2014-03-17$41.72$35.0033.5%11.0%29.9%22.4%0.0%3.5%2.8%186.7K-19.8M-280.6K0.987.77N/AN/A36135322,38425,877
2014-03-18$42.44$35.0032.4%11.0%30.6%19.2%37.3%4.8%2.9%448.8K-26.4M-277.4K1.367.43N/AN/A29640322,46025,859
2014-03-19$41.82$35.0031.5%11.0%27.3%16.6%0.0%4.7%4.1%107.0K-21.1M-273.1K0.308.29N/AN/A54616422,47326,044
2014-03-20$41.85$35.0031.0%11.0%25.5%15.1%41.8%4.4%4.1%111.5K-20.1M-272.0K0.657.99N/AN/A25116222,60125,675
2014-03-21$43.71$35.0028.5%10.8%28.4%8.1%41.1%3.7%6.0%1.2M-41.3M-269.1K0.538.25N/AN/A1,37272622,65425,687
2014-03-24$42.97$35.0030.6%11.0%28.1%14.0%42.2%3.9%6.4%844.7K-33.4M-267.3K1.337.70N/AN/A62082520,25722,246
2014-03-25$43.74$35.0029.6%10.7%28.8%11.3%0.0%3.9%5.7%927.1K-39.1M-267.9K2.697.37N/AN/A3941,06120,51922,781
2014-03-26$42.23$35.0032.0%11.0%31.1%18.1%36.6%2.8%5.7%645.5K-27.1M-273.2K0.328.18N/AN/A56317920,78523,763
2014-03-27$41.72$35.0031.2%10.9%30.9%15.7%40.0%4.1%5.8%544.4K-21.4M-272.3K2.938.10N/AN/A3701,08520,86623,872
2014-03-28$43.28$35.0029.8%11.0%33.7%11.7%0.0%4.1%6.7%893.4K-34.6M-274.6K0.658.26N/AN/A18111720,99024,244
2014-03-31$44.30$35.0029.7%10.7%34.6%11.5%42.8%3.5%6.3%1.1M-43.6M-265.7K1.718.15N/AN/A41270420,99624,264