TEX Options History — April 2014

In April 2014, TEX traded between $40.28 and $44.19. ATM implied volatility averaged 36.5%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.4% (HV 20d: 36.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2014-04-11: Highest Volume — 5,045 contracts
  • 2014-04-10: Largest IV spike — 36.7% change
  • 2014-04-28: Highest IV Rank — 61.5%
  • 2014-04-11: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.28$40.28$44.19$44.00$43.29
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV36.5%28.8%42.9%29.5%38.9%
Expected Move10.9%10.7%11.1%10.7%10.7%
HV 20d36.9%33.0%40.5%34.2%34.7%
HV 60d37.4%35.4%39.2%37.5%35.4%
IV Rank33.8%9.0%61.5%10.9%47.1%
IV Percentile44.8%1.2%78.6%2.8%59.1%
Term Structure-2.2%-6.4%7.7%6.9%-4.2%
VWIV39.4%33.9%45.8%39.2%41.3%
Skew 25d4.6%2.9%6.6%2.9%4.8%
Skew 10d10.5%6.0%16.6%7.5%16.6%
Call IV 25d36.0%26.6%39.9%28.3%36.7%
Put IV 25d40.7%30.9%46.5%31.2%41.6%
Bid-Ask Spread %10.018.1913.728.5913.72
Gamma HHI0.150.100.220.170.10
Net GEX180.1K-1.2M1.1M1.0M228.9K
Net DEX-18.0M-42.7M2.1M-40.3M-19.1M
Net VEX-258.9K-267.5K-243.2K-267.5K-267.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0317.020.882.69
Total Volume1,171.813215,0451,0401,855
Total OI42,440.47630,21851,51845,99635,238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$44.00$35.0029.5%10.7%34.2%10.9%39.2%2.9%6.9%1.0M-40.3M-267.5K0.888.59N/AN/A55448621,19924,797
2014-04-02$44.19$35.0028.8%10.7%33.5%9.0%38.9%3.7%7.6%1.1M-42.7M-263.8K1.018.19N/AN/A23223421,26024,992
2014-04-03$44.00$35.0028.9%10.7%33.0%9.2%0.0%4.6%7.7%1.1M-40.6M-263.5K1.138.26N/AN/A62170321,31925,078
2014-04-04$43.15$35.0029.3%10.9%33.5%10.4%41.8%4.4%-2.0%922.8K-32.8M-262.0K1.438.38N/AN/A15221721,29724,832
2014-04-07$41.18$35.0032.6%11.0%37.1%19.8%45.8%4.9%-3.6%310.0K-13.7M-254.7K0.839.07N/AN/A72960321,32725,052
2014-04-08$41.62$35.0031.0%10.9%37.4%15.3%0.0%4.3%-3.5%368.2K-16.8M-253.6K0.268.66N/AN/A52113321,35225,350
2014-04-09$43.00$35.0029.5%10.9%38.8%10.9%0.0%5.2%-3.1%901.8K-30.2M-256.5K0.119.33N/AN/A5005321,44325,418
2014-04-10$41.30$35.0040.3%11.0%40.1%41.6%40.6%4.3%-2.9%213.8K-13.9M-248.9K0.4311.18N/AN/A2259621,52625,430
2014-04-11$40.62$35.0040.5%11.1%40.4%42.2%38.7%4.3%-3.8%-86.0K-7.7M-243.2K17.0211.26N/AN/A2804,76521,56325,488
2014-04-14$40.28$35.0041.2%11.0%39.9%44.2%36.4%4.7%-4.5%-1.2M2.1M-261.4K0.999.21N/AN/A39739221,61229,876
2014-04-15$41.02$35.0040.8%11.0%40.0%43.0%0.0%5.2%-4.3%-856.9K-6.2M-260.2K1.5811.26N/AN/A19631021,60029,918
2014-04-16$41.87$35.0038.1%10.9%40.4%35.5%38.4%5.4%-3.2%16.4K-14.7M-254.6K0.4310.36N/AN/A70930521,47729,819
2014-04-17$42.07$35.0038.7%10.8%40.5%37.1%38.3%4.4%-3.1%-86.2K-17.9M-252.2K0.2610.82N/AN/A1,58041321,73829,731
2014-04-21$41.86$35.0039.1%10.8%37.1%40.2%0.0%5.1%-3.4%-255.8K-6.7M-248.7K0.3911.44N/AN/A1,21447612,27817,940
2014-04-22$42.89$35.0037.9%10.8%37.8%36.4%39.2%4.3%-3.0%-106.3K-12.9M-258.1K0.0310.38N/AN/A1,5735113,31718,346
2014-04-23$43.00$35.0038.6%10.8%37.2%43.0%37.9%5.0%-4.1%65.9K-16.0M-262.4K1.029.55N/AN/A43144014,73118,377
2014-04-24$42.62$35.0038.9%10.8%35.1%47.1%33.9%3.6%-4.1%72.0K-14.7M-266.2K0.4210.06N/AN/A38316115,07318,676
2014-04-25$41.59$35.0039.8%10.8%36.0%50.5%42.1%3.4%-4.4%15.9K-9.3M-261.5K0.3711.53N/AN/A46917315,20918,772
2014-04-28$41.49$35.0042.9%10.7%33.2%61.5%39.6%6.6%-6.4%-1.1K-7.4M-262.6K0.4310.16N/AN/A40517415,28518,926
2014-04-29$42.94$35.0041.0%10.8%34.6%54.7%39.1%6.3%-5.3%132.8K-16.3M-267.5K0.328.83N/AN/A1,05534215,57119,017
2014-04-30$43.29$35.0038.9%10.7%34.7%47.1%41.3%4.8%-4.2%228.9K-19.1M-267.0K2.6913.72N/AN/A5031,35216,06519,173