TEX Options History — May 2014

In May 2014, TEX traded between $38.46 and $42.82. ATM implied volatility averaged 29.8%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 2.1% (HV 20d: 32.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2014-05-15: Highest Volume — 4,596 contracts
  • 2014-05-05: Largest IV spike — 9.6% change
  • 2014-05-05: Highest IV Rank — 27.6%
  • 2014-05-06: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.89$38.46$42.82$42.82$38.46
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV29.8%27.3%33.4%29.9%28.3%
Expected Move10.6%10.3%10.9%10.8%10.6%
HV 20d32.0%27.8%38.3%34.8%28.8%
HV 60d32.9%32.0%34.1%34.1%32.1%
IV Rank14.9%5.8%27.6%15.1%9.5%
IV Percentile8.3%0.4%27.4%6.3%2.0%
Term Structure1.1%0.1%2.4%0.8%1.7%
VWIV37.7%31.8%45.2%42.6%37.1%
Skew 25d4.0%2.9%5.9%2.9%4.2%
Skew 10d8.2%5.6%11.1%5.6%8.0%
Call IV 25d28.1%25.7%30.8%29.5%26.3%
Put IV 25d32.1%28.5%35.0%32.4%30.5%
Bid-Ask Spread %9.618.2210.9510.958.73
Gamma HHI0.110.070.120.110.12
Net GEX-397.3K-767.6K561.9K82.9K-767.6K
Net DEX6.0M-14.9M14.0M-14.9M14.0M
Net VEX-271.4K-296.0K-256.9K-266.7K-283.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.084.280.310.67
Total Volume1,502.2382044,5963,369576
Total OI43,049.66736,58646,53236,58645,750

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$42.82$35.0029.9%10.8%34.8%15.1%42.6%2.9%0.8%82.9K-14.9M-266.7K0.3110.95N/AN/A2,56680316,39220,194
2014-05-02$40.87$35.0030.5%10.8%38.3%17.2%41.6%5.3%1.1%-70.0K-854.7K-264.9K2.0610.40N/AN/A8161,68518,21920,308
2014-05-05$40.23$35.0033.4%10.8%38.1%27.6%36.2%3.7%0.3%-210.5K4.0M-256.9K0.468.22N/AN/A61328318,38520,853
2014-05-06$39.81$35.0032.9%10.9%34.7%25.8%36.8%4.2%0.6%-384.6K8.9M-263.5K0.548.77N/AN/A77641918,48222,019
2014-05-07$39.91$35.0032.1%10.8%34.4%23.0%43.1%5.9%0.5%-389.5K9.4M-261.4K4.2810.92N/AN/A5912,53018,71022,353
2014-05-08$39.94$35.0031.4%10.8%31.9%20.4%36.1%4.6%0.1%-520.6K9.3M-266.9K0.5710.04N/AN/A32118218,77824,795
2014-05-09$39.58$35.0029.3%10.7%29.0%13.0%34.0%4.8%1.1%-588.0K12.1M-265.2K0.088.88N/AN/A1,32610019,00224,896
2014-05-12$41.13$35.0031.1%10.5%31.8%19.5%38.7%3.8%0.6%74.2K-2.4M-267.0K0.1110.87N/AN/A2,91533119,88524,898
2014-05-13$40.90$35.0029.8%10.8%31.7%14.7%33.4%3.4%0.8%561.9K-2.8M-268.0K1.888.96N/AN/A18835321,12725,019
2014-05-14$40.25$35.0029.0%10.8%31.5%11.9%37.7%2.9%0.8%-154.7K5.3M-258.9K2.008.82N/AN/A15130220,13424,841
2014-05-15$39.43$35.0031.8%10.8%31.2%21.7%36.4%4.7%0.8%-514.0K12.1M-259.2K1.769.48N/AN/A1,6642,93219,91924,752
2014-05-16$39.56$35.0030.0%10.8%31.1%15.6%45.2%4.3%1.4%-599.8K12.1M-271.7K0.9310.44N/AN/A43240019,82726,705
2014-05-19$40.30$35.0029.5%10.7%32.0%13.6%0.0%4.4%1.5%-563.4K3.1M-268.0K0.2110.47N/AN/A1,14423815,56724,591
2014-05-20$39.20$35.0029.7%10.6%31.7%14.4%38.4%5.1%1.7%-633.4K8.9M-269.6K0.3810.48N/AN/A91134416,57824,776
2014-05-21$39.03$35.0028.9%10.6%31.6%11.7%38.4%3.3%1.3%-597.6K9.2M-270.0K0.469.22N/AN/A63229117,17525,017
2014-05-22$39.02$35.0027.5%10.4%31.6%6.4%31.8%3.8%2.4%-617.9K9.5M-270.0K1.439.37N/AN/A1,2681,80817,41225,151
2014-05-23$39.39$35.0027.3%10.3%31.0%5.8%37.5%2.9%1.8%-590.2K6.4M-296.0K0.178.93N/AN/A3656218,31426,897
2014-05-27$39.29$35.0028.6%10.3%31.0%10.6%37.5%3.3%1.2%-628.5K7.2M-293.2K0.408.97N/AN/A42216718,32226,931
2014-05-28$39.14$35.0027.8%10.3%27.8%7.5%0.0%3.1%1.7%-649.9K8.5M-290.4K0.169.10N/AN/A3766018,43227,039
2014-05-29$39.48$35.0027.9%10.3%27.8%8.2%34.3%3.9%2.0%-581.3K6.5M-288.6K0.359.74N/AN/A1515318,53227,066
2014-05-30$38.46$35.0028.3%10.6%28.8%9.5%37.1%4.2%1.7%-767.6K14.0M-283.8K0.678.73N/AN/A34423218,63727,113