TEX Options History — June 2014

In June 2014, TEX traded between $38.30 and $41.54. ATM implied volatility averaged 28.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 2.5% (HV 20d: 25.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2014-06-06: Highest Volume — 6,023 contracts
  • 2014-06-20: Largest IV drop — 6.1% change
  • 2014-06-16: Highest IV Rank — 19.7%
  • 2014-06-16: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.78$38.30$41.54$39.10$41.10
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV28.3%25.4%31.2%28.8%26.0%
Expected Move10.3%10.0%10.7%10.2%10.1%
HV 20d25.7%23.5%27.0%25.3%26.1%
HV 60d31.5%29.6%32.7%32.1%30.3%
IV Rank9.4%0.0%19.7%11.3%2.3%
IV Percentile6.3%0.0%23.0%3.6%0.8%
Term Structure3.6%0.8%7.3%0.8%6.5%
VWIV36.8%33.0%42.6%37.2%42.6%
Skew 25d3.8%2.0%5.4%4.1%2.7%
Skew 10d8.4%6.0%11.9%9.9%9.2%
Call IV 25d26.8%24.9%29.7%26.6%25.4%
Put IV 25d30.7%28.1%33.7%30.7%28.1%
Bid-Ask Spread %11.709.2018.309.3113.57
Gamma HHI0.150.100.210.120.12
Net GEX-925.8K-1.6M-196.8K-644.7K-657.4K
Net DEX11.8M-7.3M32.8M9.7M-2.7M
Net VEX-289.6K-312.3K-265.0K-284.3K-305.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.106.170.260.45
Total Volume1,592.5243696,023607951
Total OI50,155.09545,96757,21746,04849,002

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$39.10$35.0028.8%10.2%25.3%11.3%37.2%4.1%0.8%-644.7K9.7M-284.3K0.269.31N/AN/A48012718,86827,180
2014-06-03$39.26$35.0028.0%10.3%24.8%8.4%0.0%3.5%1.4%-586.5K8.1M-281.3K2.929.67N/AN/A32093418,79127,176
2014-06-04$39.40$35.0028.6%10.3%24.7%10.4%0.0%4.1%1.2%-578.3K6.8M-283.3K0.719.20N/AN/A21615319,00427,986
2014-06-05$40.46$35.0027.1%10.3%26.5%5.2%34.6%2.8%2.0%-302.5K-1.8M-283.9K1.619.24N/AN/A50280919,02927,998
2014-06-06$40.78$35.0028.2%10.4%26.6%9.1%0.0%4.0%3.5%-196.8K-5.9M-286.9K3.6910.77N/AN/A1,2854,73819,16127,627
2014-06-09$41.54$35.0027.5%10.2%27.0%6.6%0.0%3.5%3.2%-1.1M-7.3M-293.7K1.959.48N/AN/A7221,40619,83531,710
2014-06-10$40.96$35.0029.0%10.4%24.0%12.0%36.7%4.0%3.1%-1.3M416.4K-294.9K1.679.71N/AN/A37262020,07631,562
2014-06-11$40.33$35.0028.6%10.3%24.5%10.4%35.9%4.1%2.6%-1.6M9.0M-292.2K1.769.97N/AN/A39068620,02831,731
2014-06-12$39.06$35.0030.2%10.2%26.4%16.3%38.1%4.4%3.1%-1.5M25.0M-281.8K0.6310.07N/AN/A53834020,17832,105
2014-06-13$38.30$35.0030.5%10.5%26.3%17.2%35.4%3.3%3.4%-1.3M31.2M-267.0K1.1710.46N/AN/A72084120,31032,118
2014-06-16$38.37$35.0031.2%10.7%26.3%19.7%37.6%3.3%3.4%-1.4M31.5M-268.1K0.809.79N/AN/A35928620,46632,764
2014-06-17$38.55$35.0030.0%10.3%25.3%15.6%35.3%4.2%2.9%-1.2M30.8M-267.3K0.379.73N/AN/A44816420,66032,851
2014-06-18$38.48$35.0030.6%10.4%23.5%17.6%34.8%4.8%2.6%-1.2M32.8M-265.0K0.3312.35N/AN/A53417820,91932,921
2014-06-19$38.97$35.0029.1%10.3%23.9%12.4%37.4%5.4%3.9%-760.9K27.0M-268.3K6.1711.80N/AN/A6363,92320,85632,463
2014-06-20$40.19$35.0027.4%10.3%26.3%6.1%39.1%4.7%4.4%-565.5K20.6M-311.7K1.0312.53N/AN/A1,6831,74120,96336,254
2014-06-23$40.27$35.0028.0%10.3%26.2%8.2%33.0%3.4%4.0%-967.7K6.0M-308.0K0.4514.45N/AN/A89039717,63629,491
2014-06-24$39.67$35.0026.9%10.3%26.8%4.4%38.6%2.0%5.0%-1.0M8.6M-310.1K1.2417.21N/AN/A52565018,15629,674
2014-06-25$39.56$35.0026.1%10.3%26.7%1.6%0.0%4.1%6.0%-999.5K11.8M-306.7K0.3118.30N/AN/A51015618,36229,849
2014-06-26$39.95$35.0026.2%10.2%26.8%1.9%0.0%4.0%5.9%-932.2K9.3M-308.4K0.1015.54N/AN/A6256318,53229,963
2014-06-27$41.11$35.0025.4%10.0%26.6%0.0%35.7%3.5%7.3%-659.3K-2.5M-312.3K0.2712.51N/AN/A1,98354219,00230,000
2014-06-30$41.10$35.0026.0%10.1%26.1%2.3%42.6%2.7%6.5%-657.4K-2.7M-305.6K0.4513.57N/AN/A65529619,00230,000