TEX Options History — August 2014

In August 2014, TEX traded between $34.18 and $37.64. ATM implied volatility averaged 27.4%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 3.8% (HV 20d: 31.2%). Max pain ranged from $29.00 to $36.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2014-08-11: Highest Volume — 5,484 contracts
  • 2014-08-12: Largest IV drop — 10.6% change
  • 2014-08-05: Highest IV Rank — 31.3%
  • 2014-08-12: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.41$34.18$37.64$34.18$37.41
Max Pain$34.50$29.00$36.00$35.00$36.00
ATM IV27.4%23.4%33.1%32.9%23.9%
Expected Move9.9%9.1%10.7%10.6%9.1%
HV 20d31.2%12.1%38.4%37.7%12.1%
HV 60d30.1%28.7%31.3%31.2%28.7%
IV Rank11.5%0.0%31.3%30.4%1.7%
IV Percentile14.1%0.0%48.0%45.2%1.6%
Term Structure1.8%0.1%3.7%0.1%2.5%
VWIV35.0%31.2%43.7%36.8%31.3%
Skew 25d2.8%1.0%4.5%2.7%3.0%
Skew 10d6.1%4.3%8.6%6.3%6.7%
Call IV 25d26.9%21.6%33.0%33.0%21.6%
Put IV 25d29.7%24.3%36.2%35.7%24.6%
Bid-Ask Spread %13.9910.7120.6012.0516.74
Gamma HHI0.170.120.550.140.15
Net GEX-318.9K-4.0M723.6K-733.7K464.7K
Net DEX5.8M-15.2M34.6M33.8M-6.3M
Net VEX-312.3K-336.8K-272.9K-277.6K-331.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.276.110.741.73
Total Volume1,743.194205,4841,270420
Total OI59,936.09552,82966,44357,10461,541

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$34.18$35.0032.9%10.6%37.7%30.4%36.8%2.7%0.1%-733.7K33.8M-277.6K0.7412.05N/AN/A73054026,87730,227
2014-08-04$34.23$35.0033.1%10.5%37.5%31.2%37.4%4.4%0.9%-811.4K34.6M-272.9K0.4111.21N/AN/A1,04843426,92130,569
2014-08-05$34.66$35.0033.1%10.5%38.0%31.3%38.4%4.5%0.4%-770.9K30.6M-282.5K0.5812.94N/AN/A1,03960727,30230,787
2014-08-06$34.60$35.0031.8%10.6%37.8%26.3%43.7%3.4%0.5%-815.1K31.8M-283.8K2.4614.18N/AN/A22254727,90831,110
2014-08-07$34.89$35.0031.9%10.7%36.6%26.6%32.6%3.2%0.7%-838.1K29.4M-287.3K0.2712.25N/AN/A1,83749527,97531,217
2014-08-08$35.48$35.0029.7%10.7%37.5%18.5%37.7%4.3%1.2%-614.3K20.0M-302.8K0.2913.90N/AN/A58917029,20031,281
2014-08-11$36.14$35.0031.6%10.6%38.4%25.5%37.8%3.7%0.2%-685.0K12.9M-298.0K0.4710.85N/AN/A3,7191,76529,33731,347
2014-08-12$35.98$35.0028.2%10.7%38.1%13.1%38.4%3.6%1.7%-599.7K13.7M-313.0K0.7510.71N/AN/A99674732,31932,320
2014-08-13$36.35$35.0027.0%10.5%38.3%8.7%36.4%2.6%0.9%-693.3K9.5M-320.2K3.2911.72N/AN/A6112,01132,93532,882
2014-08-14$36.76$35.0026.9%10.4%37.9%8.1%38.3%2.9%2.5%-1.2M5.0M-318.6K0.8312.95N/AN/A79566232,50433,488
2014-08-15$37.01$35.0027.0%10.3%37.5%8.4%36.1%2.5%2.0%-4.0M797.0K-319.0K0.7211.12N/AN/A2,1091,51332,79633,647
2014-08-18$37.64$0.0025.1%9.5%37.5%1.4%33.2%3.0%2.2%309.1K-11.3M-316.7K0.3711.89N/AN/A2,8481,04225,47227,357
2014-08-19$37.48$29.0024.9%9.4%36.4%0.8%33.8%2.1%1.8%512.8K-12.2M-328.5K0.8520.60N/AN/A75764027,76828,168
2014-08-20$37.59$33.0023.5%9.2%36.5%0.0%31.2%2.9%3.7%553.9K-13.8M-331.2K0.5316.77N/AN/A69736628,32128,548
2014-08-21$37.51$33.0023.6%9.3%23.5%0.2%31.4%1.3%2.7%723.6K-15.2M-336.8K1.1516.05N/AN/A42148329,61928,769
2014-08-22$37.38$33.0024.2%9.3%21.9%2.1%33.2%2.2%3.3%548.4K-11.8M-330.1K6.1115.63N/AN/A2251,37428,97229,085
2014-08-25$37.37$35.0024.9%9.3%21.2%4.9%32.5%1.7%2.0%492.0K-9.4M-326.7K1.7815.30N/AN/A35262728,96029,985
2014-08-26$37.37$35.0024.0%9.2%18.7%1.7%31.6%2.3%3.2%500.7K-8.8M-326.0K0.6415.70N/AN/A44528629,21730,491
2014-08-27$37.33$35.0023.4%9.1%18.3%0.0%32.3%1.0%2.7%494.3K-7.5M-324.8K2.8815.67N/AN/A4571,31829,52030,643
2014-08-28$37.24$36.0023.7%9.1%13.1%1.0%31.3%1.8%2.0%417.2K-5.0M-330.9K0.8915.47N/AN/A35131229,49831,775
2014-08-29$37.41$36.0023.9%9.1%12.1%1.7%31.3%3.0%2.5%464.7K-6.3M-331.9K1.7316.74N/AN/A15426629,58131,960