TEX Options History — September 2014

In September 2014, TEX traded between $31.77 and $37.15. ATM implied volatility averaged 27.2%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.0% (HV 20d: 23.2%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2014-09-16: Highest Volume — 6,162 contracts
  • 2014-09-15: Largest IV spike — 12.0% change
  • 2014-09-15: Highest IV Rank — 23.3%
  • 2014-09-15: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.01$31.77$37.15$37.15$31.77
Max Pain$35.71$35.00$36.00$36.00$35.00
ATM IV27.2%23.4%29.9%25.4%29.5%
Expected Move9.3%9.0%9.5%9.2%9.5%
HV 20d23.2%11.9%30.1%12.7%30.1%
HV 60d29.6%27.4%31.5%28.7%29.8%
IV Rank13.6%0.0%23.3%7.0%21.6%
IV Percentile14.6%0.0%31.0%4.8%30.6%
Term Structure3.5%0.8%5.4%1.1%5.3%
VWIV32.4%29.4%40.2%31.8%31.3%
Skew 25d3.2%1.7%4.8%3.3%4.0%
Skew 10d7.3%4.4%14.6%4.4%14.6%
Call IV 25d26.4%22.8%28.5%24.0%28.3%
Put IV 25d29.6%25.7%32.3%27.2%32.3%
Bid-Ask Spread %20.1715.4925.9117.3624.20
Gamma HHI0.160.130.220.150.15
Net GEX-531.0K-877.1K338.9K338.9K-813.6K
Net DEX32.6M-3.1M57.8M-3.1M43.0M
Net VEX-303.9K-320.0K-253.5K-320.0K-297.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.264.684.250.97
Total Volume2,101.1434596,1627191,005
Total OI65,552.52459,14473,45461,73963,667

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$37.15$36.0025.4%9.2%12.7%7.0%31.8%3.3%1.1%338.9K-3.1M-320.0K4.2517.36N/AN/A13758229,60632,133
2014-09-03$37.00$36.0024.7%9.2%12.6%4.6%32.0%2.1%1.8%197.2K175.5K-318.3K0.9319.23N/AN/A32230029,67232,573
2014-09-04$37.13$36.0024.6%9.0%12.5%4.0%31.5%2.9%0.8%264.8K-1.9M-315.5K0.3115.76N/AN/A1,22838129,78132,391
2014-09-05$36.91$36.0023.4%9.0%12.8%0.0%29.4%3.7%3.9%304.5K212.7K-317.0K1.3316.25N/AN/A9431,25530,80432,541
2014-09-08$36.72$36.0025.0%9.0%11.9%5.7%32.4%3.8%3.3%196.3K3.2M-317.4K1.6715.49N/AN/A6781,13331,50533,457
2014-09-09$35.18$36.0026.5%9.2%18.5%11.2%29.9%2.8%2.9%-648.7K29.5M-303.8K0.5616.60N/AN/A1,9601,10731,63734,301
2014-09-10$34.72$36.0026.6%9.2%19.0%11.6%33.1%2.1%4.2%-766.2K36.1M-295.4K0.3216.09N/AN/A2,97996332,23134,664
2014-09-11$35.05$36.0027.5%9.2%18.9%14.7%33.0%3.6%2.8%-787.1K32.5M-301.4K1.7315.81N/AN/A7951,37332,33434,836
2014-09-12$34.70$36.0026.8%9.1%18.5%12.0%32.0%3.2%3.8%-861.0K36.0M-313.3K1.4918.05N/AN/A18427533,00735,550
2014-09-15$32.47$36.0029.9%9.5%28.8%23.3%32.8%3.7%2.0%-722.7K57.8M-253.5K1.2019.27N/AN/A2,7663,31432,99435,592
2014-09-16$33.00$36.0028.5%9.4%28.7%18.3%32.2%2.6%2.8%-755.5K51.1M-276.7K2.0719.11N/AN/A2,0064,15633,84736,291
2014-09-17$32.95$36.0028.6%9.4%28.8%18.7%31.4%1.7%2.4%-735.8K50.7M-308.8K3.0324.98N/AN/A4791,45335,30337,632
2014-09-18$33.03$36.0027.1%9.3%28.7%13.0%31.0%2.5%4.0%-723.4K51.3M-310.1K1.1421.13N/AN/A47554234,68738,446
2014-09-19$32.85$36.0026.6%9.2%28.7%11.5%32.6%3.8%3.4%-542.9K55.4M-302.0K4.6823.67N/AN/A4472,09434,74838,706
2014-09-22$32.25$36.0028.3%9.4%29.0%17.6%32.4%3.9%4.9%-877.1K41.8M-287.5K0.8125.91N/AN/A2,3121,86326,63232,512
2014-09-23$32.12$35.0028.2%9.4%28.9%17.1%0.0%2.9%4.3%-839.4K40.4M-308.4K0.4923.00N/AN/A57527928,14133,754
2014-09-24$32.48$35.0028.3%9.4%29.5%17.3%33.5%3.3%4.4%-838.0K39.1M-315.2K0.8123.04N/AN/A28923328,50433,906
2014-09-25$32.04$35.0028.0%9.5%29.5%16.5%30.4%2.5%5.4%-816.5K41.6M-302.4K0.9723.29N/AN/A36735728,58033,791
2014-09-26$32.25$35.0028.4%9.4%29.9%17.7%40.2%4.7%4.7%-871.8K40.0M-307.9K0.2622.63N/AN/A1,26232628,76633,878
2014-09-29$32.36$35.0029.4%9.5%29.9%21.5%35.8%4.8%5.1%-853.0K39.3M-308.4K0.6322.76N/AN/A57035929,11234,091
2014-09-30$31.77$35.0029.5%9.5%30.1%21.6%31.3%4.0%5.3%-813.6K43.0M-297.8K0.9724.20N/AN/A51149429,43334,234