TEX Options History — January 2015

In January 2015, TEX traded between $22.46 and $28.49. ATM implied volatility averaged 43.1%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 2.5% (HV 20d: 40.6%). Max pain ranged from $24.00 to $28.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2015-01-20: Highest Volume — 10,329 contracts
  • 2015-01-12: Largest IV spike — 24.9% change
  • 2015-01-30: Highest IV Rank — 78.8%
  • 2015-01-30: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.88$22.46$28.49$28.49$22.46
Max Pain$26.10$24.00$28.00$28.00$24.00
ATM IV43.1%33.5%48.9%35.7%48.9%
Expected Move13.0%11.7%14.0%11.8%14.0%
HV 20d40.6%34.3%43.2%34.3%42.0%
HV 60d46.6%40.2%50.4%48.8%40.3%
IV Rank61.0%31.3%78.8%38.2%78.8%
IV Percentile88.5%59.9%97.2%75.0%97.2%
Term Structure-2.9%-5.3%4.7%4.7%-5.3%
VWIV44.8%39.6%49.1%39.9%48.0%
Skew 25d5.7%3.8%7.5%7.1%4.4%
Skew 10d10.6%7.1%13.8%9.6%10.5%
Call IV 25d42.5%31.1%46.4%31.1%46.0%
Put IV 25d48.2%38.2%51.7%38.2%50.4%
Bid-Ask Spread %24.5817.0230.7126.7727.75
Gamma HHI0.170.100.240.180.17
Net GEX-117.5K-453.6K337.2K134.9K83.6K
Net DEX40.4M18.4M61.2M40.7M22.9M
Net VEX-149.5K-222.4K-119.9K-222.4K-145.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.053.450.971.02
Total Volume3,385.11,26710,3292,7043,431
Total OI62,693.738,32275,20470,82754,396

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$28.49$28.0035.7%11.8%34.3%38.2%39.9%7.1%4.7%134.9K40.7M-222.4K0.9726.77N/AN/A1,3711,33333,37537,452
2015-01-05$26.61$28.0041.2%12.7%41.9%55.1%43.7%6.7%-1.4%-188.4K50.0M-190.8K3.3030.71N/AN/A6332,08633,53237,472
2015-01-06$25.75$28.0042.2%13.2%43.2%58.2%46.2%6.8%-3.8%-364.9K54.4M-176.9K1.8026.81N/AN/A47986233,95238,061
2015-01-07$25.49$28.0042.2%13.2%42.3%58.1%46.8%6.7%-3.1%-453.6K56.2M-167.8K2.6225.37N/AN/A4741,24434,21838,260
2015-01-08$25.62$28.0034.9%12.5%41.5%35.6%45.4%5.9%-2.8%-446.9K53.9M-174.3K1.1023.44N/AN/A2,2142,42634,49438,171
2015-01-09$24.78$28.0033.5%12.8%40.6%31.3%43.8%5.4%-2.2%-444.8K56.5M-160.8K0.9525.40N/AN/A1,8601,76535,06838,160
2015-01-12$23.89$27.0041.8%13.3%42.1%57.1%46.6%4.4%-2.6%-403.8K58.1M-146.0K1.0821.39N/AN/A1,8722,01535,25438,126
2015-01-13$23.26$27.0045.3%13.4%42.6%67.7%44.6%7.2%-2.3%-355.0K61.2M-133.4K1.0621.24N/AN/A1,5941,69035,56038,558
2015-01-14$23.03$27.0047.5%13.6%42.6%74.5%47.7%5.4%-4.7%-363.5K60.6M-128.2K1.5224.68N/AN/A1,7412,64135,89138,417
2015-01-15$22.66$27.0047.9%13.7%42.5%75.9%47.3%5.3%-3.3%-376.1K59.6M-129.6K1.0417.02N/AN/A1,6131,68435,98239,015
2015-01-16$22.56$26.0047.1%13.5%41.2%73.4%44.8%3.8%-4.2%-371.3K59.9M-126.2K3.4522.75N/AN/A3241,11836,12739,077
2015-01-20$22.57$26.0046.1%13.2%39.1%70.3%44.0%5.9%-4.2%-243.1K25.1M-119.9K0.0521.72N/AN/A9,79753218,36719,955
2015-01-21$22.58$25.0043.5%12.5%35.8%62.3%43.4%4.1%-1.8%128.1K22.1M-131.5K0.3522.93N/AN/A1,66358027,82120,216
2015-01-22$23.37$25.0043.5%12.5%38.9%62.1%40.8%5.0%-2.7%317.4K18.4M-146.4K0.5924.35N/AN/A2,1141,23829,16020,639
2015-01-23$22.84$24.0040.9%11.7%37.3%54.1%39.6%3.8%-1.0%226.8K20.9M-135.3K0.5227.78N/AN/A1,9881,03929,52020,803
2015-01-26$23.52$24.0041.9%12.0%39.8%57.2%41.8%7.3%-3.6%337.2K19.2M-140.5K0.2722.69N/AN/A1,00026729,62520,849
2015-01-27$22.46$24.0046.6%13.3%40.7%71.6%46.4%5.9%-4.9%145.2K22.8M-127.5K2.6826.15N/AN/A1,1363,04330,22220,963
2015-01-28$22.57$24.0045.3%13.0%40.6%67.9%45.7%5.3%-4.3%110.6K22.7M-140.5K0.8330.68N/AN/A1,8371,52330,83022,469
2015-01-29$23.03$24.0046.0%13.2%42.0%69.8%49.1%7.5%-4.5%176.7K21.9M-146.3K1.0221.90N/AN/A1,7181,75730,95222,865
2015-01-30$22.46$24.0048.9%14.0%42.0%78.8%48.0%4.4%-5.3%83.6K22.9M-145.3K1.0227.75N/AN/A1,7021,72931,07623,320