TEX Options History — February 2015

In February 2015, TEX traded between $23.48 and $27.74. ATM implied volatility averaged 41.8%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 5.4% (HV 20d: 47.2%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-02-18: Highest Volume — 13,279 contracts
  • 2015-02-11: Largest IV drop — 27.2% change
  • 2015-02-10: Highest IV Rank — 100.0%
  • 2015-02-02: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.63$23.48$27.74$23.48$27.40
Max Pain$24.16$23.00$26.00$24.00$26.00
ATM IV41.8%31.9%57.5%51.4%32.1%
Expected Move11.3%9.1%14.7%14.7%9.2%
HV 20d47.2%42.3%54.0%45.0%50.0%
HV 60d43.0%40.5%45.4%40.5%43.6%
IV Rank55.3%24.9%100.0%86.7%25.6%
IV Percentile77.8%45.2%100.0%98.8%46.8%
Term Structure-2.0%-8.0%1.0%-8.0%0.1%
VWIV38.7%31.9%47.5%46.8%33.0%
Skew 25d5.3%2.4%9.2%9.2%3.1%
Skew 10d11.5%4.7%17.9%15.4%10.1%
Call IV 25d37.2%30.2%49.5%45.0%31.1%
Put IV 25d42.6%32.9%54.2%54.2%34.2%
Bid-Ask Spread %27.0222.6929.9028.5826.75
Gamma HHI0.210.170.320.190.22
Net GEX514.3K149.6K1.4M273.7K335.7K
Net DEX5.4M-21.8M19.4M19.4M-166.1K
Net VEX-201.6K-248.2K-155.7K-155.7K-246.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.091.260.090.58
Total Volume4,324.6321,00813,2791,0084,886
Total OI56,253.78952,83166,32954,77554,027

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$23.48$24.0051.4%14.7%45.0%86.7%46.8%9.2%-8.0%273.7K19.4M-155.7K0.0928.58N/AN/A9268231,16923,606
2015-02-03$24.76$24.0047.4%13.6%44.7%74.2%47.1%6.9%-5.9%636.5K10.9M-174.5K0.3727.72N/AN/A4,6531,70331,81523,625
2015-02-04$23.65$24.0049.2%14.1%46.0%79.7%47.5%4.4%-6.4%381.7K16.5M-163.6K0.4029.55N/AN/A3,1901,28232,01823,751
2015-02-05$24.18$23.0050.5%11.8%46.9%83.9%39.7%7.0%-1.1%329.0K16.4M-163.9K0.4329.90N/AN/A3,0081,28129,75923,925
2015-02-06$24.78$23.0049.2%11.6%47.8%79.9%40.7%5.1%-1.6%471.9K11.9M-174.9K0.7527.88N/AN/A1,6991,26629,89723,993
2015-02-09$25.00$23.0053.4%12.0%46.4%92.9%41.3%5.6%-1.9%556.0K10.1M-173.7K0.5526.63N/AN/A2,6031,42730,10124,039
2015-02-10$24.88$23.0057.5%12.0%44.4%100.0%41.0%7.9%-2.3%492.4K11.3M-173.3K0.5326.25N/AN/A2,0871,10130,30124,381
2015-02-11$24.68$23.0041.9%12.0%43.3%54.2%40.9%7.5%-1.9%477.5K12.6M-169.6K0.5727.63N/AN/A2,0961,19330,33424,457
2015-02-12$24.97$23.0041.1%11.8%43.1%52.1%40.7%5.3%-1.9%557.7K11.2M-170.4K0.5126.10N/AN/A2,1831,12130,39724,637
2015-02-13$25.15$23.0041.9%12.0%42.4%54.2%41.5%6.5%-2.6%626.8K8.8M-173.6K0.1528.35N/AN/A6,6931,01630,46024,675
2015-02-17$25.47$23.0043.1%12.4%42.3%57.9%41.2%7.0%-4.8%853.6K1.5M-214.9K0.4825.83N/AN/A3,7361,80835,83924,711
2015-02-18$26.70$23.0034.6%9.9%44.7%33.1%35.5%4.4%-0.3%1.4M-14.9M-230.5K0.4528.25N/AN/A9,1534,12636,83825,665
2015-02-19$25.38$25.0035.8%10.3%49.4%36.6%34.6%2.8%-0.4%928.4K6.4M-218.5K0.7825.40N/AN/A2,1231,66037,69027,390
2015-02-20$27.31$26.0032.8%9.4%54.0%27.6%32.6%3.9%0.8%149.6K-21.8M-246.1K0.2229.59N/AN/A4,13291138,04828,281
2015-02-23$26.83$25.0033.6%9.6%53.7%29.9%33.5%4.0%0.4%267.7K3.1M-243.0K0.9225.10N/AN/A1,2631,16229,59523,236
2015-02-24$27.16$26.0032.9%9.4%53.1%27.9%33.0%3.7%-0.1%288.1K1.6M-244.0K1.2425.48N/AN/A8611,06929,70423,421
2015-02-25$27.74$26.0031.9%9.1%49.4%24.9%31.9%2.4%1.0%374.9K-2.9M-248.2K0.9425.74N/AN/A1,2301,15729,79923,467
2015-02-26$27.38$26.0033.4%9.6%50.1%29.5%33.9%5.0%-1.7%323.4K28.9K-246.1K1.2622.69N/AN/A1,0081,27330,07323,698
2015-02-27$27.40$26.0032.1%9.2%50.0%25.6%33.0%3.1%0.1%335.7K-166.1K-246.7K0.5826.75N/AN/A3,0841,80230,20223,825