TEX Options History — March 2015

In March 2015, TEX traded between $25.23 and $26.96. ATM implied volatility averaged 34.9%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 3.8% (HV 20d: 38.7%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2015-03-06: Highest Volume — 3,600 contracts
  • 2015-03-18: Largest IV drop — 7.7% change
  • 2015-03-11: Highest IV Rank — 44.9%
  • 2015-03-11: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.22$25.23$26.96$26.82$26.62
Max Pain$29.18$26.00$30.00$26.00$29.00
ATM IV34.9%31.9%38.7%34.3%33.3%
Expected Move10.0%9.2%11.1%9.8%9.5%
HV 20d38.7%28.3%49.7%49.7%30.3%
HV 60d43.0%42.4%43.8%43.8%42.5%
IV Rank33.9%25.1%44.9%32.1%29.1%
IV Percentile63.0%42.9%76.6%64.3%50.8%
Term Structure2.7%-2.3%6.8%0.5%6.2%
VWIV34.5%29.0%37.9%36.9%29.0%
Skew 25d4.2%2.7%5.8%2.9%3.6%
Skew 10d10.1%2.8%16.7%2.8%9.2%
Call IV 25d33.3%29.9%36.3%33.4%32.2%
Put IV 25d37.4%34.2%41.0%36.3%35.9%
Bid-Ask Spread %22.0214.6960.4829.2060.48
Gamma HHI0.180.150.230.230.18
Net GEX-43.7K-249.2K339.8K319.2K-174.4K
Net DEX11.0M1.7M18.2M2.8M9.1M
Net VEX-239.2K-256.3K-229.8K-254.6K-234.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.113.061.641.27
Total Volume1,485.3641363,6002,5093,524
Total OI58,629.36456,05260,39556,87459,337

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$26.82$26.0034.3%9.8%49.7%32.1%36.9%2.9%0.5%319.2K2.8M-254.6K1.6429.20N/AN/A9521,55732,33224,542
2015-03-03$26.96$26.0034.4%9.9%47.9%32.3%32.3%3.1%-2.3%339.8K1.7M-256.3K1.5228.50N/AN/A1,0481,59232,37824,651
2015-03-04$26.36$26.0034.3%9.8%45.7%32.1%32.8%3.3%0.0%211.2K7.5M-241.2K2.1023.86N/AN/A9802,05732,18324,645
2015-03-05$26.31$30.0035.6%9.9%42.0%36.0%34.2%5.8%1.9%152.1K9.8M-248.2K2.2218.07N/AN/A9092,02032,18425,564
2015-03-06$25.62$30.0034.6%10.0%42.9%33.0%35.0%4.4%1.9%55.7K13.1M-238.0K3.0614.87N/AN/A8872,71332,15625,587
2015-03-09$25.37$30.0037.0%10.5%42.4%40.0%35.5%5.1%1.1%-93.7K16.4M-235.8K0.7514.71N/AN/A22116632,22026,908
2015-03-10$25.55$30.0038.3%10.6%42.3%43.9%35.8%4.6%0.3%-58.5K15.5M-239.7K0.9714.78N/AN/A47846532,36127,008
2015-03-11$25.23$30.0038.7%11.1%42.6%44.9%37.1%4.7%0.1%-123.6K18.2M-233.2K0.4014.69N/AN/A1726832,33027,046
2015-03-12$26.07$30.0036.0%10.3%43.9%37.0%36.7%4.6%1.5%-20912.5M-243.9K0.6017.69N/AN/A45127132,36527,066
2015-03-13$25.71$30.0036.2%10.4%44.1%37.8%36.4%4.5%1.4%-58.6K15.0M-238.2K0.5417.66N/AN/A18410032,53127,151
2015-03-16$25.52$30.0036.8%10.6%44.2%39.4%37.9%4.5%0.4%-96.7K16.8M-230.6K1.9615.32N/AN/A469032,65327,184
2015-03-17$25.78$30.0036.4%10.4%44.1%38.3%37.0%3.5%1.3%-60.4K14.6M-232.8K1.7214.95N/AN/A11018932,65427,192
2015-03-18$26.81$30.0033.6%9.6%43.1%30.1%33.6%3.8%3.6%162.5K5.9M-246.7K0.3219.46N/AN/A70422532,63327,309
2015-03-19$26.16$30.0034.8%10.0%39.9%33.6%36.1%4.0%2.9%-101.0K12.2M-234.7K2.0318.69N/AN/A18938332,83227,328
2015-03-20$26.71$30.0032.2%9.2%30.6%25.9%32.6%5.1%3.3%-237.9K9.5M-239.9K0.7715.43N/AN/A50038732,92527,470
2015-03-23$26.79$30.0031.9%9.2%30.0%25.1%30.6%3.8%6.5%-216.2K8.2M-237.1K0.1120.55N/AN/A1,98522729,89626,156
2015-03-24$26.56$29.0032.3%9.2%29.8%26.1%32.7%3.9%4.8%-178.8K10.2M-236.6K0.3215.72N/AN/A60319031,06726,331
2015-03-25$26.42$29.0034.4%9.9%28.6%32.4%33.1%2.7%6.7%-173.6K10.3M-236.8K2.6315.91N/AN/A18749231,43926,455
2015-03-26$26.45$29.0034.8%10.0%28.3%33.6%35.1%4.3%5.6%-193.9K10.6M-238.0K0.9520.10N/AN/A1,1491,09231,57126,838
2015-03-27$26.05$29.0034.6%9.9%28.7%32.9%33.9%4.3%5.3%-249.2K14.7M-229.8K0.7018.93N/AN/A32422831,56626,960
2015-03-30$26.88$29.0033.9%9.7%30.2%31.0%35.3%5.0%6.8%-186.2K7.7M-237.2K0.6654.93N/AN/A1,5431,02031,80227,040
2015-03-31$26.62$29.0033.3%9.5%30.3%29.1%29.0%3.6%6.2%-174.4K9.1M-234.1K1.2760.48N/AN/A1,5541,97032,49926,838