TEX Options History — April 2015

In April 2015, TEX traded between $26.01 and $28.19. ATM implied volatility averaged 39.7%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.4% (HV 20d: 32.3%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2015-04-30: Highest Volume — 7,612 contracts
  • 2015-04-08: Largest IV spike — 19.1% change
  • 2015-04-28: Highest IV Rank — 57.6%
  • 2015-04-28: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.95$26.01$28.19$26.16$27.27
Max Pain$26.71$26.00$29.00$29.00$27.00
ATM IV39.7%34.4%43.0%35.4%35.5%
Expected Move11.6%10.2%12.3%10.2%10.2%
HV 20d32.3%28.1%36.0%29.9%36.0%
HV 60d39.4%37.2%40.7%40.3%37.2%
IV Rank48.0%32.4%57.6%35.4%35.7%
IV Percentile77.0%59.9%87.7%65.5%64.7%
Term Structure-4.0%-8.2%5.0%5.0%1.1%
VWIV40.0%30.7%43.4%30.7%36.2%
Skew 25d5.2%3.5%8.1%4.5%4.1%
Skew 10d10.7%-4.8%31.2%-4.8%8.4%
Call IV 25d38.6%32.9%42.5%32.9%34.6%
Put IV 25d43.8%37.4%48.1%37.4%38.7%
Bid-Ask Spread %30.5623.4669.9369.9344.58
Gamma HHI0.260.180.330.180.22
Net GEX115.9K-356.2K610.9K-238.6K559.0K
Net DEX1.2M-15.2M14.1M12.9M-7.6M
Net VEX-223.2K-236.5K-212.2K-228.9K-234.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.413.291.650.41
Total Volume3,069.2861337,6122,5587,612
Total OI49,998.47633,04861,94259,81540,865

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$26.16$29.0035.4%10.2%29.9%35.4%30.7%4.5%5.0%-238.6K12.9M-228.9K1.6569.93N/AN/A9671,59132,53327,282
2015-04-02$26.01$27.0034.4%11.7%29.9%32.4%41.8%5.1%-3.2%-252.8K13.5M-225.8K1.4124.43N/AN/A1,1421,61232,65027,450
2015-04-06$26.80$26.0034.5%11.3%30.1%32.6%40.2%4.2%-2.4%-201.9K8.0M-229.4K1.0732.95N/AN/A1,0421,11432,70627,496
2015-04-07$26.44$26.0035.0%12.0%30.4%34.2%41.0%4.8%-4.9%-208.5K10.6M-224.5K1.0624.01N/AN/A1,0761,14532,80327,515
2015-04-08$26.20$26.0041.7%12.0%30.6%53.8%41.8%4.9%-4.0%-245.6K9.9M-221.3K3.2923.87N/AN/A3110232,84526,499
2015-04-09$26.50$26.0041.7%11.9%30.3%53.6%41.1%5.8%-4.2%-202.6K10.8M-222.5K1.1323.46N/AN/A1,0001,12532,92427,589
2015-04-10$26.63$26.0039.8%11.4%28.1%48.2%40.5%6.4%-3.5%-183.5K9.4M-222.2K1.2224.30N/AN/A9271,12932,95227,605
2015-04-13$26.17$26.0041.7%11.9%28.4%53.7%41.3%4.2%-4.7%-356.2K14.1M-212.2K1.0023.70N/AN/A1,0991,09433,00527,612
2015-04-14$26.49$26.0041.6%11.9%28.5%53.4%39.5%6.6%-4.5%-271.8K11.5M-214.0K0.8026.40N/AN/A1,3121,04533,22727,574
2015-04-15$28.17$26.0039.6%11.3%35.5%47.5%41.1%3.8%-4.7%143.9K-6.1M-225.4K0.8727.88N/AN/A1,7981,56033,57327,452
2015-04-16$27.65$27.0039.3%11.3%33.9%46.8%40.6%4.5%-4.4%336.7K-493.3K-222.1K1.0323.84N/AN/A1,6161,67233,73527,714
2015-04-17$27.25$27.0040.8%11.7%33.0%51.0%40.1%4.4%-4.1%285.3K2.2M-220.0K1.0824.27N/AN/A2,3202,50233,86528,077
2015-04-20$27.52$27.0040.5%11.6%32.4%50.2%40.7%6.0%-4.7%335.8K-8.5M-221.5K0.5526.63N/AN/A2,2891,25619,03214,016
2015-04-21$26.75$27.0041.7%12.0%34.1%53.8%40.0%6.7%-5.4%343.7K-5.2M-219.7K0.8229.48N/AN/A1,5521,27220,24614,350
2015-04-22$26.55$27.0041.4%11.9%34.1%52.9%35.9%5.4%-4.2%324.1K-3.6M-217.6K1.1228.62N/AN/A1,1761,31620,28014,402
2015-04-23$26.93$27.0041.6%11.9%34.4%53.5%41.1%6.3%-5.0%365.4K-5.8M-220.1K1.6530.70N/AN/A9321,53920,34414,533
2015-04-24$26.70$27.0041.0%11.8%34.5%51.8%39.3%5.0%-5.1%344.2K-4.1M-216.5K1.9638.81N/AN/A8281,62520,46414,582
2015-04-27$27.62$27.0041.4%11.9%35.9%52.9%42.0%8.1%-6.4%432.6K-9.1M-222.6K0.9927.24N/AN/A1,6081,59520,54014,704
2015-04-28$27.92$27.0043.0%12.3%34.5%57.6%43.4%4.6%-8.2%513.5K-11.5M-229.3K0.8932.50N/AN/A2,5932,31721,30515,110
2015-04-29$28.19$27.0043.0%12.3%34.3%57.5%42.4%3.5%-6.6%610.9K-15.2M-236.5K0.8434.12N/AN/A2,6812,24322,69115,821
2015-04-30$27.27$27.0035.5%10.2%36.0%35.7%36.2%4.1%1.1%559.0K-7.6M-234.6K0.4144.58N/AN/A5,4172,19524,10516,760