TEX Options History — May 2015

In May 2015, TEX traded between $24.79 and $28.88. ATM implied volatility averaged 33.1%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.4% (HV 20d: 30.7%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-05-28: Highest Volume — 9,555 contracts
  • 2015-05-13: Largest IV drop — 15.0% change
  • 2015-05-12: Highest IV Rank — 47.1%
  • 2015-05-29: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.93$24.79$28.88$27.93$24.79
Max Pain$26.90$26.00$27.00$27.00$27.00
ATM IV33.1%28.7%39.4%34.3%34.8%
Expected Move9.3%8.2%10.0%9.8%10.0%
HV 20d30.7%24.1%38.9%36.6%38.9%
HV 60d33.2%29.4%36.1%36.1%34.8%
IV Rank28.6%15.7%47.1%32.0%33.5%
IV Percentile46.2%23.0%75.0%55.2%59.1%
Term Structure0.6%-0.5%1.7%-0.5%-0.1%
VWIV32.6%29.1%35.8%35.1%29.2%
Skew 25d3.7%2.7%5.5%5.5%3.3%
Skew 10d5.4%-8.3%9.4%6.4%-8.3%
Call IV 25d31.3%27.7%34.4%32.5%34.4%
Put IV 25d35.1%31.4%38.0%37.9%37.6%
Bid-Ask Spread %27.3420.4149.2424.0532.13
Gamma HHI0.220.180.320.220.22
Net GEX1.1M359.0K2.1M997.2K359.0K
Net DEX-17.7M-28.0M7.8M-17.6M7.8M
Net VEX-251.8K-272.8K-208.4K-254.7K-208.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.052.371.001.86
Total Volume3,242.452469,5554,1415,188
Total OI46,00041,21649,76044,34149,760

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$27.93$27.0034.3%9.8%36.6%32.0%35.1%5.5%-0.5%997.2K-17.6M-254.7K1.0024.05N/AN/A2,0692,07227,31817,023
2015-05-04$27.88$26.0035.4%9.7%35.3%35.3%33.7%4.1%0.6%1.1M-18.3M-255.9K0.1924.55N/AN/A4488628,29517,218
2015-05-05$27.85$26.0035.7%10.0%34.9%36.3%35.1%3.9%0.1%1.0M-17.2M-253.8K2.3723.44N/AN/A9962,35828,40017,196
2015-05-06$28.07$27.0034.8%10.0%34.6%33.4%35.8%3.8%0.2%1.1M-18.5M-255.6K1.8020.41N/AN/A1,1202,02028,48417,710
2015-05-07$27.68$27.0034.8%9.9%35.0%33.7%35.5%3.1%0.5%993.9K-15.0M-253.9K1.4124.83N/AN/A1,2371,74028,65717,979
2015-05-08$28.03$27.0033.1%9.6%35.2%28.4%34.5%4.1%0.5%1.2M-18.4M-256.3K0.8223.90N/AN/A13511128,88018,183
2015-05-11$28.24$27.0037.3%9.7%34.4%40.9%33.6%4.0%0.4%1.4M-20.9M-253.2K0.0526.47N/AN/A2,43613128,97318,251
2015-05-12$27.99$27.0039.4%9.7%34.6%47.1%34.8%3.2%0.3%1.6M-19.2M-254.2K1.5224.38N/AN/A1,0371,57330,95518,287
2015-05-13$28.45$27.0033.5%9.6%27.3%29.7%33.1%3.7%0.5%1.7M-23.1M-256.0K1.0523.94N/AN/A1,4501,51829,99318,608
2015-05-14$28.72$27.0031.6%9.1%26.5%24.3%32.0%3.3%1.7%2.1M-28.0M-256.8K0.5922.59N/AN/A1,8941,12330,23118,610
2015-05-15$28.30$27.0032.4%9.3%26.6%26.5%31.3%3.4%1.3%802.9K-22.2M-250.7K0.5231.38N/AN/A2,1631,13229,97618,743
2015-05-18$28.43$27.0030.8%8.8%26.4%21.7%30.4%3.5%0.7%928.5K-18.8M-249.0K0.1027.70N/AN/A3,22431826,25615,617
2015-05-19$27.89$27.0030.3%8.7%25.2%20.2%31.0%3.0%1.2%802.9K-13.4M-240.7K0.1723.68N/AN/A99916725,55715,701
2015-05-20$28.48$27.0030.5%8.7%25.8%21.0%31.0%3.6%-0.0%850.6K-17.1M-242.5K0.2228.22N/AN/A5,3421,19025,36915,847
2015-05-21$28.88$27.0029.1%8.3%25.8%16.8%29.1%4.3%0.8%1.1M-27.1M-272.8K0.5725.80N/AN/A1,9111,08529,27315,890
2015-05-22$28.74$27.0028.7%8.2%25.6%15.7%30.8%3.1%1.3%1.1M-26.1M-271.1K0.6027.67N/AN/A1,59796629,50816,001
2015-05-26$28.15$27.0031.7%9.1%24.3%24.4%31.9%3.9%0.3%1.1M-19.4M-261.9K0.6731.30N/AN/A1,37791829,64816,041
2015-05-27$28.17$27.0031.0%8.9%24.1%22.4%30.2%5.3%0.5%1.1M-19.8M-261.1K0.7431.15N/AN/A1,24591829,67616,060
2015-05-28$26.01$27.0032.9%9.4%37.0%27.9%33.4%2.7%0.6%627.9K-1.2M-227.5K0.6949.24N/AN/A5,6573,89829,72016,106
2015-05-29$24.79$27.0034.8%10.0%38.9%33.5%29.2%3.3%-0.1%359.0K7.8M-208.4K1.8632.13N/AN/A1,8143,37432,25217,508