TEX Options History — June 2015

In June 2015, TEX traded between $23.22 and $25.23. ATM implied volatility averaged 35.1%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 0.5% (HV 20d: 35.6%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2015-06-19: Highest Volume — 4,757 contracts
  • 2015-06-29: Largest IV spike — 18.7% change
  • 2015-06-29: Highest IV Rank — 48.9%
  • 2015-06-29: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.42$23.22$25.23$24.95$23.28
Max Pain$25.73$24.00$27.00$27.00$24.00
ATM IV35.1%32.2%40.1%36.1%39.1%
Expected Move10.0%9.2%11.5%10.4%11.2%
HV 20d35.6%24.3%38.7%37.6%25.1%
HV 60d33.6%32.7%34.8%34.8%33.1%
IV Rank34.4%25.8%48.9%37.4%46.2%
IV Percentile55.4%30.2%76.2%67.5%73.8%
Term Structure1.7%-1.7%4.8%-1.7%1.2%
VWIV34.7%32.3%39.9%33.6%38.5%
Skew 25d4.2%3.1%6.8%6.8%3.8%
Skew 10d6.7%-2.8%10.6%10.1%-2.8%
Call IV 25d33.5%31.3%37.4%33.7%37.4%
Put IV 25d37.7%35.0%41.2%40.6%41.2%
Bid-Ask Spread %23.9516.6183.2025.5183.20
Gamma HHI0.210.180.240.230.19
Net GEX363.9K65.0K592.7K403.0K376.6K
Net DEX8.6M2.2M17.0M6.9M10.6M
Net VEX-194.2K-227.1K-166.9K-217.8K-173.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.362.822.200.94
Total Volume2,980.1365854,7574,1794,100
Total OI51,365.54548,02553,22850,95852,396

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$24.95$27.0036.1%10.4%37.6%37.4%33.6%6.8%-1.7%403.0K6.9M-217.8K2.2025.51N/AN/A1,3062,87332,92518,033
2015-06-02$25.23$27.0036.2%10.4%38.1%37.6%36.5%5.5%-1.3%491.8K4.3M-227.1K1.7630.17N/AN/A21237333,15818,163
2015-06-03$25.10$27.0035.8%10.3%38.1%36.5%32.3%5.3%-1.4%443.1K6.1M-218.3K2.5923.91N/AN/A9092,35833,22318,309
2015-06-04$24.92$27.0035.8%10.1%37.7%36.6%35.3%4.8%1.1%404.8K7.2M-213.4K2.7316.61N/AN/A9212,51733,27818,323
2015-06-05$25.13$27.0034.4%9.8%38.0%32.2%34.9%3.1%2.2%426.9K6.2M-215.0K2.6617.66N/AN/A9442,51033,28118,516
2015-06-08$24.70$27.0036.1%10.0%37.6%37.5%35.5%3.8%1.2%314.4K9.4M-205.9K2.4519.34N/AN/A1,0252,50933,29018,519
2015-06-09$24.76$27.0036.0%10.0%37.4%37.2%35.9%3.1%1.7%343.0K8.1M-207.7K2.4420.45N/AN/A1,0012,44133,36818,511
2015-06-10$25.21$27.0034.0%9.7%38.4%31.1%33.3%4.2%2.3%433.2K5.2M-212.6K2.8220.59N/AN/A8382,36433,44018,448
2015-06-11$25.10$26.0033.8%9.7%37.6%30.6%33.6%3.7%2.4%378.5K6.8M-207.8K1.8324.12N/AN/A8081,47733,52418,511
2015-06-12$24.88$26.0033.2%9.5%37.1%28.9%33.5%4.1%2.6%312.9K8.3M-203.6K1.7419.16N/AN/A8331,44633,53518,540
2015-06-15$24.45$26.0035.3%10.1%37.2%35.0%34.2%5.0%1.3%184.8K12.3M-188.0K1.7620.13N/AN/A9091,59633,53118,592
2015-06-16$23.66$26.0034.4%9.8%38.0%32.2%35.4%4.5%1.9%101.3K17.0M-169.0K1.2024.06N/AN/A1,1321,36033,70618,637
2015-06-17$23.67$26.0034.9%10.0%37.9%33.9%35.7%4.2%1.8%74.8K16.6M-167.4K1.2822.80N/AN/A1,2271,57633,82518,579
2015-06-18$23.58$26.0033.5%9.6%36.4%29.6%34.2%4.6%2.4%65.0K17.0M-166.9K1.0220.64N/AN/A1,2341,26034,18718,863
2015-06-19$24.18$26.0035.6%10.2%37.5%35.8%35.8%3.5%0.4%242.8K13.5M-180.1K0.3621.70N/AN/A3,4881,26934,32418,904
2015-06-22$24.27$24.0033.8%9.7%37.8%30.6%32.8%4.8%4.8%474.6K5.0M-185.5K0.8419.04N/AN/A1,2941,08831,76816,257
2015-06-23$24.74$24.0032.2%9.2%38.7%25.8%33.1%3.7%4.6%583.2K2.2M-194.9K0.9217.22N/AN/A1,1491,05432,33316,395
2015-06-24$24.60$24.0033.1%9.5%38.6%28.4%33.4%3.7%3.2%592.7K2.6M-192.0K0.6616.68N/AN/A1,5631,03732,62316,501
2015-06-25$23.81$24.0035.1%10.1%29.3%34.4%33.3%3.4%2.1%456.6K7.4M-177.5K1.3519.55N/AN/A9551,28533,35516,606
2015-06-26$23.83$24.0033.7%9.7%24.3%30.4%32.7%3.8%3.4%495.1K7.1M-179.4K0.6020.99N/AN/A1,9811,18133,45016,853
2015-06-29$23.22$24.0040.1%11.5%25.5%48.9%39.9%3.8%0.6%407.4K9.9M-170.3K0.8523.47N/AN/A2,2461,91434,60616,856
2015-06-30$23.28$24.0039.1%11.2%25.1%46.2%38.5%3.8%1.2%376.6K10.6M-173.4K0.9483.20N/AN/A2,1151,98534,83217,564