TEX Options History — July 2015 In July 2015, TEX traded between $20.66 and $23.57. ATM implied volatility averaged 41.7%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 9.3% (HV 20d: 32.4%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.70.
Notable Days 2015-07-01 : Highest Volume — 8,230 contracts2015-07-14 : Largest IV drop — 18.0% change2015-07-27 : Highest IV Rank — 76.1%2015-07-27 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $22.49 $20.66 $23.57 $22.57 $22.15 Max Pain $23.77 $23.00 $25.00 $24.00 $23.00 ATM IV 41.7% 36.0% 49.4% 38.3% 36.0% Expected Move 12.1% 10.3% 14.1% 11.0% 10.3% HV 20d 32.4% 26.8% 38.1% 26.8% 36.2% HV 60d 33.2% 31.7% 34.6% 33.5% 34.0% IV Rank 53.8% 37.2% 76.1% 43.8% 37.2% IV Percentile 79.2% 57.1% 97.2% 72.2% 57.1% Term Structure -3.6% -6.6% 2.2% 2.2% -0.8% VWIV 41.2% 36.9% 46.7% 39.1% 37.0% Skew 25d 4.5% 0.5% 6.6% 0.5% 2.5% Skew 10d 8.7% -14.2% 16.7% -14.2% 6.8% Call IV 25d 40.0% 33.3% 46.6% 39.1% 35.8% Put IV 25d 44.5% 38.3% 51.0% 39.6% 38.3% Bid-Ask Spread % 34.59 22.40 97.79 28.09 31.64 Gamma HHI 0.16 0.12 0.20 0.17 0.18 Net GEX 131.2K -221.8K 565.3K 250.4K -45.7K Net DEX 15.0M 10.6M 22.1M 13.9M 15.6M Net VEX -149.7K -174.9K -118.4K -159.5K -138.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.70 0.23 5.88 0.23 1.06 Total Volume 3,840.136 2,042 8,230 8,230 4,508 Total OI 49,146.591 38,611 58,216 52,601 44,328
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-07-01 $22.57 $24.00 38.3% 11.0% 26.8% 43.8% 39.1% 0.5% 2.2% 250.4K 13.9M -159.5K 0.23 28.09 N/A N/A 6,664 1,566 34,925 17,676 2015-07-02 $23.12 $24.00 38.1% 10.9% 28.8% 43.1% 37.8% 2.7% 2.1% 407.5K 10.6M -174.9K 0.96 23.59 N/A N/A 1,356 1,297 36,440 17,711 2015-07-06 $22.78 $25.00 40.6% 12.3% 28.7% 50.5% 41.7% 4.8% -4.2% 300.3K 13.1M -162.9K 1.27 22.99 N/A N/A 1,031 1,311 36,133 17,850 2015-07-07 $23.18 $24.00 41.5% 12.4% 29.3% 53.3% 42.6% 6.6% -5.4% 377.2K 12.8M -162.0K 1.56 25.75 N/A N/A 879 1,375 36,201 17,883 2015-07-08 $22.44 $24.00 46.1% 13.0% 31.0% 66.7% 44.1% 4.4% -6.6% 189.4K 16.6M -147.9K 1.77 25.35 N/A N/A 1,001 1,771 36,245 17,947 2015-07-09 $22.38 $24.00 43.0% 12.9% 29.8% 57.6% 43.9% 4.5% -4.7% 202.4K 15.4M -155.2K 1.62 25.46 N/A N/A 1,213 1,960 36,419 18,264 2015-07-10 $22.32 $24.00 41.4% 12.9% 29.8% 52.8% 44.3% 4.5% -5.1% 194.6K 15.8M -154.6K 2.40 26.33 N/A N/A 1,498 3,588 36,740 18,447 2015-07-13 $23.18 $23.00 44.7% 12.2% 33.6% 62.4% 41.8% 5.3% -5.2% 366.0K 13.1M -167.9K 1.68 26.13 N/A N/A 1,094 1,841 37,168 20,231 2015-07-14 $23.57 $23.00 36.6% 11.5% 33.9% 38.9% 39.4% 5.5% -3.5% 565.3K 10.8M -173.5K 1.84 22.40 N/A N/A 861 1,583 37,152 20,336 2015-07-15 $23.00 $24.00 40.7% 11.7% 33.0% 50.7% 38.8% 4.0% -3.9% 210.6K 15.0M -161.5K 0.85 23.85 N/A N/A 2,354 2,004 37,231 20,386 2015-07-16 $23.20 $24.00 39.2% 11.2% 33.2% 46.5% 36.9% 5.2% -3.6% 267.4K 13.7M -163.6K 0.82 24.33 N/A N/A 2,398 1,972 37,982 20,234 2015-07-17 $22.84 $24.00 40.1% 11.5% 33.6% 48.9% 38.6% 4.9% -3.1% 89.7K 17.4M -150.8K 1.25 60.42 N/A N/A 1,918 2,389 36,608 20,210 2015-07-20 $22.57 $24.00 40.3% 11.5% 32.2% 49.6% 43.8% 4.6% -3.5% 37.8K 13.2M -142.0K 1.21 97.79 N/A N/A 1,052 1,272 22,411 16,200 2015-07-21 $22.84 $24.00 40.2% 11.5% 32.6% 49.3% 39.1% 3.9% -2.8% 70.0K 12.2M -149.6K 1.33 33.65 N/A N/A 878 1,164 22,847 16,437 2015-07-22 $22.56 $24.00 40.5% 11.6% 31.6% 50.1% 41.3% 4.6% -3.1% 40.7K 13.6M -141.7K 2.13 32.37 N/A N/A 788 1,678 23,033 16,484 2015-07-23 $22.04 $24.00 42.9% 12.3% 32.3% 57.2% 40.4% 6.6% -3.7% -52.3K 16.3M -133.8K 1.48 36.87 N/A N/A 871 1,290 23,106 16,965 2015-07-24 $21.50 $24.00 46.4% 13.3% 31.6% 67.6% 40.3% 3.5% -2.7% -70.0K 17.0M -129.0K 5.88 30.32 N/A N/A 666 3,914 23,144 17,052 2015-07-27 $20.66 $24.00 49.4% 14.1% 33.8% 76.1% 44.9% 4.4% -6.4% -221.8K 22.1M -118.4K 4.02 29.56 N/A N/A 1,003 4,031 23,213 19,720 2015-07-28 $21.46 $23.00 47.9% 13.7% 36.6% 71.9% 46.7% 5.9% -5.8% -208.3K 20.2M -128.1K 1.74 27.97 N/A N/A 1,752 3,042 23,385 19,844 2015-07-29 $22.04 $23.00 45.3% 13.0% 38.1% 64.4% 45.0% 4.5% -6.1% -79.5K 15.9M -139.1K 1.16 42.06 N/A N/A 2,932 3,393 24,161 18,665 2015-07-30 $22.41 $23.00 38.5% 11.0% 37.2% 44.3% 38.0% 5.6% -2.9% -5.7K 15.3M -137.8K 1.23 64.15 N/A N/A 2,387 2,938 25,263 18,548 2015-07-31 $22.15 $23.00 36.0% 10.3% 36.2% 37.2% 37.0% 2.5% -0.8% -45.7K 15.6M -138.9K 1.06 31.64 N/A N/A 2,183 2,325 25,752 18,576
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