TEX Options History — August 2015 In August 2015, TEX traded between $20.83 and $26.78. ATM implied volatility averaged 43.6%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 27.5% (HV 20d: 71.1%). Max pain ranged from $19.00 to $23.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.57.
Notable Days 2015-08-12 : Highest Volume — 17,414 contracts2015-08-24 : Largest IV spike — 42.9% change2015-08-24 : Highest IV Rank — 100.0%2015-08-25 : Largest Expected Move — 19.7%Monthly Statistics Metric Avg Min Max Open Close Price $23.14 $20.83 $26.78 $21.43 $23.39 Max Pain $20.38 $19.00 $23.00 $23.00 $20.00 ATM IV 43.6% 35.0% 68.7% 39.7% 53.2% Expected Move 12.2% 7.9% 19.7% 11.4% 15.3% HV 20d 71.1% 35.3% 87.2% 37.6% 86.4% HV 60d 49.7% 34.1% 56.6% 34.4% 56.3% IV Rank 52.9% 34.2% 100.0% 48.0% 65.8% IV Percentile 73.3% 46.4% 100.0% 69.0% 97.2% Term Structure -3.4% -24.5% 3.5% -1.2% -11.4% VWIV 45.1% 32.7% 70.3% 38.1% 37.9% Skew 25d 8.0% -0.2% 31.5% 1.7% 10.1% Skew 10d 13.1% -34.9% 145.7% -10.6% 14.9% Call IV 25d 39.8% 32.9% 51.2% 38.3% 46.4% Put IV 25d 47.8% 32.7% 76.6% 40.0% 56.5% Bid-Ask Spread % 77.99 25.22 115.24 33.72 94.05 Gamma HHI 0.16 0.11 0.22 0.20 0.12 Net GEX 334.1K -276.7K 1.0M -185.3K 458.4K Net DEX -7.4M -42.6M 20.8M 19.2M -12.6M Net VEX -169.3K -218.0K -122.5K -127.7K -180.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.20 3.47 3.47 0.20 Total Volume 10,103.81 272 17,414 1,523 9,691 Total OI 57,673.81 45,319 65,520 45,319 58,666
Daily Data (21 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 2015-08-03 $21.43 $23.00 39.7% 11.4% 37.6% 48.0% 38.1% 1.7% -1.2% -185.3K 19.2M -127.7K 3.47 33.72 N/A N/A 341 1,182 25,968 19,351 2015-08-04 $21.26 $23.00 38.2% 11.0% 36.8% 43.6% 36.9% 5.3% -0.1% -265.7K 20.8M -122.5K 1.32 25.22 N/A N/A 2,045 2,709 26,135 20,465 2015-08-05 $21.27 $23.00 38.6% 11.1% 35.3% 44.6% 36.4% 3.1% -0.8% -262.0K 20.4M -127.2K 1.29 26.51 N/A N/A 1,941 2,507 26,190 20,612 2015-08-06 $21.30 $22.00 39.6% 10.8% 35.3% 47.7% 41.9% 5.5% 0.4% -276.7K 20.8M -126.2K 0.26 26.29 N/A N/A 9,016 2,358 26,196 20,618 2015-08-07 $20.83 $19.00 39.5% 10.9% 36.0% 47.4% 42.0% 3.8% 0.5% -3.5K 11.1M -137.1K 0.28 27.72 N/A N/A 8,085 2,277 33,251 20,638 2015-08-10 $21.83 $19.00 39.3% 10.6% 37.5% 46.7% 42.3% 4.0% -0.3% 48.2K 1.9M -150.5K 0.29 27.36 N/A N/A 7,694 2,205 35,319 21,435 2015-08-11 $26.78 $19.00 41.2% 7.9% 82.6% 52.2% 38.0% -0.2% 0.2% 770.5K -42.6M -206.6K 0.74 95.07 N/A N/A 7,349 5,445 35,785 21,450 2015-08-12 $26.39 $20.00 36.8% 10.5% 82.2% 39.3% 43.9% 4.6% 0.0% 753.7K -40.3M -218.0K 0.65 89.39 N/A N/A 10,526 6,888 37,669 25,083 2015-08-13 $25.51 $20.00 35.5% 10.2% 83.5% 35.6% 32.7% 6.4% 1.2% 799.7K -30.5M -205.1K 0.32 91.31 N/A N/A 8,103 2,593 37,729 25,292 2015-08-14 $25.85 $20.00 35.0% 10.0% 83.2% 34.2% 35.8% 3.5% 0.4% 761.1K -34.6M -208.5K 0.30 94.55 N/A N/A 8,467 2,521 37,710 25,458 2015-08-17 $25.24 $20.00 37.4% 10.7% 83.6% 41.0% 39.2% 8.3% -3.0% 828.3K -30.0M -200.4K 0.25 115.24 N/A N/A 10,013 2,517 38,235 25,451 2015-08-18 $24.84 $20.00 36.6% 10.5% 83.9% 38.7% 44.6% 6.5% 1.0% 1.0M -25.9M -199.7K 0.29 86.57 N/A N/A 8,870 2,567 38,789 25,462 2015-08-19 $24.20 $20.00 38.8% 11.1% 84.4% 45.3% 37.1% 6.0% 0.0% 774.0K -17.6M -190.0K 0.37 95.80 N/A N/A 198 74 38,796 25,434 2015-08-20 $23.31 $20.00 39.9% 11.4% 85.2% 48.3% 56.8% 2.9% 1.0% 237.4K -7.8M -176.0K 0.31 90.14 N/A N/A 8,347 2,586 38,783 25,440 2015-08-21 $22.13 $20.00 47.2% 13.5% 86.9% 69.8% 62.7% 8.6% -7.4% 124.9K -1.2M -160.3K 0.34 114.11 N/A N/A 9,280 3,191 39,889 25,631 2015-08-24 $21.25 $20.00 67.4% 19.3% 86.9% 100.0% 53.8% 24.6% -24.5% 184.3K 5.9M -153.2K 0.20 105.78 N/A N/A 10,651 2,114 35,389 21,142 2015-08-25 $21.27 $20.00 68.7% 19.7% 85.8% 100.0% 70.3% 13.9% -16.7% 195.4K 5.8M -140.0K 0.22 96.02 N/A N/A 12,522 2,765 35,499 20,710 2015-08-26 $22.04 $20.00 56.7% 16.2% 86.3% 73.5% 57.1% 31.5% -12.0% 313.5K -1.3M -167.8K 0.29 91.07 N/A N/A 9,243 2,724 37,583 20,626 2015-08-27 $22.94 $20.00 43.0% 12.3% 87.2% 43.4% 46.6% 4.9% 3.5% 380.4K -8.4M -181.2K 0.32 103.54 N/A N/A 8,127 2,612 38,026 20,627 2015-08-28 $22.89 $20.00 43.7% 12.5% 87.1% 44.9% 53.7% 12.9% -1.9% 370.6K -8.3M -177.8K 0.22 108.24 N/A N/A 8,085 1,751 37,986 20,632 2015-08-31 $23.39 $20.00 53.2% 15.3% 86.4% 65.8% 37.9% 10.1% -11.4% 458.4K -12.6M -180.1K 0.20 94.05 N/A N/A 8,076 1,615 38,014 20,652
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