TEX Options History — September 2015 In September 2015, TEX traded between $16.85 and $22.48. ATM implied volatility averaged 51.9%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 0.8% (HV 20d: 51.1%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.22.
Notable Days 2015-09-03 : Highest Volume — 12,488 contracts2015-09-22 : Largest IV spike — 29.2% change2015-09-28 : Highest IV Rank — 98.3%2015-09-28 : Largest Expected Move — 19.5%Monthly Statistics Metric Avg Min Max Open Close Price $19.81 $16.85 $22.48 $22.35 $17.99 Max Pain $19.10 $19.00 $20.00 $20.00 $19.00 ATM IV 51.9% 40.4% 68.0% 57.7% 49.0% Expected Move 14.6% 11.6% 19.5% 16.5% 14.1% HV 20d 51.1% 35.3% 88.6% 88.1% 37.2% HV 60d 57.5% 56.8% 58.8% 56.9% 58.8% IV Rank 60.2% 32.7% 98.3% 75.8% 50.8% IV Percentile 91.5% 63.1% 99.6% 99.2% 89.3% Term Structure -4.3% -16.9% 3.5% -11.2% 2.7% VWIV 51.6% 38.4% 72.4% 72.4% 54.1% Skew 25d 11.1% 0.4% 24.0% 18.6% 5.2% Skew 10d 31.3% -6.4% 154.2% 27.8% 11.3% Call IV 25d 46.4% 38.6% 56.6% 47.4% 51.1% Put IV 25d 57.6% 48.3% 80.6% 66.0% 56.3% Bid-Ask Spread % 80.78 37.43 112.19 108.18 91.08 Gamma HHI 0.26 0.13 0.41 0.15 0.32 Net GEX 178.5K -122.6K 332.9K 332.9K 177.7K Net DEX 9.5M -7.2M 20.8M -4.9M 19.4M Net VEX -109.8K -169.6K -64.9K -169.6K -74.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.23 3.88 0.23 2.52 Total Volume 7,127.381 132 12,488 9,968 5,197 Total OI 56,242.905 48,866 61,279 59,041 51,501
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 2015-09-01 $22.35 $20.00 57.7% 16.5% 88.1% 75.8% 72.4% 18.6% -11.2% 332.9K -4.9M -169.6K 0.23 108.18 N/A N/A 8,071 1,897 38,307 20,734 2015-09-02 $22.48 $20.00 52.0% 14.9% 88.1% 63.2% 65.7% 0.4% -3.9% 323.3K -7.2M -164.6K 0.51 112.19 N/A N/A 8,225 4,210 38,489 20,734 2015-09-03 $21.99 $19.00 54.0% 13.2% 88.6% 67.6% 43.5% 7.4% -3.7% 306.7K -3.3M -156.1K 0.54 48.31 N/A N/A 8,091 4,397 38,805 20,403 2015-09-04 $21.69 $19.00 56.4% 13.0% 88.3% 73.0% 49.5% 6.5% -2.0% 259.9K 1.2M -151.2K 0.30 49.27 N/A N/A 8,078 2,429 38,993 20,638 2015-09-08 $21.95 $19.00 45.4% 12.3% 86.8% 46.6% 41.3% 5.3% 0.4% 210.1K -1.8M -147.8K 0.65 48.85 N/A N/A 80 52 39,011 20,649 2015-09-09 $21.33 $19.00 45.9% 13.2% 42.0% 46.0% 47.2% 8.3% -1.7% 129.9K 823.7K -135.6K 0.31 37.43 N/A N/A 8,010 2,487 39,076 20,670 2015-09-10 $20.96 $19.00 47.1% 13.5% 42.0% 48.7% 50.1% 6.7% -3.9% 162.8K 4.1M -129.4K 0.31 40.52 N/A N/A 7,972 2,479 39,159 20,620 2015-09-11 $20.65 $19.00 47.4% 13.6% 41.2% 49.4% 49.0% 9.6% -3.6% 129.8K 6.5M -122.4K 0.30 41.12 N/A N/A 7,922 2,388 39,167 20,632 2015-09-14 $20.34 $19.00 49.5% 14.2% 40.3% 54.3% 54.1% 6.2% -2.2% 103.7K 7.6M -115.6K 0.34 90.80 N/A N/A 7,947 2,670 39,190 20,657 2015-09-15 $20.58 $19.00 53.6% 15.4% 40.8% 64.2% 48.9% 6.4% -11.0% 181.7K 8.8M -112.4K 1.41 100.31 N/A N/A 85 120 39,216 20,709 2015-09-16 $20.71 $19.00 51.2% 14.7% 41.2% 58.4% 38.4% 23.4% -9.9% -122.6K 6.9M -116.2K 0.33 99.42 N/A N/A 6,959 2,287 39,296 20,829 2015-09-17 $19.84 $19.00 43.4% 12.5% 42.5% 40.0% 46.3% 13.5% -1.5% 179.9K 13.6M -102.0K 0.94 109.54 N/A N/A 3,251 3,048 39,465 20,838 2015-09-18 $19.49 $19.00 44.0% 12.6% 41.4% 41.4% 43.6% 11.0% -0.3% 247.1K 15.4M -100.6K 0.66 92.44 N/A N/A 4,047 2,653 39,651 21,628 2015-09-21 $18.96 $19.00 40.4% 11.6% 38.9% 32.7% 40.2% 16.4% 3.5% 269.1K 15.7M -88.9K 0.73 92.31 N/A N/A 3,061 2,226 32,085 16,781 2015-09-22 $18.15 $19.00 52.1% 14.9% 39.2% 59.3% 47.5% 19.4% -4.5% 247.0K 17.9M -73.9K 2.00 86.39 N/A N/A 1,085 2,168 32,369 16,527 2015-09-23 $17.80 $19.00 51.5% 14.8% 39.3% 57.6% 50.3% 14.7% -4.0% 227.9K 18.9M -67.6K 3.88 85.63 N/A N/A 1,130 4,382 32,470 16,546 2015-09-24 $16.85 $19.00 63.2% 18.1% 38.8% 86.5% 57.1% 12.8% -4.3% 69.6K 20.8M -64.9K 2.30 90.33 N/A N/A 1,599 3,676 32,552 18,485 2015-09-25 $17.16 $19.00 66.5% 19.1% 35.5% 94.7% 65.2% 11.4% -12.6% 92.4K 20.0M -69.3K 2.58 92.05 N/A N/A 1,486 3,841 32,499 18,710 2015-09-28 $17.04 $19.00 68.0% 19.5% 35.3% 98.3% 64.2% 24.0% -16.9% 83.0K 20.8M -67.7K 2.36 88.42 N/A N/A 1,479 3,486 32,586 18,942 2015-09-29 $17.64 $19.00 51.1% 14.7% 37.3% 56.0% 53.8% 7.0% -0.7% 136.4K 19.1M -75.8K 2.48 91.86 N/A N/A 1,438 3,566 32,591 18,891 2015-09-30 $17.99 $19.00 49.0% 14.1% 37.2% 50.8% 54.1% 5.2% 2.7% 177.7K 19.4M -74.5K 2.52 91.08 N/A N/A 1,476 3,721 32,623 18,878
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