TEX Options History — October 2015

In October 2015, TEX traded between $17.73 and $20.78. ATM implied volatility averaged 45.2%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 5.0% (HV 20d: 50.2%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.74.

Notable Days

2015-10-16: Highest Volume — 10,700 contracts
2015-10-13: Largest IV drop — 42.9% change
2015-10-12: Highest IV Rank — 78.5%
2015-10-19: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.32	$17.73	$20.78	$17.73	$20.09
Max Pain	$18.59	$18.00	$19.00	$19.00	$19.00
ATM IV	45.2%	34.3%	60.1%	48.6%	39.0%
Expected Move	12.8%	11.2%	14.1%	13.9%	11.2%
HV 20d	50.2%	36.7%	60.3%	36.7%	60.3%
HV 60d	61.6%	58.6%	65.5%	58.6%	65.5%
IV Rank	41.3%	14.1%	78.5%	49.8%	25.7%
IV Percentile	75.7%	23.4%	98.0%	88.1%	50.8%
Term Structure	-1.6%	-5.3%	5.1%	5.1%	1.8%
VWIV	46.7%	39.2%	65.1%	48.7%	39.2%
Skew 25d	8.3%	-1.4%	21.0%	10.1%	11.9%
Skew 10d	22.0%	-8.8%	120.5%	10.5%	33.6%
Call IV 25d	41.4%	26.8%	53.5%	46.3%	32.0%
Put IV 25d	49.8%	43.9%	63.5%	56.4%	43.9%
Bid-Ask Spread %	77.42	33.16	121.06	100.69	93.66
Gamma HHI	0.26	0.11	0.59	0.33	0.18
Net GEX	289.1K	24.6K	743.1K	182.3K	313.4K
Net DEX	13.0M	5.6M	20.5M	19.1M	9.6M
Net VEX	-88.0K	-105.3K	-71.7K	-73.1K	-96.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	0.78	3.07	2.47	0.78
Total Volume	5,422.227	259	10,700	5,047	8,735
Total OI	49,817.5	41,804	54,197	51,294	48,849

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
2015-10-01	$17.73	$19.00	48.6%	13.9%	36.7%	49.8%	48.7%	10.1%	5.1%	182.3K	19.1M	-73.1K	2.47	100.69	N/A	N/A	1,456	3,591	32,697	18,597
2015-10-02	$18.26	$19.00	47.2%	13.5%	39.3%	46.1%	65.1%	-1.4%	0.8%	246.6K	17.9M	-77.8K	2.63	102.57	N/A	N/A	1,404	3,696	32,720	18,646
2015-10-05	$19.31	$18.00	47.2%	13.4%	45.5%	46.2%	45.1%	5.9%	-3.6%	400.1K	13.2M	-88.1K	0.95	52.24	N/A	N/A	133	126	32,740	18,606
2015-10-06	$19.58	$18.00	43.5%	12.7%	45.6%	37.1%	39.5%	5.3%	-1.7%	373.4K	11.9M	-85.8K	2.87	33.16	N/A	N/A	1,111	3,188	32,824	18,688
2015-10-07	$19.53	$18.00	46.6%	12.8%	44.8%	44.7%	54.2%	6.3%	-1.5%	415.5K	12.5M	-83.6K	2.76	40.18	N/A	N/A	1,164	3,217	32,937	18,596
2015-10-08	$20.56	$18.00	45.8%	12.2%	48.6%	42.8%	43.4%	6.8%	-1.4%	298.5K	8.2M	-92.6K	0.95	43.04	N/A	N/A	3,286	3,107	33,087	18,574
2015-10-09	$20.78	$18.00	44.8%	12.2%	48.5%	40.2%	42.7%	4.7%	-2.3%	351.0K	5.6M	-100.4K	0.97	44.66	N/A	N/A	3,224	3,113	33,425	18,605
2015-10-12	$20.22	$18.00	60.1%	12.8%	49.2%	78.5%	43.9%	5.1%	-2.5%	410.9K	6.6M	-95.4K	1.03	38.68	N/A	N/A	3,099	3,179	33,400	18,629
2015-10-13	$19.73	$18.00	34.3%	13.1%	49.7%	14.1%	43.4%	7.8%	-3.0%	566.7K	8.1M	-86.8K	1.22	41.26	N/A	N/A	3,104	3,776	33,419	18,659
2015-10-14	$19.50	$18.00	47.8%	13.7%	49.7%	47.8%	45.1%	8.9%	-4.4%	619.8K	11.7M	-85.5K	0.89	51.46	N/A	N/A	4,105	3,641	33,418	19,265
2015-10-15	$18.52	$18.00	48.0%	13.8%	50.7%	48.3%	46.9%	6.7%	-5.3%	743.1K	16.5M	-71.7K	1.40	85.26	N/A	N/A	2,626	3,673	33,638	19,336
2015-10-16	$18.69	$19.00	46.3%	13.3%	50.6%	43.9%	48.2%	10.2%	-3.5%	24.6K	20.5M	-75.4K	1.26	92.35	N/A	N/A	4,726	5,974	34,633	19,564
2015-10-19	$18.33	$19.00	49.3%	14.1%	50.2%	51.4%	50.9%	21.0%	-4.4%	60.5K	16.5M	-75.5K	1.68	121.06	N/A	N/A	2,042	3,425	23,786	18,018
2015-10-20	$19.00	$19.00	49.2%	14.1%	49.3%	51.2%	53.5%	5.4%	-4.0%	130.7K	14.5M	-86.8K	0.82	81.75	N/A	N/A	4,075	3,323	23,937	18,055
2015-10-21	$19.97	$19.00	40.4%	11.6%	51.3%	29.3%	42.1%	10.7%	-0.1%	218.3K	10.1M	-105.3K	1.12	99.23	N/A	N/A	2,782	3,120	26,485	21,508
2015-10-22	$19.05	$19.00	42.1%	12.1%	50.2%	33.4%	43.8%	6.5%	1.3%	141.2K	14.2M	-95.2K	2.62	82.89	N/A	N/A	1,315	3,446	26,674	21,542
2015-10-23	$20.08	$19.00	39.0%	11.2%	52.7%	25.6%	47.9%	18.4%	0.5%	249.4K	10.0M	-99.0K	3.07	99.38	N/A	N/A	943	2,894	26,720	21,444
2015-10-26	$19.42	$19.00	44.9%	12.9%	54.5%	40.5%	43.6%	8.3%	-3.1%	205.8K	12.2M	-98.4K	2.36	91.86	N/A	N/A	1,084	2,557	26,752	21,491
2015-10-27	$18.32	$19.00	45.3%	13.0%	58.0%	41.6%	46.3%	7.4%	-1.5%	27.0K	18.1M	-81.8K	2.41	96.29	N/A	N/A	1,108	2,669	26,892	21,626
2015-10-28	$19.14	$19.00	42.5%	12.2%	59.6%	34.5%	51.4%	10.2%	-0.2%	179.2K	14.7M	-90.7K	2.06	112.17	N/A	N/A	1,015	2,087	26,927	21,749
2015-10-29	$19.21	$19.00	43.2%	12.4%	59.2%	36.3%	43.3%	6.8%	-2.3%	202.6K	13.8M	-89.8K	2.05	99.33	N/A	N/A	968	1,982	26,983	21,844
2015-10-30	$20.09	$19.00	39.0%	11.2%	60.3%	25.7%	39.2%	11.9%	1.8%	313.4K	9.6M	-96.7K	0.78	93.66	N/A	N/A	4,915	3,820	26,984	21,865