TEX Options History — November 2015

In November 2015, TEX traded between $19.00 and $22.60. ATM implied volatility averaged 41.4%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 29.0% (HV 20d: 70.5%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.34.

Notable Days

  • 2015-11-11: Highest Volume — 6,209 contracts
  • 2015-11-09: Largest IV spike — 9.1% change
  • 2015-11-13: Highest IV Rank — 40.0%
  • 2015-11-13: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.54$19.00$22.60$20.84$20.48
Max Pain$19.80$19.00$20.00$19.00$20.00
ATM IV41.4%36.7%44.7%40.0%44.0%
Expected Move11.8%10.5%12.8%11.5%12.6%
HV 20d70.5%58.5%78.7%58.5%69.2%
HV 60d57.1%51.6%66.8%65.8%57.5%
IV Rank31.7%19.9%40.0%28.3%38.4%
IV Percentile61.8%42.9%76.6%55.6%75.8%
Term Structure-1.5%-5.9%0.9%-1.9%-5.9%
VWIV40.9%35.9%45.8%45.6%40.1%
Skew 25d6.8%5.0%10.3%6.9%8.2%
Skew 10d15.0%-0.9%35.6%35.6%12.9%
Call IV 25d38.3%35.0%41.4%39.0%38.9%
Put IV 25d45.1%42.1%48.1%45.9%47.1%
Bid-Ask Spread %79.9336.11108.8093.83108.47
Gamma HHI0.220.150.320.150.31
Net GEX398.2K103.1K841.8K412.9K218.4K
Net DEX5.9M-8.3M15.8M4.6M13.2M
Net VEX-95.8K-124.2K-76.2K-107.4K-83.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.034.304.090.34
Total Volume3,654.25836,2095,750224
Total OI48,317.638,07452,16750,86438,259

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$20.84$19.0040.0%11.5%58.5%28.3%45.6%6.9%-1.9%412.9K4.6M-107.4K4.0993.83N/AN/A1,1304,62028,96921,895
2015-11-03$22.45$19.0039.5%11.3%63.6%27.0%45.8%6.3%-1.8%456.3K-5.9M-124.2K3.5488.19N/AN/A1,2344,37229,33222,115
2015-11-04$22.60$19.0036.7%10.5%63.5%19.9%43.4%7.1%-0.8%471.2K-8.3M-119.0K4.0890.38N/AN/A1,1154,54629,49222,308
2015-11-05$21.84$19.0038.5%10.9%62.9%24.4%38.5%5.6%0.3%492.6K-4.1M-113.5K3.6536.11N/AN/A1,2744,65329,53222,492
2015-11-06$21.74$20.0039.4%11.2%62.9%26.6%35.9%5.9%-0.7%556.0K-3.6M-112.4K0.0352.39N/AN/A8062529,55822,609
2015-11-09$20.43$20.0042.9%12.6%66.2%35.6%40.2%6.6%-1.2%558.0K5.4M-100.0K1.0146.05N/AN/A15815928,90822,497
2015-11-10$21.38$20.0042.4%11.6%67.3%34.2%39.4%5.3%0.3%445.6K808.0K-109.9K2.6145.35N/AN/A1,7154,47929,05322,368
2015-11-11$21.40$20.0043.0%12.3%67.1%35.8%40.9%7.5%-3.8%513.0K-1.1M-109.4K2.5976.90N/AN/A1,7304,47929,06822,522
2015-11-12$19.00$20.0043.1%12.4%78.0%36.0%43.2%6.6%-1.9%269.2K14.5M-84.5K4.3042.01N/AN/A1,0024,31329,06822,670
2015-11-13$19.47$20.0044.7%12.8%78.4%40.0%43.6%7.3%-2.1%339.1K11.9M-87.3K4.2157.29N/AN/A1,1214,72129,11922,387
2015-11-16$20.12$20.0043.7%12.5%78.7%37.5%43.6%6.2%-1.5%630.7K7.1M-93.2K0.2846.46N/AN/A651829,23422,543
2015-11-17$19.77$20.0041.5%11.9%78.1%31.9%40.4%7.1%0.1%555.7K9.0M-88.7K3.76102.19N/AN/A1,0824,07229,28022,595
2015-11-18$20.68$20.0041.0%11.7%77.8%30.7%38.3%6.8%-1.2%531.0K4.7M-96.1K3.42108.06N/AN/A1,1573,95729,28522,595
2015-11-19$20.07$20.0041.0%11.8%76.6%30.8%38.2%7.8%-0.1%841.8K6.8M-86.6K3.7798.71N/AN/A1,0283,88029,32622,601
2015-11-20$20.10$20.0040.5%11.6%74.2%29.5%38.5%5.0%0.9%136.0K3.1M-86.0K1.72102.94N/AN/A2,2553,88629,33422,640
2015-11-23$19.34$20.0043.8%12.6%74.6%37.7%40.7%10.3%-3.0%103.1K15.8M-76.2K0.9395.51N/AN/A20218723,56414,559
2015-11-24$19.48$20.0041.3%11.8%71.4%31.4%40.5%7.3%-0.8%127.2K14.9M-79.5K0.4592.69N/AN/A1305823,70414,370
2015-11-25$19.87$20.0040.0%11.5%70.0%28.2%40.3%5.1%-1.6%152.9K14.7M-80.1K1.00108.80N/AN/A84283823,80014,436
2015-11-27$19.82$20.0041.1%11.8%70.0%31.1%40.6%7.5%-3.0%154.0K14.7M-78.9K0.95106.36N/AN/A79775523,83014,435
2015-11-30$20.48$20.0044.0%12.6%69.2%38.4%40.1%8.2%-5.9%218.4K13.2M-83.0K0.34108.47N/AN/A1675723,81714,442